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Financial Instruments Fair Value Measurements (Tables)
 6 Months Ended
Jun. 30, 2023
Fair Value, off-Balance-Sheet Risks, Disclosure Information [Line Items]  
Schedule of Financial Liabilities Measured at Fair Value on Recurring Basis

The fair value hierarchy table for the periods indicated is as follows:

 

Schedule of Financial Liabilities Measured at Fair Value on Recurring Basis

   Fair Value Measurement on a Recurring Basis at Reporting Date Using1 
   Level-1 Inputs   Level-2 Inputs   Level-3 Inputs   Total 
June 30, 2023                    
Senior Secured Convertible Note - April 2022  $—   $—   $19,530   $19,530 
Senior Secured Convertible Note - September 2022   —    —    11,850    11,850 
Lucid Senior Secured Convertible Note - March 2023   —    —    11,610    11,610 
Derivative liability   —    —    260    260 
Totals  $—   $—   $43,250   $43,250 

 

   Level-1 Inputs   Level-2 Inputs   Level-3 Inputs   Total 
December 31, 2022                    
Senior Secured Convertible Note - April 2022  $—   $—   $22,000   $22,000 
Senior Secured Convertible Note - September 2022   —    —    11,650    11,650 
Totals  $—   $—   $33,650   $33,650 

 

1 There were no transfers between the respective Levels during the period ended June 30, 2023.
Schedule of Fair Value Assumption Used

The estimated fair value of the Lucid March 2023 Senior Convertible Note as of each of March 21, 2023 and June 30, 2023, and the estimated fair value of the April 2022 Senior Convertible Note and the September 2022 Senior Convertible Note as of June 30, 2023, 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:

 

Schedule of Fair Value Assumption Used 

   April 2022 Senior Convertible Note:
June 30, 2023		   September 2022 Senior Convertible Note:
June 30, 2023		   Lucid March 2023 Senior Convertible Note:
March 21, 2023		   Lucid March 2023 Senior Convertible Note:
June 30, 2023		 
Fair Value  $19,530   $11,850   $11,900   $11,610 
Face value principal payable  $18,554   $

11,250

   $11,111   $11,111 
Required rate of return   11.400%   11.300%   11.00%   11.00%
Conversion Price  $5.00   $5.00   $5.00   $5.00 
Value of common stock  $0.41   $0.41   $1.54   $1.39 
Expected term (years)   0.29    1.19    2.00    1.73 
Volatility   200.00%   200.00%   75.00%   70.00%
Risk free rate   5.29%   5.21%   4.09%   4.89%
Dividend yield   —%   —%   —%   —%
Derivative [Member]  
Fair Value, off-Balance-Sheet Risks, Disclosure Information [Line Items]  
Schedule of Fair Value Assumption Used

The estimated fair value of the written protective put derivative liability, as such is discussed above, were computed using a Monte Carlo simulation to generate stock price paths (assuming geometric-Brownian motion) of the PAVmed Inc. common stock to compute the respective written protective put expected fair value, with the principal assumptions of such estimated fair value computation, for the respective measurement dates noted, as follows:

 

Schedule of Fair Value Assumption Used

   As of:
May 31, 2023		   As of:
June 30, 2023		 
Fair Value  $262   $260 
Contractual minimum effective conversion price  $0.50   $0.50 
Price per share  $0.40   $0.41 
Remaining expected term (years)   0.50    0.42 
Volatility   160.00%   200.00%
Risk free rate   5.30%   5.30%
Dividend yield   —%   —%