Derivatives Liability (Tables)

9 Months Ended

Sep. 30, 2023

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Summary of Measurement Input Valuation Techniques

The fair value of the warrants classified as liabilities was determined using the Black-Scholes simulation model based on Level 3 inputs on the fair value hierarchy. The following assumptions were used for the periods presented:

	Issuance Date			September 30, 2023
Share Price	$	0.10		$	0.25
Exercise Price	$	0.17		$	0.17
Expected Life	2.7 years			2.6 years
Annualized Volatility	84.5		%	88.8		%
Risk-Free Annual Interest Rate	4.5		%	4.8		%

Fair Value, Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation

For the three and nine months ended September 30, 2023 and 2022, changes in fair value of the derivative liabilities measured on a recurring basis using significant unobservable inputs (Level 3) were as follows:

	Three Months Ended September 30,				Nine Months Ended September 30,
	2023		2022		2023		2022
Balance, beginning of period	$	—	$	428	$	—	$	3,502
Issuance of warrants	4,165		—		4,165		—
Change in fair value of derivative liability	11,931		(420)		11,931		(3,494)
Balance, end of period	$	16,096	$	8	$	16,096	$	8