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CONVERTIBLE NOTES FINANCINGS (Tables) | 3 Months Ended
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Mar. 31, 2024
CONVERTIBLE NOTES 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. In connection with the December 2023 convertible notes that were issued on January 11, 2024, the Company allocated the gross proceeds received and the fees incurred over the applicable convertible notes and warrants 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 |
Convertible notes |  | $ | 1,750 |  |  |  | 46.24 | % |  | $ | 650 |  |  | $ | (31 | ) |  | $ | 619 |
Note warrants |  |  | 2,035 |  |  |  | 53.76 | % |  |  | 755 |  |  |  | (35 | ) |  |  | 720 |
|  | $ | 3,785 |  |  |  | 100.00 | % |  | $ | 1,405 |  |  | $ | (66 | ) |  | $ | 1,339 |
Fair Value Assumptions | The Company estimated the fair values of the convertible notes as of January 11, 2024 based off a valuation performed by a third-party specialist as of December 15, 2023 using a binomial tree model and the following assumptions:
| Stock Price |  | Credit Spread |  | Volatility |  | Risk-Free Rate |
Convertible notes |  | $ | 1.75 |  |  |  | 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 January 11, 2024 using the following assumptions:
| Stock Price |  | Exercise Price |  | Expected Life | Volatility |  | Dividend |  | Risk-Free Rate |
Warrants |  | $ | 1.75 |  |  | $ | 1.43 |  | 5 years |  |  | 102 | % |  |  | 0.00 | % |  |  | 3.90 | %
Activity of Convertible Notes | The following table shows the activity that occurred during the three months ended March 31, 2024 for the convertible notes on the accompanying condensed consolidated balance sheet:
|  | Gross convertible notes |  |  | Debt discount and debt issuance costs |  |  | Convertible notes, net |
Beginning balanace as of January 1, 2024 |  | $ | 16,616 |  |  | $ | (9,843 | ) |  | $ | 6,773 |
December 2023 notes issued in January 2024 |  |  | 1,405 |  |  |  | (786 | ) |  |  | 619 |
Paid-in-kind interest added to principal |  |  | 177 |  |  |  | - |  |  |  | 177 |
Amortization of debt discount and debt issuance costs |  |  | - |  |  |  | 445 |  |  |  | 445 |
Ending balanace as of March 31, 2024 |  | $ | 18,198 |  |  | $ | (10,184 | ) |  | $ | 8,014 |

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- Definition Tabular disclosure of convertible debt instrument. Includes, but is not limited to, principal amount and amortized premium or discount. + References No definition available. + Details
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- Definition Tabular disclosure of input and valuation technique used to measure fair value and change in valuation approach and technique used to measure similar asset in prior period by class of asset or liability on non-recurring basis. + References Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef -Name Accounting Standards Codification -Section 50 -Paragraph 2 -Subparagraph (bbb) -SubTopic 10 -Topic 820 -Publisher FASB -URI https://asc.fasb.org//1943274/2147482106/820-10-50-2 + Details
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- Definition Tabular disclosure of information pertaining to short-term and long-debt instruments or arrangements, including but not limited to identification of terms, features, collateral requirements and other information necessary to a fair presentation. + References No definition available. + Details
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