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Fair Value Measurements (Tables)
9 Months Ended 12 Months Ended
Sep. 30, 2022
Dec. 31, 2021
Fair Value Disclosures [Abstract]    
Schedule of financial instruments that are measured or disclosed at fair value

     

Fair Value Measurements as of
September 30, 2022

   

Level 1

 

Level 2

 

Level 3

Assets:

 

 

   

 

   

 

 

Cash equivalents

 

$

166

 

$

 

$

Total

 

$

166

 

$

 

$

     

Fair Value Measurements as of
December 31, 2021

   

Level 1

 

Level 2

 

Level 3

Assets:

 

 

   

 

   

 

 

 

Cash equivalents

 

$

4,863

 

$

 

$

 

Liabilities:

 

 

   

 

   

 

 

 

Derivative liability

 

 

 

 

 

 

(3,488

)

Total

 

$

4,863

 

$

 

$

(3,488

)

     

Fair Value Measurements as of
December 31, 2021

   

Level 1

 

Level 2

 

Level 3

Assets:

 

 

   

 

   

 

 

 

Cash equivalents

 

$

4,863

 

$

 

$

 

Liabilities:

 

 

   

 

   

 

 

 

Derivative liability

 

 

 

 

 

 

(3,488

)

Warrant liability

 

 

 

 

 

 

 

Total

 

$

4,863

 

$

 

$

(3,488

)

     

Fair Value Measurements as of
December 31, 2020

   

Level 1

 

Level 2

 

Level 3

Assets:

 

 

   

 

   

 

 

 

Cash equivalents

 

$

35,856

 

$

 

$

 

Liabilities:

 

 

   

 

   

 

 

 

Derivative liability

 

 

 

 

 

 

(2,380

)

Warrant liability

 

 

 

 

 

 

(2,004

)

Total

 

$

35,856

 

$

 

$

(4,384

)

Schedule of company determined the fair value of the series C preferred stock warrants using the black-scholes

     

September 30,
2021

Expected dividend rate

 

0

%

Risk-free interest rate

 

0.26

%

Expected volatility

 

44

%

Expected term (in years)

 

1.89

 

 

SVB March 2021 Note Common Stock Warrants

   

Expected dividend rate

 

0

%

Risk-free interest rate

 

1.74

%

Expected volatility

 

47

%

Expected term (in years)

 

10.00

 

      

 

SCI June 2021 Note Common Stock Warrants

   

Expected dividend rate

 

0

%

Risk-free interest rate

 

1.51

%

Expected volatility

 

47

%

Expected term (in years)

 

10.00

 

     

December 31,
2020

Expected dividend rate

 

0

%

Risk-free interest rate

 

0.14

%

Expected volatility

 

48

%

Expected term (in years)

 

2.16

 

     

December 31,
2020

Expected dividend rate

 

0

%

Risk-free interest rate

 

0.16

%

Expected volatility

 

47

%

Expected term (in years)

 

2.87

 

 

SVB March 2021 Note Common Stock Warrants

   

Expected dividend rate

 

0

%

Risk-free interest rate

 

1.74

%

Expected volatility

 

47

%

Expected term (in years)

 

10.00

 

 

SCI June 2021 Note Common Stock Warrants

   

Expected dividend rate

 

0

%

Risk-free interest rate

 

1.51

%

Expected volatility

 

47

%

Expected term (in years)

 

10.00

 

Schedule to determine the fair value of the embedded derivative

     

December 31,
2021

Probability of Next Equity Financing

 

3

%

Probability of SPAC/PIPE

 

95

%

Probability of IPO

 

2

%

   

100

%

Weighted average term (years)

 

0.27

 

Weighted average discount rate

 

25.00

%

     

December 31,
2021

 

December 31,
2020

Probability of Next Equity Financing

 

3

%

 

65

%

Probability of SPAC/PIPE

 

95

%

 

33

%

Probability of IPO

 

2

%

 

2

%

   

100

%

 

100

%

Weighted average term (years)

 

0.27

 

 

0.26

 

Weighted average discount rate

 

25.00

%

 

8.63

%

Schedule of changes in fair value of the company’s derivative liability and warrant liability

     

Derivative
Liability

 

Warrant
Liability

Balance as of December 31, 2020

 

$

2,380

 

$

2,004

Change in fair value

 

 

1,090

 

 

2,701

Balance as of September 30, 2021

 

$

3,470

 

$

4,705

     

Derivative
Liability

 

Warrant
Liability

Balance as of December 31, 2021

 

$

3,488

 

 

$

Change in fair value

 

 

606

 

 

 

Extinguishment of embedded derivative upon conversion of
convertible note

 

 

(4,094

)

 

 

Balance as of September 30, 2022

 

$

 

 

$

     

Derivative
Liability

 

Warrant
Liability

Balance as of January 1, 2020

 

$

 

 

$

3,348

 

Initial fair value of derivative liability

 

 

6,481

 

 

 

 

Extinguishment of derivative liability

 

 

(5,360

)

 

 

 

Exercise of warrants

 

 

 

 

 

(1,931

)

Change in fair value

 

 

1,259

 

 

 

587

 

Balance as of December 31, 2020

 

 

2,380

 

 

 

2,004

 

Change in fair value

 

 

1,108

 

 

 

3,812

 

Exercise of warrants

 

 

 

 

 

(5,816

)

Balance as of December 31, 2021

 

$

3,488

 

 

$

 

Schedule of fair value remeasurement of embedded derivative

     

Three Months Ended
September 30,

 

Nine Months Ended
September 30,

   

2022

 

2021

 

2022

 

2021

Remeasurement of conversion
feature – loss

 

$

 

$

(640

)

 

$

(606

)

 

$

(1,090

)