Quarterly report pursuant to Section 13 or 15(d)

Fair Value Measurements (Tables)

v3.23.3
Fair Value Measurements (Tables)
9 Months Ended
Sep. 30, 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 September 30, 2023  
Description   Level 1     Level 2     Level 3     Total  
Derivative liability                                
Common stock warrants   $ -     $ -     $ 677     $ 677  

 

    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 nine months ended September 30, 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 nine months ended September 30, 2023, and 2022 (in thousands):

 

    Common  
    Stock  
    Warrants  
Balance as of December 31, 2021   $ (347 )
Issuance of derivatives     -  
Exercise of warrants     -  
Change in fair value     208  
Other     -  
Balance as of September 30, 2022   $ (139 )
         
Balance as of December 31, 2022   $ (5,126 )
Issuance of derivatives     (6,650 )
Exercise of warrants     5,753  
Change in fair value     5,344  
Other     2  
Balance as of September 30, 2023   $ (677 )
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 September 30, 2023, and December 31, 2022 were as follows:

 

    September 30,
2023
    December 31,
2022
 
Weighted-average risk-free interest rate     4.70 %-5.55 %     3.99%-4.42 %
Weighted-average expected life (in years)     1.36-4.37       0.07-4.80  
Expected dividend yield     - %     - %
Weighted-average expected volatility     102.79%-126.05 %     103.6%-243.0 %