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Fair Value Measurements (Tables)
 12 Months Ended
Dec. 31, 2022
Fair Value Measurements [Abstract]  
Liabilities Measured at Fair Value on Recurring Basis The following table classifies the Company’s liabilities measured at fair value on a recurring basis into the fair value hierarchy:

   
Fair value measurement at December 31, 2022
  
(in thousands)
  
Fair value
    
Quoted
prices in
active
markets
(Level 1)
    
Significant
other
observable
inputs
(Level 2)
    
Significant
unobservable
inputs
(Level 3)
  
Warrant liability
  
$
1,416
    

-
    

-
    
$
1,416
  
Conversion option
    
2,340
      
-
      
-
      
2,340
  
Total Fair Value
   $
3,756
     $
-
     $
-
     $
3,756
  

   
Fair value measurement at December 31, 2021
  
(in thousands)
  
Fair value
    
Quoted
prices in
active
markets
(Level 1)
    
Significant
other
observable
inputs
(Level 2)
    
Significant
unobservable
inputs
(Level 3)
  
Warrant liability
  
$
9,614
      
-
      
-
     $
9,614
  
Conversion option
    
6,255
      
-
      
-
      
6,255
  
Total Fair Value
   $
15,869
     $
-
     $
-
     $
15,869
  
Fair Value of Warrant Liabilities Using Black-Scholes Model
Significant Black Scholes valuation model inputs related to the Company’s warrants are listed below:

   
December 31, 2022
    
December 31, 2021
  
Weighted average expected life in years
    
4.68
      
4.67
  
Weighted average volatility
    
92
%
    
116
%
Value of underlying shares   $ 0.005     $ 0.17  
Weighted average risk free interest rate
    
4.00
%
    
1.20
%
Expected dividend yield
    
-
      
-
  
Warrants Outstanding and Fair Values
A summary of the Level 3 warrant activity is as follows:

(in thousands, except per share data)
 
Warrants
Outstanding
    
Fair Value
per Share
    
Warrant Liability
Fair Value
  
Balance December 31, 2020
     48,091     $
0.18     $
8,856  
Cashless exercise
    (11,400 )     0.18       (2,030 )
Issuance of warrants classified as liabilities
     25,926       0.10       2,282  
Change in fair value
    
-
              
506
  
Balance December 31, 2021
    
62,617
    
$
0.15
    
$
9,614
  
Warrants exercised
    
(27,037
)
    
0.09
      
(3,130
)
Issuance of warrants classified as liabilities
    
1,031,277
      
0.06
      
4,873
  
Change in fair value
    
-
              
(9,941
)
Balance December 31, 2022
    
1,066,857
    
$
0.06
    
$
1,416
  
Fair Value of Conversion Option Liabilities Using Black-Scholes Model Significant inputs related to the Level 3 fair value determination are as follows:

   
Initial Valuation Assumptions
    
Year End Valuation Assumptions
  
   
August 2022
Convertible Notes
    
November 2022
Convertible Notes
    
December 31, 2022
    
December 31, 2021
  
Conversion price (1)
  
$
0.04
    
$
0.04
    
$
0.04
    
$
0.11
  
Value of underlying shares
  
$
0.006
    
$
0.005
    
$
0.005
    
$
0.17
  
Interest Rate (annual) (2)
    
3.24
%
    
4.48
%
    
4.64
%
    
0.18
%
Volatility (annual) (3)
    
349
%
    
438
%
    
503
%
    
290
%
Time to maturity
    
1.00
      
0.73
      
0.60
      
0.50
  


(1)
Based on the terms provided in the convertible promissory note agreements to convert to common stock of the Company

(2)
Interest rate for U.S. Treasury Bonds, as of each presented period ending date, as published by the U.S. Federal Reserve.

(3)
Based on the historical daily volatility of the Company as of each presented period ending date. As of December 31, 2022 the Company applied a discount rate to the historical volatility.
Summary of Conversion Option Liability Activity
A summary of the conversion option liability activity is as follows:

(in thousands)  
Conversion
Liability
  
Balance December 31, 2020
  
$
-
  
Convertible feature
    
4,139
  
Change in fair value
    
2,116
  
Balance December 31, 2021
  
$
6,255
  
Issuance of Convertible Notes
    
2,760
  
Settlement of convertible notes
    
(218
)
Change in fair value
    
(6,457
)
Balance December 31, 2022
  
$
2,340