Quarterly report pursuant to Section 13 or 15(d)

Fair Value Measurements (Tables)

v3.23.1
Fair Value Measurements (Tables)
3 Months Ended
Mar. 31, 2023
Fair Value Disclosures [Abstract]  
Schedule of Financial Liabilities Measured at Fair Value on Recurring Basis by Level Within Fair Value Hierarchy

 

    Fair Value Measurements as of March 31, 2023  
Description   Level 1     Level 2     Level 3     Total  
Derivative liability                                
Common stock warrants   $ -     $ -     $ 2,267     $ 2,267  

 

    Fair Value Measurements as of December 31, 2022  
Description   Level 1     Level 2     Level 3     Total  
Derivative liability                                
Common stock warrants   $ -     $ -     $ 5,126     $ 5,126  
Schedule of Fair Value Measurement Hierarchy of Derivative Liability

The Company did not have any transfers of assets and liabilities between Level 1 and Level 2 of the fair value measurement hierarchy during the three months ended March 31, 2023, and 2022. The following table presents a reconciliation of the derivative liabilities measured at fair value on a recurring basis using significant unobservable inputs (Level 3) during the three months ended March 31, 2023, and 2022 (in thousands):

 

    Common Stock
Warrants
 
Balance as of December 31, 2021   $ (347 )
Change in fair value     41  
Issuance of derivatives     -  
Exercise of warrants     -  
Balance as of March 31, 2022   $ (306 )
         
Balance as of December 31, 2022   $ (5,126 )
Issuance of derivatives     (6,650 )
Exercise of warrants     5,502  
Change in fair value     4,006  
Other     1  
Balance as of March 31, 2023   $ (2,267 )
Schedule of Assumptions Used in Estimating Fair Value

The assumptions used in estimating the common stock warrant liability using the Monte Carlo simulation valuation model as of March 31, 2023, and December 31, 2022 were as follows:

 

   

March 31,

2023

   

December 31,

2022

 
Weighted-average risk-free interest rate     3.60%-4.74 %     3.99%-4.42 %
Weighted-average expected life (in years)     0.11-4.87       0.07-4.80  
Expected dividend yield     - %     - %
Weighted-average expected volatility     109.2%-141.8 %     103.6%-243.0 %