Quarterly report pursuant to Section 13 or 15(d)

Financial Instruments Fair Value Measurements (Tables)

v3.23.1
Financial Instruments Fair Value Measurements (Tables)
3 Months Ended
Mar. 31, 2023
Fair Value Disclosures [Abstract]  
Schedule of Financial Liabilities Measured at Fair Value on Recurring Basis

The fair value hierarchy table for the reporting date noted is as follows:

  

   

Fair Value Measurement on a Recurring

Basis at Reporting Date Using1

 
    Level-1 Inputs     Level-2 Inputs     Level-3 Inputs     Total  
March 31, 2023                                
March 2023 Senior Convertible Note   $     $     $ 11,900     $ 11,900  
Totals   $     $     $ 11,900     $ 11,900  

Schedule of Fair Value Assumption Used

The estimated fair value of the March 2023 Senior Convertible Note as of each of March 21, 2023 and March 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:

  

   

March 2023 Senior

Convertible Note:

March 21, 2023

   

March 2023 Senior

Convertible Note:

March 31, 2023

 
Fair Value   $ 11,900     $ 11,900  
Face value principal payable   $ 11,111     $ 11,111  
Required rate of return     11.00 %     11.00 %
Conversion Price   $ 5.00     $ 5.00  
Value of common stock   $ 1.54     $ 1.40  
Expected term (years)     2.00       1.98  
Volatility     75.00 %     75.00 %
Risk free rate     4.09 %     3.99 %
Dividend yield     %     %