XML 40 R29.htm IDEA: XBRL DOCUMENT v3.23.3
Fair Value Measurements (Tables)
9 Months Ended
Sep. 30, 2023
Fair Value, Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items]  
Summary of fair value hierarchy

September 30

December 31

Description

    

Level

    

2023

2022

Assets:

(Unaudited)

Money Market Account

1

$

7,034

$

15,249

Liabilities:

Warrant liabilities (Note 11)

3

$

10

$

37

Convertible note payable (Note 7)

 

3

$

10,069

$

10,525

Schedule of measure the convertible note liability

    

September 30, 2023

Stock price on valuation date

$

0.26

Time to expiration

0.59

Note market interest rate

8.4%

Equity volatility

 

90.0%

Volume volatility

365.0%

Risk-free rate

 

5.52%

Probability of default

 

3.2%

Summary of Convertible note payable

The following table presents the Note as of September 30, 2023 (in thousands):

September 30, 2023

December 31, 2022

(Unaudited)

Par value of the Note

$

11,020

$

11,020

Debt discount

(497)

(1,000)

Repayment of principal and interest

(3,270)

Carrying value of the Note before current period change in fair value

7,253

10,020

Fair value adjustment through earnings

2,794

505

Fair value adjustment through accumulated other comprehensive income

22

Total carrying value of Note

$

10,069

$

10,525

Convertible note payable - current portion

$

10,069

$

7,703

Convertible note payable, net of current portion

$

$

2,822

Schedule of significant unobservable inputs

The significant inputs used in the Black-Scholes model to measure the warrant liabilities that are categorized within Level 3 of the fair value hierarchy are as follows:

    

September 30, 2023

Stock price on valuation date

$

0.26 - 0.66

Exercise price per share

$

3.48 - 11.50

Expected life

 

0.02 - 3.15

Volatility

 

55.0 - 175.1%

Risk-free rate

 

3.79 - 5.40%

Dividend yield

 

0.00%

Fair value of warrants

$

0.00 - 79.34

Common stock warrants  
Fair Value, Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items]  
Schedule of reconciliation of liabilities

A reconciliation of warrant liabilities is included below (in thousands):

    

September 30, 2023

Balance as of December 31, 2022

$

37

Gain upon re-measurement

(12)

Balance as of March 31, 2023

25

Gain upon re-measurement

11

Balance as of June 30, 2023

36

Gain upon re-measurement

(26)

Balance as of September 30, 2023

$

10

Convertible notes payable | Level 3  
Fair Value, Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items]  
Summary of Convertible note payable

The following table sets forth a summary of the changes in the fair value of the Note categorized within Level 3 of the fair value hierarchy (in thousands):

September 30, 2023

December 31, 2022

(Unaudited)

Par value of the Note

$

11,020

$

11,020

Debt discount

(497)

(1,000)

Repayment of principal and interest

(3,270)

Carrying value of the Note before current period change in fair value

7,253

10,020

Fair value adjustment through earnings

2,794

505

Fair value adjustment through accumulated other comprehensive income

22

Total carrying value of Note

$

10,069

$

10,525

Convertible note payable - current portion

$

10,069

$

7,703

Convertible note payable, net of current portion

$

$

2,822