Debt and Fair Value of Financial Instruments (Tables)

9 Months Ended

Sep. 30, 2022

Debt Disclosure [Abstract]

Balance of the Notes

The balance of the Notes as of September 30, 2022 is as follows (unaudited, in thousands):

	Current		Long term		Total
Gross Balance as of September 30, 2022	$	10,500	$	4,500	$	15,000
Unamortized Discount	(6,687)		(585)		$	(7,272)
Unamortized Issuance Costs	(378)		(42)		$	(420)
Net Balance as of September 30, 2022	$	3,435	$	3,873	$	7,308

Summary of Assumptions Utilized

These derivatives are initially recognized at a fair value of $4.2 million based on the net present value of the expected cash flows and a Black-Scholes option pricing model, respectively, with the following assumptions being utilized:

	Convertibles Notes Derivative
	August 11, 2022			September 30, 2022
Common stock market price	$	3.04		$	2.26
Risk-free interest rate	3.28		%	3.89		%
Expected dividend yield	—			—
Expected term (in years)	1.39			1.25
Expected volatility	56.32		%	57.73		%

Below are the specific assumptions utilized:

	Warrants						Additional Warrants
	August 11, 2022			September 30, 2022			August 12, 2022			September 30, 2022
Common stock market price	$	3.04		$	2.26		$	2.34		$	2.26
Risk-free interest rate	3.03		%	3.70		%	3.03		%	3.70		%
Expected dividend yield	—			—			—			—
Expected term (in years)	5.00			4.87			5.50			5.37
Expected volatility	66.85		%	66.51		%	70.55		%	68.50		%

Summary of Financial Liabilities Measured at Fair Value on a Recurring Basis

The following table presents information about the financial liabilities that are measured at fair value on a recurring basis at September 30, 2022 (in thousands):

	Level 1	Level 2	Level 3		Total
Notes and Warrants Offering Derivatives	—	—	$	2,173	$	2,173
Notes and Warrants Offering Warrants	—	—	2,462		2,462
Stock and Warrants Offering Warrants	—	—	1,486		1,486
Total at September 30, 2022	—	—	$	6,121	$	6,121

Schedule of Changes in Fair Value

The following table presents the changes in the fair value for the nine months ended September 30, 2022 (in thousands):

	Notes and Warrants Offering Derivatives		Notes and Warrants Offering Warrants		Stock and Warrants Offering Warrants		Total
Measurement at December 31, 2021	$	—	$	—	$	—	$	—
Additions	4,195		3,793		1,590		9,578
Change in Fair Value	(2,022)		(1,331)		(104)		(3,457)
Measurement at September 30, 2022	$	2,173	$	2,462	$	1,486	$	6,121