4. Fair Value Measurement (Tables)

9 Months Ended

Sep. 30, 2022

Fair Value, Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items]

Schedule of Fair Value Hierarchy Assets and Liabilities

The Company’s financial assets and liabilities measured at fair value at September 30, 2022 and December 31, 2021 are as follows (in thousands):

		Fair Value Measurements
		as of September 30, 2022
		(Level 1)		(Level 2)		(Level 3)		Total
Assets:
Cash	$	30,511	$	-	$	-	$	30,511
Liabilities:
Convertible notes payable, at fair value	$	-	$	-	$	21,397	$	21,397
Warrant liabilities, at fair value		-		-		232		232
	$	-	$	-	$	21,629	$	21,629

		Fair Value Measurements
		as of December 31, 2021
		(Level 1)		(Level 2)		(Level 3)		Total
Assets:
Cash	$	78,734	$	-	$	-	$	78,734
Liabilities:
Convertible notes payable, at fair value	$	-	$	-	$	18,920	$	18,920
Derivative liability, at fair value		1,174		-		-		1,174
Warrant liabilities, at fair value		-		-		424		424
	$	1,174	$	-	$	19,344	$	20,518

Schedule of Fair Value Level 3 Reconciliation

The following table is a reconciliation for the common stock warrant liabilities and convertible notes measured at fair value using Level 3 unobservable inputs (in thousands): 

		Warrant		Derivative		Convertible notes,
		liabilities		liability		at fair value
Balance as of December 31, 2020	$	1,062	$	-	$	-
Warrant liability reclassified to stockholders' equity		(1,155)		-		-
Issuance of convertible notes, at fair value		-		-		19,150
Issuance of derivative liability		-		805		-
Change in fair value measurement of derivative liability		-		369		-
Change in fair value measurement of convertible notes		-		-		(230)
Change in fair value measurement of warrant liability		517		-		-
Balance as of December 31, 2021	$	424	$	1,174	$	18,920
Settlement of derivative liability		-		(1,174)		-
Change in fair value measurement of convertible notes		-		-		2,477
Change in fair value measurement of warrant liability		(192)		-		-
Balance as of September 30, 2022	$	232	$	-	$	21,397

Long-Term Debt [Member]

Fair Value, Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items]

Summary of Fair Value Measurements Warrant Valuation Assumptions

The 2021 Convertible Notes are valued using a Monte Carlo simulation model. The following assumptions were used in determining the fair value of the 2021 Convertible Notes during the nine months ended September 30, 2022 and the year ended December 31, 2021:

		Nine Months Ended		Year Ended
		September 30, 2022		December 31, 2021
Risk-free interest rate		4.28%		0.90% - 0.95%
Volatility		105%		113% - 114%
Dividend yield		-%		-%
Contractual term (years)		2.2		3.0
Stock price	$	1.03	$	1.74 - 1.95

Warrant [Member]

Fair Value, Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items]

Summary of Fair Value Measurements Warrant Valuation Assumptions

The following assumptions were used in determining the fair value of the warrant liabilities valued using the Black-Scholes option pricing model for the nine months ended September 30, 2022 and 2021:

		Nine Months Ended September 30,
		2022		2021
Risk-free interest rate		4.08%		0.36%
Volatility		80.30%		110.19%
Dividend yield		-%		-%
Expected term (years)		1.32		2.32
Weighted-average fair value	$	0.77	$	2.17