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Debt and Fair Value of Financial Instruments (Tables) | 9 Months Ended
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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 |

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- Definition Tabular disclosure of liabilities, including [financial] instruments measured at fair value that are classified in stockholders' equity, if any, by class that are measured at fair value on a recurring basis. The disclosures contemplated herein include the fair value measurements at the reporting date by the level within the fair value hierarchy in which the fair value measurements in their entirety fall, segregating fair value measurements using quoted prices in active markets for identical assets (Level 1), significant other observable inputs (Level 2), and significant unobservable inputs (Level 3). Where the quoted price in an active market for the identical liability is not available, the Level 1 input is the quoted price of an identical liability when traded as an asset. + References Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 2 -Subparagraph (b) -URI https://asc.fasb.org/extlink&oid=126976982&loc=d3e19207-110258 Reference 2: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 2 -Subparagraph (a) -URI https://asc.fasb.org/extlink&oid=126976982&loc=d3e19207-110258 + Details
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