XML 28 R17.htm IDEA: XBRL DOCUMENT v3.24.1.u1
FAIR VALUE MEASUREMENTS
3 Months Ended
Mar. 31, 2024
Fair Value Disclosures [Abstract]  
FAIR VALUE MEASUREMENTS FAIR VALUE MEASUREMENTS
The following table presents our assets and liabilities measured at fair value on a recurring basis at March 31, 2024:

  Fair Value Measurements at 
March 31, 2024
TotalQuoted
Prices
in Active
Markets
(Level 1)
Significant
Other
Observable
Inputs
(Level 2)
Significant
Unobservable
Inputs
(Level 3)
Assets:
GenMat derivative$240,478 $— $240,478 $— 
Liabilities:
Kips Bay convertible debt derivative$1,440,000 $— $— $1,440,000 
LINICO related derivative2,893,325 — 2,893,325 — 
Haywood derivative1,160,000 — 1,160,000 — 
Total liabilities measured at fair value$5,493,325 $— $4,053,325 $1,440,000 

The following table presents our assets and liabilities measured at fair value on a recurring basis at December 31, 2023:

  Fair Value Measurements at
December 31, 2023
TotalQuoted
Prices
in Active
Markets
(Level 1)
Significant
Other
Observable
Inputs
(Level 2)
Significant
Unobservable
Inputs
(Level 3)
Liabilities:
Kips Bay convertible debt derivative$1,360,000 $— $— $1,360,000 
LINICO related derivative2,383,162 — 2,383,162 — 
Haywood derivative875,000 — 875,000 — 
GenMat derivative781,966 — 781,966 — 
Total liabilities measured at fair value$5,400,128 $— $4,040,128 $1,360,000 
Changes in the assets and liabilities that include level 3 inputs the following:

During the three months ended March 31, 2023, the Company recognized a gain of $240,000 for the change in fair value of the Ionic convertible debenture derivative. During the three months ended March 31, 2023, $156,000 of the derivative liability was fully converted using significant unobservable inputs (Level 3).
During the three months ended March 31, 2024, the Company recognized a gain of $516,601 for the change in fair value of the Kips Bay Note. During the three months ended March 31, 2024, $239,399 of the derivative liability was fully converted and on January 27, 2024, the Company recorded an additional $836,000 associated with the additional borrowings under the Kips Bay Note using significant unobservable inputs (Level 3).

VALUATION METHODOLOGIES

Following is a description of the valuation methodologies used for the Company's financial instruments measured at fair value on a recurring basis as well as the general classification of such instruments pursuant to the valuation hierarchy.

Derivatives

The Company has several derivatives associated with its common stock including make-whole commitments and debt conversion options. The following tables presents changes in our derivative liabilities for the three months ended March 31, 2024 and 2023, measured at fair value:

For the Three-Months Ended March 31, 2024
As of December 31, 2023(Additions) DeductionsUnrealized Gain (Loss) on Change in Fair ValuePayments for Decrease in Contractual Stock ConsiderationAs of March 31, 2024
Kips Bay convertible debt derivative$(1,360,000)$(596,601)$516,601 $— $(1,440,000)
LINICO related derivative(2,383,162)— (510,163)— (2,893,325)
Haywood derivative(875,000)— (285,000)— (1,160,000)
GenMat derivative(781,966)— (477,556)1,500,000 240,478 
Total liabilities measured at fair value$(5,400,128)$(596,601)$(756,118)$1,500,000 $(5,252,847)

For the Three-Months Ended March 31, 2023
As of December 31, 2022(Additions) DeductionsUnrealized Gain (Loss) on Change in Fair ValuePayments for Decrease in Contractual Stock ConsiderationAs of March 31, 2023
Ionic convertible debt derivative$(420,000)$156,000 $240,000 $— $(24,000)
LINICO related derivative(6,053,162)— 210,000 375,000 (5,468,162)
Haywood derivative(1,480,000)— 90,000 200,000 (1,190,000)
GenMat derivative(6,592,638)— 158,595 1,200,000 (5,234,043)
Total liabilities measured at fair value$(14,545,800)$156,000 $698,595 $1,775,000 $(11,916,205)

At March 31, 2024, December 31, 2023 and March 31, 2023, the fair value of the LINICO, the Haywood Property, and GenMat derivatives was based on a trading price of the Company’s shares of $0.36, $0.55 and $0.34, respectively.

Kips Bay Select LP Conversion Option

On December 27, 2023, the Company recorded a derivative liability on the consolidated balance sheets in connection with the Kips Bay Note. On that date, the $1,360,000 fair value of the derivative liability was determined based on bifurcation of the derivative liability from the convertible note. On January 27, 2024, the Company recorded an additional $836,000 associated with the additional borrowings under the Kips Bay Note (see Note 8, Debt Obligations). During the three months ended March 31, 2024 and 2023, the Company recorded a gain of $516,601 and $0, respectively, for the change in fair value of the derivative. At December 31, 2023, the derivative was valued using a Monte Carlo valuation model with a conversion price
equal to 90% of the average price capped at $1.00, discount rate of 35%, risk free rate of 4.54%, and volatility of 96.0%. At March 31, 2024, the derivative was valued using a Monte Carlo valuation model with a conversion price equal to 90% of the average price capped at $0.88, discount rate of 35%, risk free rate of 4.91%, and volatility of 81.0%. The derivative liability was classified within Level 3 of the valuation hierarchy.

Ionic Ventures, LLC Conversion Option

On December 16, 2022, we recorded a derivative liability on the consolidated balance sheets in connection with the Ionic Note. During the three months ended March 31, 2023, the Company recorded a gain of $240,000 for the change in fair value of the derivative. In 2023, the derivative was fully converted. The derivative liability was classified within Level 3 of the valuation hierarchy.

Other Financial Instruments

At March 31, 2024, the carrying amount of cash and cash equivalents, notes receivable and debt carried at amortized costs, approximates fair value because of the short-term maturity of these financial instruments.