XML 24 R9.htm IDEA: XBRL DOCUMENT
v3.24.1

Note 3 - Fair Value Measurements | 12 Months Ended
--- | ---
Dec. 31, 2023
Notes to Financial Statements |
Fair Value Disclosures [Text Block] | NOTE 3. FAIR VALUE MEASUREMENTS The following tables presents the Company’s financial instruments measured at fair value on a recurring basis as of December 31, 2023 and 2022 (in thousands):
|  |  |  |  |  | Fair Value Measurements Using |
|  |  |  |  |  | Quoted |  |  |  |  |  |  |  |  |
|  |  |  |  |  | Prices in |  |  |  |  |  |  |  |  |
|  |  |  |  |  | Active |  |  |  |  |  |  |  |  |
|  |  |  |  |  | Markets |  |  | Significant |  |  |  |  |
|  |  |  |  |  | for |  |  | Other |  |  | Significant |
|  | Balance at |  |  | Identical |  |  | Observable |  |  | Unobservable |
|  | December |  |  | Items |  |  | Inputs |  |  | Inputs |
|  | 31, 2023 |  |  | (Level 1) |  |  | (Level 2) |  |  | (Level 3) |
Assets |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Restricted cash held as a certificate of deposit |  | $ | 476 |  |  | $ | 476 |  |  | $ | — |  |  | $ | — |
Liabilities |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Warrant liability |  | $ | 334 |  |  | $ | — |  |  | $ | — |  |  | $ | 334 |
|  |  |  |  |  | Fair Value Measurements Using |
|  |  |  |  |  | Quoted |  |  |  |  |  |  |  |  |
|  |  |  |  |  | Prices in |  |  |  |  |  |  |  |  |
|  |  |  |  |  | Active |  |  |  |  |  |  |  |  |
|  |  |  |  |  | Markets |  |  | Significant |  |  |  |  |
|  |  |  |  |  | for |  |  | Other |  |  | Significant |
|  | Balance at |  |  | Identical |  |  | Observable |  |  | Unobservable |
|  | December |  |  | Items |  |  | Inputs |  |  | Inputs |
|  | 31, 2022 |  |  | (Level 1) |  |  | (Level 2) |  |  | (Level 3) |
Assets |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Restricted cash held as a certificate of deposit |  | $ | 484 |  |  | $ | 484 |  |  | $ | — |  |  | $ | — |
The Company’s cash equivalents and restricted cash held as certificates of deposit are classified within Level 1 of the fair value hierarchy because they are valued using quoted market prices in active markets, broker or dealer quotations, or alternative pricing sources with reasonable levels of price transparency. The Secured Convertible Notes (see Note 12, “Secured Convertible Notes”) are carried at proceeds, net of discounts, which management believes approximates fair value. As a result of certain call and put options within the Secured Convertible Notes, the Company recorded a combined embedded derivative liability on its consolidated balance sheet with a corresponding debt discount which is netted against the face value of the Secured Convertible Notes. The fair value of the embedded derivative liability was classified within Level 2 of the fair value hierarchy because the stock price used in the related Black Scholes valuation model (see subheading “Black Scholes Valuation Models and Assumptions” below) was adjusted for the dilutive effect of the 2023 Private Placement. The fair value of the May 2023 Warrants issued in conjunction with the 2023 Private Placement as well as the accounting for the warrant amendment and preferred stock conversion price adjustments that resulted from the 2023 Private Placement used the same stock price and were classified within Level 3. The fair value of the December 2023 Warrants issued in conjunction with the 2023 Warrant Reprice Transaction as well as the accounting for the warrant amendment and preferred stock conversion price adjustments that resulted from the 2023 Warrant Reprice Transaction were classified within Level 3. See Note 13, “Common Stock Warrants”, subheading “Summary of Common Stock Warrant Liabilities”, for a reconciliation of the beginning and ending balances for the warrant liabilities measured at fair value on a recurring basis using significant unobservable inputs (Level 3) during the years ended December 31, 2023 and 2022. Black Scholes Valuation Models and Assumptions The Company utilizes a Black Scholes model for various valuations as outlined throughout this report. The following tables summarize the assumptions utilized for valuations impacting results for the years ended December 31, 2023 and 2022. See also Note 15, “Equity-Based Compensation” for related Black Scholes valuation assumptions. Warrant Liabilities Various of the Company’s warrants are subject to stockholder approval upon issuance or amendment and prior to exercise. The warrants are recorded as a liability at fair value upon issuance or amendment and continue to be recorded as a liability at fair value at each reporting date until stockholder approval occurs at which time they are transferred to stockholders’ equity at their fair value on the date of approval. Fair value was determined using a Black Scholes model as outlined below.
|  | November 2021 Warrants |  |  | November 2021 Warrants |  |  | July 2020, November 2021 & September 2022 Warrants |  |  | July 2020, November 2021 & September 2022 Warrants |  |  | May 2023 Warrants |
Measurement event |  | Reporting date |  |  | Stockholder approval |  |  | Amendment and Issuance |  |  | Stockholder Approval |  |  | Issuance |
Date |  | December 31, 2021 |  |  | January 31. 2022 |  |  | September 9, 2022 |  |  | November 10, 2022 |  |  | May 1, 2023 |
Total Value |  | 9.6 million |  |  | 7.5 million |  |  | 5.2 million |  |  | 1.9 million |  |  | 1.6 million |
Gain |  | not applicable |  |  | 2.1 million |  |  | not applicable |  |  | 3.4 million |  |  | not applicable |
Assumptions: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Exercise price |  | $ | 18.55 |  |  | $ | 18.55 |  |  | $ | 6.30 |  |  | $ | 6.30 |  |  |  | 1.30 |
Market price |  | $ | 13.18 |  |  | $ | 10.50 |  |  | $ | 6.29 |  |  | $ | 2.80 |  |  | $ | 0.72 | (a)
Volatility |  |  | 87 | % |  |  | 91 | % |  |  | 79.6 | % |  |  | 79.5 | % |  |  | 80.1 | %
Risk-free rate |  |  | 1.31 | % |  |  | 1.65 | % |  |  | 3.58 | - | 3.43 | % |  |  | 3.93 | - | 4.15 | % |  |  | 3.60 | - | 4.04 | %
Dividend yield |  |  | 0.0 | % |  |  | 0.0 | % |  |  | 0.0 | % |  |  | 0.0 | % |  |  | 0.0 | %
Term (years) |  |  | 6.0 |  |  |  | 6.0 |  |  |  | 3.4 | - | 6.0 |  |  |  | 3.2 | – | 5.8 |  |  |  | 2.1 | - | 5.1 | %
|  | May 2023 Warrants |  |  | December 2023 Warrants |  |  | December 2023 Warrants |
Measurement event |  | Stockholder Approval |  |  | Issuance |  |  | Reporting Date |
Date |  | June 9, 2023 |  |  | December 21, 2023 |  |  | December 31, 2023 |
Total Value |  | $1.4 million |  |  | $0.4 million |  |  | $0.3 million |
Gain |  | $0.2 million |  |  | not applicable |  |  | $56 thousand |
Assumptions: |  |  |  |  |  |  |  |  |  |  |  |
Exercise price |  | $ | 1.30 |  |  | $ | 0.25 |  |  | $ | 0.25 |
Market price |  | $ | 0.68 |  |  | $ | 0.23 |  |  | $ | 0.20 |
Volatility |  |  | 77.6 | % |  |  | 79.3 | % |  |  | 79.3 | %
Risk-free rate |  |  | 3.92 | – | 4.59 | % |  |  | 3.88 | % |  |  | 3.85 | %
Dividend yield |  |  | 0.0 | % |  |  | 0.0 | % |  |  | 0.0 | %
Term (years) |  |  | 2.0 | - | 5.0 |  |  |  | 5.5 |  |  |  | 5.5 |
| (a) | Adjusted for the dilutive effect of the 2023 Private Placement. See additional discussion above.
Warrant Modifications Amendments to warrant terms are recorded as a non-cash gain (or loss) on modification of common stock warrants. The gain or loss represents the decrease or increase in the fair value of the amended warrants when comparing the value immediately before and after amendment using the Black-Scholes option pricing model. Fair value was determined using a Black Scholes model as outlined below.
|  | July 2020 & November 2021 Warrants |
Measurement event |  | Prior to amendment |  |  | After amendment |
Date |  | September 9, 2022 |  |  | September 9, 2022 |
Total Value |  | $3.3 million |  |  | $5.2 million |
Loss |  | not applicable |  |  | $1.9 million |
Assumptions: |  |  |  |  |  |  |  |
Exercise price |  | $ | 18.55 - 57.75 |  |  | $ | 6.30 |
Market price |  | $ | 6.29 |  |  | $ | 6.29 |
Volatility |  |  | 79.6 | % |  |  | 79.6 | %
Risk-free rate |  |  | 3.43 | - | 3.58 | % |  |  | 3.43 | - | 3.58 | %
Dividend yield |  |  | 0.0 | % |  |  | 0.0 | %
Term (years) |  |  | 0.7 | – | 5.4 |  |  |  | 3.4 | – | 6.0 |
|  | July 2020, November 2021, September 2022 & November 2022 Warrants |
Measurement event |  | Prior to amendment |  |  | After amendment |
Date |  | April 27, 2023 |  |  | April 27, 2023 |
Total Value |  | $0.3 million |  |  | $0.5 million |
Loss |  | not applicable |  |  | $0.2 million |
Assumptions: |  |  |  |  |  |  |  |
Exercise price |  | $ | 6.30 |  |  | $ | 1.50 |
Market price |  | $0.72 | (a) |  | $0.72 | (a)
Volatility |  |  | 80.1 | % |  |  | 80.1 | %
Risk-free rate |  |  | 3.59 | - | 4.73 | % |  |  | 3.59 | – | 4.73 | %
Dividend yield |  |  | 0.0 | % |  |  | 0.0 | %
Term (years) |  |  | 1.1 | – | 5.6 |  |  |  | 1.1 | – | 5.6 |
|  | May 2023 Warrants |
Measurement event |  | Prior to amendment |  |  | After amendment |
Date |  | December 21, 2023 |  |  | December 21, 2023 |
Total Value |  | $56 thousand |  |  | $0.2 million |
Loss |  | not applicable |  |  | $0.1 million |
Assumptions: |  |  |  |  |  |  |  |
Exercise price |  | $ | 1.30 |  |  | $ | 0.25 |
Market price |  | $ | 0.23 |  |  | $ | 0.23 |
Volatility |  |  | 79.3 | % |  |  | 79.3 | %
Risk-free rate |  |  | 3.92 | – | 4.62 | % |  |  | 3.92 | – | 4.62 |
Dividend yield |  |  | 0.0 | % |  |  | 0.0 | %
Term (years) |  |  | 1.5 | – | 4.5 |  |  |  | 1.5 | – | 4.5 |
| (a) | Adjusted for the dilutive effect of the 2023 Private Placement. See additional discussion above.
Preferred Stock Conversion Price Adjustments Terms of the Company’s outstanding Preferred Stock include a Ratchet whereby the applicable conversion price may be adjusted (See Note 14, “Stockholders’ Equity”). When this occurs, the Company records a deemed dividend as a reduction to income available to common stockholders. In accordance with ASC 820, the deemed dividend is measured as the difference between (1) the fair value of the Preferred Stock immediately prior to the conversion price adjustment (but without the anti-dilution protection feature) and (2) the fair value of the Preferred Stock immediately after the conversion price adjustment (but without the anti-dilution protection feature). Fair value was determined using a Black Scholes model as outlined below.
|  | Series B |  |  | Series B & C |
Measurement event |  | Prior to amendment |  |  | After amendment |  |  | Prior to amendment |  |  | After amendment |
Date |  | September 9, 2022 |  |  | September 9, 2022 |  |  | April 27, 2023 |  |  | April 27, 2023 |
Total value (b) |  | $6.9 million |  |  | $12.5 million |  |  | $9.6 million |  |  | $11.6 million |
Deemed dividend |  | not applicable |  |  | $5.7 million |  |  | not applicable |  |  | $2.0 million |
Assumptions: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Exercise price |  | $ | 14.00 |  |  | $ | 6.30 |  |  | $ | 6.30 |  |  | $ | 1.30 |
Market price |  | $ | 6.29 |  |  | $ | 6.29 |  |  | $0.72 | (a) |  | $0.72 | (a)
Volatility |  |  | 79.6 | % |  |  | 79.6 | % |  |  | 80.1 | % |  |  | 80.1 | %
Risk-free rate |  |  | 3.64 | % |  |  | 3.64 | % |  |  | 4.91 | % |  |  | 4.91 | %
Dividend yield |  |  | 0.0 | % |  |  | 0.0 | % |  |  | 0.0 | % |  |  | 0.0 | %
Term (in years) |  |  | 1.3 |  |  |  | 1.3 |  |  |  | 0.8 |  |  |  | 0.8 |
|  | Series B & C |
Measurement event |  | Prior to amendment |  |  | After amendment |
Date |  | December 21, 2023 |  |  | December 21, 2023 |
Total value (b) |  | $1.7 million |  |  | $6.8 million |
Deemed dividend |  | not applicable |  |  | $5.1 million |
Assumptions: |  |  |  |  |  |  |  |
Exercise price |  | $ | 1.30 |  |  | $ | 0.25 |
Market price |  | $ | 0.23 |  |  | $ | 0.23 |
Volatility |  |  | 79.3 | % |  |  | 79.3 | %
Risk-free rate |  |  | 5.43 | % |  |  | 5.43 | %
Dividend yield |  |  | 0.0 | % |  |  | 0.0 | %
Term (years) |  |  | 0.3 |  |  |  | 0.3 |
| (a) | Adjusted for the dilutive effect of the 2023 Private Placement. See additional discussion above.
| (b) | Includes value of incremental shares underlying preferred stock and adjusted for probability of occurrence.
Bifurcatable Derivatives Upon issuance in May 2023, the Secured Convertible Notes contained a lender’s conversion option which represented an embedded call option requiring bifurcation as an embedded derivative liability at fair value (see Note 12, “Secured Convertible Notes” for additional discussion). Fair value was determined using a Black Scholes model as outlined below.
|  | Secured Convertible Notes derivative |  |  | Secured Convertible Notes derivative |
Measurement event |  | Issuance |  |  | Shareholder approval |
Date |  | April 27, 2023 |  |  | June 9, 2023 |
Total value (b) |  | $0.2 million |  |  | $0.2 million |
Gain |  | not applicable |  |  | $40 thousand |
Assumptions: |  |  |  |  |  |  |  |
Exercise price |  | $ | 1.30 |  |  | $ | 1.30 |
Market price |  | $ | 0.72 | (a) |  | $ | 0.75 |
Volatility |  |  | 80.1 | % |  |  | 76.9 | %
Risk-free rate |  |  | 4.88 | % |  |  | 5.41 | %
Dividend yield |  |  | 0.0 | % |  |  | 0.0 | %
Term (years) |  |  | 0.8 |  |  |  | 0.7 |
| (a) | Adjusted for the dilutive effect of the 2023 Private Placement. See additional discussion above.
| (b) | Adjusted for probability of occurrence.

X
- References No definition available. + Details
Name: | us-gaap_DisclosureTextBlockAbstract
Namespace Prefix: | us-gaap_
Data Type: | xbrli:stringItemType
Balance Type: | na
Period Type: | duration

X
- 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
Name: | us-gaap_FairValueDisclosuresTextBlock
Namespace Prefix: | us-gaap_
Data Type: | dtr-types:textBlockItemType
Balance Type: | na
Period Type: | duration