Fair Value of Financial Instruments (Tables)

3 Months Ended

Mar. 31, 2023

Fair Value of Financial Instruments [Abstract]

Level 3 Fair Value Measurement Inputs

The Company used the Monte Carlo simulation model to determine the fair value of the Warrants and Cash-Settled PRSUs, which required the input of subjective assumptions. The fair value of the Warrants as of March 31, 2023 was estimated with the following assumptions.

Exercise Price	$	1.94
Common Stock Price	$	0.70
Risk Free Rate		3.6	%
Volatility		70.0	%
Term (in years)		3.9 yrs.

Assets and Liabilities Measured at Fair Value

The following table presents assets and liabilities measured at fair value at March 31, 2023:

(in thousands)	Quoted Prices in Active Markets for Identical Assets (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)		Total
Derivative liability	$	-	$	-	$	217	$	217
Warrant liability		-		-		267		267
Cash settled performance-vesting restricted stock units		-		-		62		62
Total liabilities	$	-	$	-	$	546	$	546

The following table presents assets and liabilities measured at fair value at December 31, 2022:

(in thousands)	Quoted Prices in Active Markets for Identical Assets (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)		Total
Derivative liability	$	-	$	-	$	285	$	285
Warrant liability		-		-		267		267
Cash settled performance-vesting restricted stock units		-		-		51		51
Total liabilities	$	-	$	-	$	603	$	603

Changes in Fair Value of Level 3 Liabilities

The following table summarizes changes in the fair value of our Level 3 liabilities during the three months ended March 31, 2023.

(in thousands)	Embedded Redemption Features			Warrant		Cash Settled PRSUs		Level 3 Total
Balance at December 31, 2022	$	285		$	267	$	51	$	603
Change in FV included in gain on derivative instruments, net		(68	)		-		-		(68	)
Stock compensation less payments made		-			-		11		11
Balance at March 31, 2023	$	217		$	267	$	62	$	546