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Fair Value Measurements (Tables)
 9 Months Ended
Sep. 30, 2022
Fair Value Disclosures [Abstract]  
Schedule of Assets and Liabilities Measured at Fair Value

The following table presents the Company’s assets and liabilities that are measured and recognized at fair value on a recurring basis classified under the appropriate level of the fair value hierarchy as of September 30, 2022.

 

 

As of September 30, 2022

 

 

Fair Value Measurements

As of September 30, 2022

 

 

 

Carrying Amount

 

 

Fair Value

 

 

Level 1

 

 

Level 2

 

 

Level 3

 

Assets:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Money Market Funds in Cash Equivalents

 

$

5,877,923

 

 

$

5,877,923

 

 

$

5,877,923

 

 

$

—

 

 

$

—

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Debt:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Secured Convertible Notes

 

$

3,603,000

 

 

$

3,603,000

 

 

$

—

 

 

$

—

 

 

$

3,603,000

 

Bridge Loan

 

$

4,478,359

 

 

$

4,478,359

 

 

$

—

 

 

$

—

 

 

$

4,478,359

 

 

 

$

8,081,359

 

 

$

8,081,359

 

 

$

—

 

 

$

—

 

 

$

8,081,359

 
Schedule of Change in Fair Value

The significant unobservable inputs used in calculating the fair value of the Secured Convertible Notes and Bridge Loan represent management’s best estimates and involve inherent uncertainties and the application of management’s judgment. Any significant changes in the inputs described herein may result in significantly higher or lower fair value measurements. The Company recognized an increase in the fair value of the Bridge Loan of $0.4 million during the three months ended September 30, 2022 and a decrease of $1.7 million during the nine months ended September 30, 2022, through non-operating income in the statement of operations. During the three and nine months ended September 30, 2022, the Company recognized a decrease in the fair value of the Secured Convertible Notes of $0.7 million and $2.4 million, respectively, through non-operating income in the statement of operations.

 

 

December 31, 2021

 

 

Loan Received

 

 

Payments

 

 

Accretion/ Interest Accrued

 

 

Adjustment to Fair Value Mark to Market

 

 

September 30, 2022

 

Secured Convertible Notes

 

$

—

 

 

$

6,000,000

 

 

$

—

 

 

$

—

 

 

$

(2,397,000

)

 

$

3,603,000

 

Bridge Loan

 

$

—

 

 

$

6,172,969

 

 

$

—

 

 

$

—

 

 

$

(1,694,610

)

 

$

4,478,359

 

 

 

$

—

 

 

$

12,172,969

 

 

$

—

 

 

$

—

 

 

$

(4,091,610

)

 

$

8,081,359