XML 48 R28.htm IDEA: XBRL DOCUMENT v3.24.0.1
Promissory Note and Convertible Note Financings (Tables)
 12 Months Ended
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