Fair Value of Financial Instruments (Tables)

3 Months Ended

Mar. 31, 2023

Fair Value of Financial Instruments [Abstract]

Assets and Liabilities Measured and Recorded at Fair Value on Recurring Basis

Level 3 assets and liabilities measured and recorded at fair value on a recurring basis at March 31, 2023 and December 31, 2022 were as follows:

	March 31, 2023		December 31, 2022
Derivative Liability – Contingent Interest April Note	$	587,000	$	249,000
Derivative Liability – Contingent Interest September Note	$	276,000	$	109,000
Derivative Liability – Contingent Interest December Note	$	479,000	$	215,000

April Note [Member]

Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]

Key Assumptions Used in Model at Inception

The April Note derivative liability – contingent interest was valued using a Monte Carlo Geometric Brownian Stock Path Model. The key assumptions used in the model at March 31, 2023 and December 31, 2022 are as follows:

	March 31, 2023			December 31, 2022
Stock Price	$	2.10		$	1.13
Conversion Price of conversion feature	$	5.00		$	5.00
Term	2.04 years			2.29 years
Risk Free Interest Rate		4.06	%		4.41	%
Credit Adjusted Discount Rate		14.04	%		14.76	%
Volatility		85	%		81	%
Dividend Rate		0	%		0	%

Roll Forward of Derivative Liability - Contingent Interest

The roll forward of the April Note derivative liability – contingent interest is as follows for the three months ended March 31, 2023 and 2022:

Balance – December 31, 2022	$	249,000
Fair Value Adjustment		338,000
Balance – March 31, 2023	$	587,000
Balance – December 31, 2021	$	495,000
Fair Value Adjustment		(104,000	)
Balance – March 31, 2022	$	391,000

September Note [Member]

Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]

Key Assumptions Used in Model at Inception

The September Note derivative liability – contingent interest was valued using a Monte Carlo Geometric Brownian Stock Path Model. The key assumptions used in the model at March 31, 2023 and December 31, 2022 are as follows:

	March 31, 2023			December 31, 2022
Stock Price	$	2.10		$	1.13
Conversion Price of conversion feature	$	8.64		$	8.64
Term	2.47 years			2.72 years
Risk Free Interest Rate		3.94	%		4.22	%
Credit Adjusted Discount Rate		14.04	%		14.76	%
Volatility		80	%		81	%
Dividend Rate		0	%		0	%

Roll Forward of Derivative Liability - Contingent Interest

The roll forward of the September Note derivative liability – contingent interest is as follows:

Balance – December 31, 2022	$	109,000
Fair Value Adjustment		167,000
Balance – March 31, 2023	$	276,000
Balance – December 31, 2021		250,000
Fair Value Adjustment		(62,000	)
Balance – March 31, 2022	$	188,000

December Note [Member]

Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]

Key Assumptions Used in Model at Inception

The December Note derivative liability – contingent interest was valued using a Monte Carlo Geometric Brownian Stock Path Model. The key assumptions used in the model at March 31, 2023 and December 31, 2022 are as follows:

	March 31, 2023			December 31, 2022
Stock Price	$	2.10		$	1.13
Conversion Price of conversion feature	$	5.43		$	5.43
Term	2.73 years			2.97 years
Risk Free Interest Rate		3.81	%		4.22	%
Credit Adjusted Discount Rate		14.04	%		14.76	%
Volatility		80	%		83	%
Dividend Rate		0	%		0	%

Roll Forward of Derivative Liability - Contingent Interest

The roll forward of the December Note derivative liability – contingent interest is as follows:

Balance – December 31, 2022	$	215,000
Fair Value Adjustment		264,000
Balance – March 31, 2023	$	479,000
Balance – December 31, 2021	$	109,000
Fair Value Adjustment		167,000
Balance – March 31, 2022	$	276,000