Financial Instruments Fair Value Measurements (Tables)

9 Months Ended

Sep. 30, 2022

Fair Value Disclosures [Abstract]

Schedule of Financial Liabilities Measured at Fair Value on Recurring Basis

The fair value hierarchy table for the reporting date noted is as follows:

	Fair Value Measurement on a Recurring Basis at Reporting Date Using(1)
	Level-1 Inputs		Level-2 Inputs		Level-3 Inputs		Total
September 30, 2022
Senior Secured Convertible Note - April 2022	$	—	$	—	$	23,500	$	23,500
Senior Secured Convertible Note - September 2022	$	—	$	—	$	12,000	$	12,000
Totals	$	—	$	—	$	35,500	$	35,500

⁽¹⁾ As noted above, as presented in the fair value hierarchy table, Level-1 represents quoted prices in active markets for identical items, Level-2 represents significant other observable inputs, and Level-3 represents significant unobservable inputs. There were no transfers between the respective Levels during the period ended September 30, 2022.

Schedule of Fair Value Assumption Used

The estimated fair value of the April 2022 Senior Convertible Note as of each of April 4, 2022 and September 30, 2022, and the estimated fair value of the September 2022 Senior Convertible Note as of each of September 8, 2022 and September 30, 2022 were computed using a Monte Carlo simulation of the present value of its cash flows using a synthetic credit rating analysis and a required rate-of-return, using the following assumptions:

	April 2022 Senior Convertible Note: April 4, 2022			September 2022 Senior Convertible Note: September 8, 2022			April 2022 Senior Convertible Note: September 30, 2022			September 2022 Senior Convertible Note: September 30, 2022
Fair Value	$	30,100		$	12,200		$	23,500		$	12,000
Face value principal payable	$	27,500		$	11,250		$	22,511		$	11,250
Required rate of return		7.875	%		7.875	%		11.50	%		11.60	%
Conversion Price	$	5.00		$	5.00		$	5.00		$	5.00
Value of common stock	$	1.26		$	1.21		$	0.86		$	0.86
Expected term (years)		2.00			2.00			1.30			1.94
Volatility		115.00	%		120.00	%		135.00	%		135.00	%
Risk free rate		2.40	%		3.42	%		4.02	%		4.12	%
Dividend yield		—	%		—	%		—	%		—	%