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Financial Instruments Fair Value Measurements (Tables)
 6 Months Ended
Jun. 30, 2024
Fair Value Disclosures [Abstract]  
Schedule of Financial Liabilities Measured at Fair Value on Recurring Basis

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

 

   Fair Value Measurement on a Recurring Basis at Reporting Date Using1 
   Level-1 Inputs   Level-2 Inputs   Level-3 Inputs   Total 
June 30, 2024                    
Senior Secured Convertible Note - April 2022  $—   $—   $19,200   $19,200 
Senior Secured Convertible Note - September 2022   —    —    13,600    13,600 
Lucid Senior Secured Convertible Note - March 2023   —    —    11,200    11,200 
Totals  $—   $—   $44,000   $44,000 

 

   Level-1 Inputs   Level-2 Inputs   Level-3 Inputs   Total 
December 31, 2023                    
Senior Secured Convertible Note - April 2022  $—   $—   $19,000   $19,000 
Senior Secured Convertible Note - September 2022   —    —    11,250    11,250 
Lucid Senior Secured Convertible Note - March 2023   —    —    13,950    13,950 
Totals  $—   $—   $44,200   $44,200 

 

1There were no transfers between the respective Levels during the six months ended June 30, 2024.
Schedule of Fair Value Assumption Used

The estimated fair value of the April 2022 Senior Convertible Note, the September 2022 Senior Convertible Note and the Lucid March 2023 Senior Convertible Note as of each of June 30, 2024 and December 31, 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:

 

   April 2022 Senior
Convertible Note:
June 30, 2024		   September 2022 Senior
Convertible Note:
June 30, 2024		   Lucid March 2023 Senior
Convertible Note:
June 30, 2024		 
Fair Value  $19,200   $13,600   $11,200 
Face value principal payable  $17,602   $8,082   $9,811 
Required rate of return   10.000%   9.700%   10.00%
Conversion Price  $75.00   $75.00   $5.00 
Value of common stock  $0.82   $0.82   $0.82 
Expected term (years)   0.76    1.19    0.72 
Volatility   160.00%   160.00%   60.00%
Risk free rate   5.07%   4.90%   5.09%
Dividend yield   —%   —%   —%

 

   April 2022 Senior
Convertible Note:
December 31, 2023		   September 2022 Senior
Convertible Note:
December 31, 2023		   Lucid March 2023 Senior
Convertible Note:
December 31, 2023		 
Fair Value  $19,000   $11,250   $13,950 
Face value principal payable  $17,602   $9,062   $11,019 
Required rate of return   10.00% - 10.50%   10.00% - 10.20%   10.00%
Conversion Price  $75.00   $75.00   $5.00 
Value of common stock  $4.12   $4.12   $1.41 
Expected term (years)   0.26 - 1.26    0.69 - 1.69    1.22 
Volatility   85.00%   85.00%   60.00%
Risk free rate   4.54% - 5.25%   4.31% - 4.96%   4.56%
Dividend yield   —%   —%   —%