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Promissory Note and Convertible Note Financings (Tables) | 12 Months Ended
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Dec. 31, 2023
Promissory Note and Convertible Note Financings [Abstract] |
Based on Relative Fair Value Allocation of Proceeds and Costs | The Company determined that there were no embedded derivatives within the convertible notes that required bifurcation from the host agreement. The Company allocated the gross proceeds received, the fees incurred, and as applicable, the impact of repricing the warrants discussed above, over the July 2023 convertible notes and July 2023 warrants and over the December 2023 convertible notes and December 2023 warrants, as applicable, based on their relative fair values as follows (in thousands):
|  |  |  |  |  |  |  | Allocation of Proceeds and Costs: |  |  | Allocation of |
|  | Relative Fair Value |  |  | Allocation Percentage |  |  | Proceeds |  |  | Costs |  |  | Proceeds, Net |
July 2023 convertible notes |  | $ | 8,715 |  |  |  | 39.94 | % |  | $ | 3,481 |  |  | $ | (80 | ) |  | $ | 3,401 |
July 2023 warrants |  |  | 13,103 |  |  |  | 60.06 | % |  |  | 5,234 |  |  |  | (121 | ) |  |  | 5,113 |
|  | $ | 21,818 |  |  |  | 100.00 | % |  | $ | 8,715 |  |  | $ | (201 | ) |  | $ | 8,514 |
|  |  |  |  |  |  |  | Allocation of Proceeds and Costs: |  |  | Allocation of |
|  | Relative Fair Value |  |  | Allocation Percentage |  |  | Proceeds |  |  | Costs |  |  | Warrant Repricing |  |  | Proceeds, Net |
December 2023 convertible notes |  | $ | 9,059 |  |  |  | 48.83 | % |  | $ | 3,803 |  |  | $ | (81 | ) |  | $ | (766 | ) |  | $ | 2,956 |
December 2023 warrants |  |  | 9,495 |  |  |  | 51.17 | % |  |  | 3,985 |  |  |  | (85 | ) |  |  | (802 | ) |  |  | 3,098 |
|  | $ | 18,554 |  |  |  | 100.00 | % |  | $ | 7,788 |  |  | $ | (166 | ) |  | $ | (1,568 | ) |  | $ | 6,054 |
Fair Value Assumptions | The Company estimated the fair values of the convertible notes as of July 14, 2023 and December 15, 2023 based off a valuation performed by a third-party specialist using a binomial tree model and the following assumptions:
|  | Stock Price |  |  | Credit Spread |  |  | Volatility |  |  | Risk-Free Rate |
July 2023 convertible notes |  | $ | 2.81 |  |  |  | 2,500 |  |  |  | 108 | % |  |  | 4.60 | %
December 2023 convertible notes |  | $ | 1.51 |  |  |  | 2,000 |  |  |  | 109 | % |  |  | 3.90 | %
The fair value of the note warrants, all of which qualified for equity classification, was determined using the Black-Scholes pricing model as of each of July 14, 2023 and December 15, 2023 using the following assumptions:
|  | Stock Price |  |  | Exercise Price |  | Expected Life |  | Volatility |  |  | Dividend |  |  | Risk-Free Rate |
July 2023 warrants |  | $ | 2.81 |  |  | $ | 2.61 |  | 5 years |  |  | 98 | % |  |  | 0.00 | % |  |  | 4.04 | %
December 2023 warrants |  | $ | 1.51 |  |  | $ | 1.43 |  | 5 years |  |  | 101 | % |  |  | 0.00 | % |  |  | 3.91 | %
Activity of Convertible Notes | The following table shows the activity that occurred during the year ended December 31, 2023 for the convertible notes on the accompanying consolidated balance sheet:
Gross convertible notes at issuance |  | $ | 16,503 |
Debt discount and debt issuance costs |  |  | (10,146 | )
Amortization of debt discount and debt issuance costs |  |  | 303 |
Paid-in-kind interest added to principal |  |  | 113 |
Convertible notes, net, at December 31, 2023 |  | $ | 6,773 |
Principal Payments under Convertible Notes | The future minimum principal payments under the convertible notes as of December 31, 2023 are as follows:
Years ending December 31, |  | Principal Payments |
2024 |  | $ | - |
2025 |  |  | - |
2026 |  |  | - |
2027 |  |  | - |
2028 |  |  | 16,616 |
Total |  | $ | 16,616 |

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