Fair Value of Financial Instruments (Tables)

6 Months Ended

Jun. 30, 2023

Fair Value of Financial Instruments [Abstract]

Level 3 Fair Value Measurement Inputs

The Company used the Monte Carlo simulation model to determine the fair value of the Warrants (see Note 10) and Cash-Settled PRSUs, which required the input of subjective assumptions. The fair value of the Warrants as of June 30, 2023 was estimated with the following assumptions.

	Amended 2022 Convertible Note		2023 Convertible Note
Exercise Price	$	1.94	$	0.50
Common Stock Price	$	0.36	$	0.36
Risk Free Rate		4.31%		4.13%
Volatility		70.0%		75.0%
Term (in years)	3.7 yrs.		2.0 yrs.

Assets and Liabilities Measured at Fair Value

The following table presents assets and liabilities measured at fair value at June 30, 2023:

(in thousands)	Quoted Prices in Active Markets for Identical Assets (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)		Total
Derivative liability	$	-	$	-	$	664	$	664
Warrant liability		-		-		1,054		1,054
Cash settled performance-vesting restricted stock units		-		-		89		89
Total liabilities	$	-	$	-	$	1,807	$	1,807

The following table presents assets and liabilities measured at fair value at December 31, 2022:

(in thousands)	Quoted Prices in Active Markets for Identical Assets (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)		Total
Derivative liability	$	-	$	-	$	285	$	285
Warrant liability		-		-		267		267
Cash settled performance-vesting restricted stock units		-		-		51		51
Total liabilities	$	-	$	-	$	603	$	603

Changes in Fair Value of Level 3 Liabilities

The following table summarizes changes in the fair value of our Level 3 liabilities during the six months ended June 30, 2023.

(in thousands)	Embedded Redemption Features		Warrant			Cash Settled PRSUs		Level 3 Total
Balance at December 31, 2022	$	285	$	267		$	51	$	603
FV of derivatives with new convertible note issuance		286		1,120			-		1,406
Change in FV included in gain on derivative instruments, net		93		(333	)		-		(240	)
Stock compensation less payments made		-		-			38		38
Balance at June 30, 2023	$	664	$	1,054		$	89	$	1,807