FAIR VALUE MEASUREMENTS

6 Months Ended

Jun. 30, 2024

FAIR VALUE MEASUREMENTS [Abstract]

FAIR VALUE MEASUREMENTS

6. FAIR VALUE MEASUREMENTS

The following liabilities are recorded at fair value on a recurring basis:

• Embedded derivatives - Our convertible debt issued in February 2022, amended in June 2023 and our convertible debt issued in June 2023 (see Note 8 - Debt) includes certain embedded redemption features that are required to be bifurcated as embedded derivatives and measured at fair value on a recurring basis. We estimate the fair value using a Monte Carlo simulation based on estimates of our future stock price and assumptions about the possible redemption scenarios.

• Warrants - The Company used the Monte Carlo simulation model to determine the fair value of the Warrants, which required the input of subjective assumptions. (See Note 8 - Debt)

• Cash-Settled PRSUs - The Company used the Monte Carlo simulation model to determine the fair value of the cash-settled PRSUs, which required the input of subjective assumptions. All cash-settled PRSUs have been released or forfeited as of June 30, 2024.

As of June 30, 2024 and December 31, 2023, we considered the recorded value of certain of our financial assets and liabilities, which consist primarily of cash and cash equivalents, contract receivable and accounts payable, to approximate fair value based upon their short-term nature.

Table 6.1 - Fair Value Measurements - Current Period
	As of June 30, 2024
	Level 1		Level 2		Level 3		Total
	(in thousands)
Derivative liability	$	-	$	-	$	362	$	362
Warrant liability		-		-		1,499		1,499
Total liabilities	$	-	$	-	$	1,861	$	1,861

Table 6.2 - Fair Value Measurements - Prior Period
	As of December 31, 2023
	Level 1		Level 2		Level 3		Total
	(in thousands)
Derivative liability	$	-	$	-	$	588	$	588
Warrant liability		-		-		520		520
Cash settled performance-vesting restricted stock units		-		-		24		24
Total liabilities	$	-	$	-	$	1,132	$	1,132

Table 6.3 - Changes in Level 3 Fair Value Measurements for the Six Months Ended June 30, 2024
	Embedded Derivatives			Warrant		Cash Settled PRSUs			Level 3 Total
	(in thousands)
Balance at December 31, 2023	$	588		$	520	$	24		$	1,132
Change in fair value of derivative instruments, net included on statement of operations		(226	)		979		-			753
Stock compensation net of payments and forfeitures		-			-		(24	)		(24	)
Balance at June 30, 2024	$	362		$	1,499	$	-		$	1,861

Table 6.4 - Significant Unobservable Inputs Utilized for Level 3 as of June 30, 2024
	The “2022 Warrants”			2023 Convertible Note			The “2023 Warrants”
Exercise Price	$	19.40		$	5.00		$	5.00
Common Stock Price		4.60			4.60			4.60
Risk Free Rate		4.4	%		4.4	%		4.4	%
Volatility		100.0	%		100.0	%		100.0	%
Term (in years)	2.7 yrs.			1.0 yrs.			4.0 yrs.