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Financial Instruments Fair Value Measurements (Tables) | 3 Months Ended
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Mar. 31, 2024
Fair Value Disclosures [Abstract] |
Schedule of Financial Liabilities Measured at Fair Value on Recurring Basis | The fair value hierarchy table for the periods indicated is as follows: Schedule of Financial Liabilities Measured at Fair Value on Recurring Basis
|  | Fair Value Measurement on a Recurring Basis at Reporting Date Using1 |
|  | Level-1 Inputs |  |  | Level-2 Inputs |  |  | Level-3 Inputs |  |  | Total |
March 31, 2024 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Senior Secured Convertible Note - April 2022 |  | $ | — |  |  | $ | — |  |  | $ | 18,800 |  |  | $ | 18,800 |
Senior Secured Convertible Note - September 2022 |  |  | — |  |  |  | — |  |  |  | 13,600 |  |  |  | 13,600 |
Lucid Senior Secured Convertible Note - March 2023 |  |  | — |  |  |  | — |  |  |  | 13,140 |  |  |  | 13,140 |
Totals |  | $ | — |  |  | $ | — |  |  | $ | 45,540 |  |  | $ | 45,540 |
|  | Level-1 Inputs |  |  | Level-2 Inputs |  |  | Level-3 Inputs |  |  | Total |
December 31, 2023 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Senior Secured Convertible Note - April 2022 |  | $ | — |  |  | $ | — |  |  | $ | 19,000 |  |  | $ | 19,000 |
Senior Secured Convertible Note - September 2022 |  |  | — |  |  |  | — |  |  |  | 11,250 |  |  |  | 11,250 |
Lucid Senior Secured Convertible Note - March 2023 |  |  | — |  |  |  | — |  |  |  | 13,950 |  |  |  | 13,950 |
Totals |  | $ | — |  |  | $ | — |  |  | $ | 44,200 |  |  | $ | 44,200 |
1 |  | There were no transfers between the respective Levels during the three months ended March 31, 2024.
Schedule of Fair Value Assumption Used | The estimated fair value of the April 2022 Senior Convertible Note, the September 2022 Senior Convertible Note and the Lucid March 2023 Senior Convertible Note as of each of March 31, 2024 and December 31, 2023, were computed using a Monte Carlo simulation of the present value of its cash flows using a synthetic credit rating analysis and a required rate-of-return, using the following assumptions: Schedule of Fair Value Assumption Used
|  | April 2022 Senior Convertible Note: March 31, 2024 |  |  | September 2022 Senior Convertible Note: March 31, 2024 |  |  | Lucid March 2023 Senior Convertible Note: March 31, 2024 |
Fair Value |  | $ | 18,800 |  |  | $ | 13,600 |  |  | $ | 13,140 |
Face value principal payable |  | $ | 17,602 |  |  | $ | 8,782 |  |  | $ | 10,936 |
Required rate of return |  |  | 9.800 | % |  |  | 9.600 | % |  |  | 9.80 | %
Conversion Price |  | $ | 75.00 |  |  | $ | 75.00 |  |  | $ | 5.00 |
Value of common stock |  | $ | 2.14 |  |  | $ | 2.14 |  |  | $ | 0.81 |
Expected term (years) |  |  | 1.01 |  |  |  | 1.44 |  |  |  | 0.97 |
Volatility |  |  | 105.00 | % |  |  | 105.00 | % |  |  | 55.00 | %
Risk free rate |  |  | 4.91 | % |  |  | 4.72 | % |  |  | 4.93 | %
Dividend yield |  |  | — | % |  |  | — | % |  |  | — | %
|  | April 2022 Senior Convertible Note: December 31, 2023 |  |  | September 2022 Senior Convertible Note: December 31, 2023 |  |  | Lucid March 2023 Senior Convertible Note: December 31, 2023 |
Fair Value |  | $ | 19,000 |  |  | $ | 11,250 |  |  | $ | 13,950 |
Face value principal payable |  | $ | 17,602 |  |  | $ | 9,062 |  |  | $ | 11,019 |
Required rate of return |  |  | 10.00% - 10.50 | % |  |  | 10.00% - 10.20 | % |  |  | 10.00 | %
Conversion Price |  | $ | 75.00 |  |  | $ | 75.00 |  |  | $ | 5.00 |
Value of common stock |  | $ | 4.12 |  |  | $ | 4.12 |  |  | $ | 1.41 |
Expected term (years) |  |  | 0.26 - 1.26 |  |  |  | 0.69 - 1.69 |  |  |  | 1.22 |
Volatility |  |  | 85.00 | % |  |  | 85.00 | % |  |  | 60.00 | %
Risk free rate |  |  | 4.54% - 5.25 | % |  |  | 4.31% - 4.96 | % |  |  | 4.56 | %
Dividend yield |  |  | — | % |  |  | — | % |  |  | — | %

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- Definition Tabular disclosure of assumption used to determine benefit obligation and net periodic benefit cost of defined benefit plan. Includes, but is not limited to, discount rate, rate of compensation increase, expected long-term rate of return on plan assets and interest crediting rate. + References Reference 1: http://www.xbrl.org/2003/role/disclosureRef -Topic 715 -SubTopic 20 -Name Accounting Standards Codification -Section 50 -Paragraph 1 -Subparagraph (k) -Publisher FASB -URI https://asc.fasb.org/1943274/2147480506/715-20-50-1 + Details
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- Definition Tabular disclosure of assets and liabilities, including [financial] instruments measured at fair value that are classified in stockholders' equity, if any, 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). + References Reference 1: http://www.xbrl.org/2009/role/commonPracticeRef -Topic 820 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 2 -Subparagraph (b) -Publisher FASB -URI https://asc.fasb.org/1943274/2147482106/820-10-50-2 Reference 2: http://www.xbrl.org/2009/role/commonPracticeRef -Topic 820 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 2 -Subparagraph (a) -Publisher FASB -URI https://asc.fasb.org/1943274/2147482106/820-10-50-2 + Details
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