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Fair Value Measurements | 9 Months Ended
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Sep. 30, 2023
Fair Value Disclosures [Abstract] |
Fair Value Measurements | (12) Fair Value Measurements Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability (an exit price) in the principal or most advantageous market for the asset or liability in an orderly transaction between market participants on the measurement date. The following fair value hierarchy classifies the inputs to valuation techniques that would be used to measure fair value into one of three levels: Level 1: Unadjusted quoted prices in active markets for identical assets or liabilities. Level 2: Inputs other than quoted prices that are observable for the asset or liability, either directly or indirectly. These include quoted prices for similar assets or liabilities in active markets and quoted prices for identical or similar assets or liabilities in markets that are not active. Level 3: Unobservable inputs that reflect the reporting entity’s own assumptions. The following tables present information about the Company's assets and liabilities that are measured at fair value on a recurring basis and indicate the fair value hierarchy of the valuation inputs the Company utilized to determine such fair value:
|  | As of September 30, 2023 |
|  | Total |  |  | Quoted Prices In Active Markets (Level 1) |  |  | Significant Other Observable Inputs (Level 2) |  |  | Significant Other Unobservable Inputs (Level 3) |
Liabilities: |  |  |  |  |  |  |  |  |  |  |  |
Public Warrant liability |  | $ | 402,500 |  |  | $ | 402,500 |  |  | $ | — |  |  | $ | — |
Private Placement Warrant liability |  |  | 14,602 |  |  |  | — |  |  |  | — |  |  |  | 14,602 |
Total |  | $ | 417,102 |  |  | $ | 402,500 |  |  | $ | — |  |  | $ | 14,602 |
|  | As of December 31, 2022 |
|  | Total |  |  | Quoted Prices In Active Markets (Level 1) |  |  | Significant Other Observable Inputs (Level 2) |  |  | Significant Other Unobservable Inputs (Level 3) |
Liabilities: |  |  |  |  |  |  |  |  |  |  |  |
Public Warrant liability |  | $ | 310,500 |  |  | $ | 310,500 |  |  | $ | — |  |  | $ | — |
Private Placement Warrant liability |  | $ | 10,430 |  |  |  | — |  |  |  | — |  |  |  | 10,430 |
Total |  | $ | 320,930 |  |  | $ | 310,500 |  |  | $ | — |  |  | $ | 10,430 |
Public Warrants Each whole Public Warrant entitles the holder to purchase one share of the Company's common stock at a price of $11.50 per share, subject to adjustment as discussed herein. The Public Warrants became exercisable 30 days after Closing Date and will expire five years after the Closing Date, at 5:00 p.m., New York City time, or earlier upon redemption or liquidation. Once the warrants become exercisable, the Company may call the warrants for redemption: • in whole and not in part; • at a price of $0.01 per warrant; • upon not less than 30 days’ prior written notice of redemption (the “30-day redemption period”) to each warrant holder; and • if, and only if, the reported last sale price of the common stock equals or exceeds $18.00 per share (as adjusted for stock splits, stock dividends, reorganizations, recapitalizations and the like) for any 20 trading days within a 30-trading day period ending three business days before the Company send the notice of redemption to the warrant holders. If the Company calls the warrants for redemption as described above, the management will have the option to require any holder that wishes to exercise its warrant to do so on a “cashless basis.” If the management takes advantage of this option, all holders of warrants would pay the exercise price by surrendering their warrants for that number of shares of common stock equal to the quotient obtained by dividing (x) the product of the number of shares of common stock underlying the warrants, multiplied by the excess of the “fair market value” (defined below) over the exercise price of the warrants by (y) the fair market value. The “fair market value” shall mean the average reported last sale price of the common stock for the 10 trading days ending on the third trading day prior to the date on which the notice of redemption is sent to the holders of warrants. As of September 30, 2023, an aggregate of 5,750,000 Public Warrants classified as liabilities were outstanding. Private Placement Warrants The private placement warrants (the “Private Placement Warrants”) held by assignees of Big Cypress Holdings LLC, a Delaware limited liability company which acted as the Company’s sponsor in connection with the IPO, and the common stock issuable upon the exercise of the Private Placement Warrants were not transferable, assignable or saleable until after the completion of the Company’s Business Combination. Additionally, the Private Placement Warrants will be exercisable on a cashless basis and be non-redeemable so long as they are held by the initial purchasers or their permitted transferees. If the Private Placement Warrants are held by someone other than the initial purchasers or their permitted transferees, the Private Placement Warrants will be redeemable by the Company and exercisable by such holders on the same basis as the Public Warrants. As of September 30, 2023, an aggregate of 208,600 Private Placement Warrants classified as liabilities were outstanding. PIPE Warrants and PIPE Placement Agent Warrants In December 2022, the Company entered into a securities purchase agreement with certain institutional and accredited investors for the sale by the Company of 7,363,377 shares of common stock and warrants to purchase up to 7,363,377 shares of common stock (the “PIPE Warrants”), and in a private placement offering. The combined purchase price per share and accompanying PIPE Warrant was $1.08 (the “December Private Placement”). Three directors of the Company participated in the December Private Placement, each paying a $0.125 premium per share and accompanying PIPE Warrant. The PIPE Warrants, including those purchased by the participating directors of the Company are exercisable beginning six months from the date of issuance at an exercise price equal to $1.08 per Share, and are exercisable for five years from the date of issuance. The Company received gross proceeds of approximately $8.0 million before deducting transaction related fees and expenses. The Company paid Brookline Capital Markets, the placement agent, a cash fee equal to seven percent of the gross proceeds received by the Company in the December Private Placement. The Company also issued Brookline Capital Markets a warrant to purchase up to an aggregate of 210,913 shares of common stock (the “PIPE Placement Agent Warrants”), equal to 7% of the number of shares purchased by investors introduced to the Company by Brookline Capital Markets. The PIPE Placement Agent Warrants have an exercise price equal to $1.35 per share and are exercisable six months from the date of issuance and expires five years from the date of issuance. As of September 30, 2023, 7,363,377 PIPE Warrants and 210,913 PIPE Placement Agent Warrants classified as equity were outstanding. 2023 Ladenburg Agreement Warrants On March 21, 2023, the Company entered into a settlement agreement with Ladenburg Thalmann & Co. Inc. (“Ladenburg”), effective March 23, 2023 (the “2023 Ladenburg Agreement”, and the action brought by Ladenburg, the “Ladenburg Action”). In connection with the 2023 Ladenburg Agreement, on March 24, 2023, the Company (i) issued to Ladenburg a warrant (the “Ladenburg Warrants”) to purchase up to 300,000 shares of common stock, exercisable for three years from the date of issuance at $0.5424 per share; and (ii) furnished to Ladenburg a one-time cash payment of $500 thousand. Pursuant to the terms and subject to the conditions set forth in the 2023 Ladenburg Agreement, the Company will (i) no later than June 30, 2023, pay $1.5 million to Ladenburg in cash or shares of common stock, at the Company’s option; and (ii) no later than December 31, 2023, pay $1.1 million to Ladenburg in cash or shares of common stock, at the Company’s option. Following the completion of the Company’s obligations under the 2023 Ladenburg Agreement, Ladenburg has agreed to dismiss the Ladenburg Action with prejudice and extinguish any and all obligations of the Company in connection therewith. All consideration contemplated by the 2023 Ladenburg Agreement are contained within accrued expenses and other current liabilities within the Company’s condensed balance sheet as of December 31, 2022. On June 30, 2023, in accord with the terms of the agreement, the Company issued 1,916,894 shares of common stock to satisfy a portion of its obligations under the 2023 Ladenburg Agreement. As of September 30, 2023, there is $1.1 million of consideration remaining under the 2023 Ladenburg Agreement contained within accrued expenses and other current liabilities on the Company's condensed balance sheet as of September 30, 2023. As of September 30, 2023, 300,000 Ladenburg Warrants classified as equity were outstanding. Presentation and Valuation of the Warrants Liability Classified Warrants The Public Warrants and Private Placement Warrants are accounted for as liabilities in accordance with ASC 815-40, Derivatives and Hedging—Contracts in Entity’s Own Equity and were presented within warrant liabilities on the condensed balance sheets as of September 30, 2023 and December 31, 2022. The initial fair value of the warrant liabilities were measured at fair value at the Closing Date, and changes in the fair value of the warrant liabilities were presented within changes in fair value of warrant liabilities in the condensed statements of operations for the three and nine months ended September 30, 2023 and 2022. On the Closing Date, the Company established the fair value of the Private Placement Warrants utilizing both the Black-Scholes Merton formula and a Monte Carlo Simulation (“MCS”) analysis. Specifically, the Company considered an MCS to derive the implied volatility in the publicly-listed price of the Public Warrants. The Company then considered this implied volatility in selecting the volatility for the application of a Black-Scholes Merton model for the Private Placement Warrants. The Company determined the fair value of the Public Warrants by reference to the quoted market price. The Public Warrants were classified as a Level 1 fair value measurement, due to the use of the quoted market price, and the Private Placement Warrants held privately by assignees of Big Cypress Holdings LLC, were classified as a Level 3 fair value measurement, due to the use of unobservable inputs. The following table provides a summary of the changes in Level 3 fair value measurements:
|  | September 30, 2023 |
Balance, December 31, 2022 |  | $ | 10,430 |
Change in fair value of Private Placement Warrant liability |  |  | (2,086 | )
Balance, March 31, 2023 |  | $ | 8,344 |
Change in fair value of Private Placement Warrant liability |  |  | 12,516 |
Balance, June 30, 2023 |  | $ | 20,860 |
Change in fair value of Private Placement Warrant liability |  | $ | (6,258 | )
Balance, September 30, 2023 |  | $ | 14,602 |
The key inputs into the valuations as of September 30, 2023 and December 31, 2022 were as follows:
|  | September 30, 2023 |  |  | December 31, 2022 |
Risk-free interest rate |  |  | 4.79 | % |  |  | 4.00 | %
Expected term remaining (years) |  |  | 3.06 |  |  |  | 3.81 |
Implied volatility |  |  | 97.0 | % |  |  | 82.0 | %
Closing common stock price on the measurement date |  | $ | 0.63 |  |  | $ | 0.59 |
As of September 30, 2023 and December 31, 2022, the Company did no t have any other assets or liabilities that are recorded at fair value on a recurring basis. The Company believes that the carrying amounts of its cash and cash equivalents, accounts receivable, and notes payable approximate their fair values due to their near-term maturities. Equity Classified Warrants The Company determined the Ladenburg Warrants, PIPE Warrants, and PIPE Placement Agent Warrants met all necessary criteria to be accounted for as equity in accordance with ASC 815-40, Derivatives and Hedging—Contracts in Entity’s Own Equity. As such, they are presented within additional paid-in capital within Company’s condensed statements of changes in stockholders’ equity and condensed balance sheets. Warrants classified as equity are initially measured at fair value. Subsequent changes in fair value are not recognized as long as the warrants continue to be classified as equity. The initial fair value of each PIPE Warrant and PIPE Placement Agent Warrant issued was determined using the Black-Scholes option-pricing model. All relevant terms and conditions for the PIPE Warrant and PIPE Placement Agent Warrant are identical with the exception of the exercise prices of $1.08 and $1.35, respectively. The key inputs into the valuations as of the initial measurement date, December 7, 2022, were as follows:
|  | Initial Measurement |
Risk-free interest rate |  |  | 3.62 | %
Expected term remaining (years) |  |  | 5.00 |
Implied volatility |  |  | 89.0 | %
Closing common stock price on the measurement date, less discount for lack of marketability (1) |  | $ | 0.66 |
(1) As the underlying shares are restricted from sale for a period of 180 days from the date of the 2022 Private Placement, the fair value of the warrants was estimated using the Black-Scholes option pricing model that uses several inputs, including market price of the Company’s common shares at the end of each reporting period (a level one input), less a discount for lack of marketability (a level two input). The discount for lack of marketability was estimated upon consideration of volatility and the length of the lock-up period. Upon initial measurement, the fair value of the PIPE Warrants and PIPE Placement Agent Warrants were determined to be $0.42 and $0.39 per warrant, respectively, for aggregate values of approximately $3.1 million and $82 thousand, respectively. In the Private Placement, the Company recognized the PIPE Warrants and PIPE Placement Agent Warrants on a relative fair value basis with approximately $2.2 million and $58 thousand being allocated to each as a component of additional paid-in capital within the Company’s condensed statements of changes in stockholders’ equity and condensed balance sheets as of September 30, 2023 and December 31, 2022. The initial fair value of each Ladenburg Warrant issued and exercisable at $0.5424 has been determined using the Black-Scholes option-pricing model. The key inputs into the valuations as of the 2023 Ladenburg Agreement initial measurement date, March 21, 2023, were as follows:
|  | Initial Measurement |
Risk-free interest rate |  |  | 3.98 | %
Expected term remaining (years) |  |  | 3.00 |
Implied volatility |  |  | 94.0 | %
Closing common stock price on the measurement date |  | $ | 0.52 |
Upon initial measurement, the fair value of each Ladenburg Warrant was determined to be $0.31, per warrant for a value of approximately $93 thousand. The total fair value of the Ladenburg Warrants was recognized by the company as a non-cash expense and allocated to additional paid-in capital within the Company’s condensed statement of changes in stockholders’ equity and condensed balance sheet.

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- Definition The entire disclosure for the fair value of financial instruments (as defined), including financial assets and financial liabilities (collectively, as defined), and the measurements of those instruments as well as disclosures related to the fair value of non-financial assets and liabilities. Such disclosures about the financial instruments, assets, and liabilities would include: (1) the fair value of the required items together with their carrying amounts (as appropriate); (2) for items for which it is not practicable to estimate fair value, disclosure would include: (a) information pertinent to estimating fair value (including, carrying amount, effective interest rate, and maturity, and (b) the reasons why it is not practicable to estimate fair value; (3) significant concentrations of credit risk including: (a) information about the activity, region, or economic characteristics identifying a concentration, (b) the maximum amount of loss the entity is exposed to based on the gross fair value of the related item, (c) policy for requiring collateral or other security and information as to accessing such collateral or security, and (d) the nature and brief description of such collateral or security; (4) quantitative information about market risks and how such risks are managed; (5) for items measured on both a recurring and nonrecurring basis information regarding the inputs used to develop the fair value measurement; and (6) for items presented in the financial statement for which fair value measurement is elected: (a) information necessary to understand the reasons for the election, (b) discussion of the effect of fair value changes on earnings, (c) a description of [similar groups] items for which the election is made and the relation thereof to the balance sheet, the aggregate carrying value of items included in the balance sheet that are not eligible for the election; (7) all other required (as defined) and desired information. + References Reference 1: http://www.xbrl.org/2003/role/disclosureRef -Topic 820 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 2 -Publisher FASB -URI https://asc.fasb.org//1943274/2147482106/820-10-50-2 + Details
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