Quarterly report pursuant to Section 13 or 15(d)

Derivative Liabilities (Tables)

v3.23.3
Derivative Liabilities (Tables)
 9 Months Ended
Sep. 30, 2023
Derivative Liabilities [Abstract]  
Schedule of Derivative Liabilities The following table sets forth a summary of the changes in the fair value of Level 3 derivative liabilities (except the Public SPAC Warrants as defined below, which are Level 1 derivative liabilities) that are measured at fair value on a recurring basis:
    Warrants        
    Public     Private                    
    SPAC     SPAC     PIPE     Other     Total  
Balance as of January 1, 2023     $ 31,625     $ 1,256     $ 42,100     $ 400     $ 75,381  
Change in fair value of derivative liabilities     (21,390 )     (1,005 )     (30,600 )     (328 )     (53,323 )
Balance as of March 31, 2023   $ 10,235     $ 251     $ 11,500     $ 72     $ 22,058  
Change in fair value of derivative liabilities     (4,600 )     (251 )     (9,500 )     (66 )     (14,417 )
Balance as of June 30, 2023   $ 5,635     $
-
     $ 2,000     $ 6     $ 7,641  
Change in fair value of derivative liabilities     (230 )    
-
       (1,800 )     (6 )     (2,036 )
Balance as of September 30, 2023   $ 5,405     $
-
     $ 200     $
-
     $ 5,605  
Schedule of Option Pricing Models The fair value of the derivative liabilities as of September 30, 2023, and December 31, 2022 was estimated using the Black Scholes option pricing model, with the following assumptions used:
    September 30,
2023		  
Risk-free interest rate   4.94% - 5.50%  
Expected term in years   0.84 – 2.40  
Expected volatility   100.0% - 110.0%  
Expected dividends   0%
Market Price   $0.61  
    December 31,
2022		  
Risk-free interest rate   2.30% - 4.50%  
Expected term in years   1.59 – 3.90  
Expected volatility   76.0% - 105.0%  
Expected dividends   0%
Market Price   $3.39