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The following table provides quantitative information regarding the Convertible Note Level 3 fair value inputs using the Monte-Carlo method for the following measurement dates:
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As of |
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|
September 30,
2022 |
|
December 31,
2021 |
| Stock price |
|
$ |
3.07 |
|
|
N/A |
| Option term (in years) |
|
1.25 |
|
N/A |
| Volatility |
|
93.9 |
% |
|
N/A |
| Risk-free interest rate |
|
4.01 |
% |
|
N/A |
|
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|
|
|
As of |
|
September 30,
2022 |
|
December 31,
2021 |
|
(In thousands) |
| Convertible Note |
|
|
|
| Fair value as of June 30, 2022 |
$ |
50,000 |
|
|
N/A |
| Change in fair value reported in statement of operations |
(3,153) |
|
|
N/A |
| Convertible note issued during the period |
— |
|
|
N/A |
| Conversion of note to common stock |
(2,700) |
|
|
N/A |
| Ending fair value as of September 30, 2022 |
$ |
44,147 |
|
|
$ |
— |
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|
|
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|
|
|
|
|
|
|
As of |
|
September 30,
2022 |
|
December 31,
2021 |
|
(In thousands) |
| Convertible Note Accrued Interest |
|
|
|
| Accrued interest as of June 30, 2022 |
$ |
16 |
|
|
N/A |
| Accrued interest |
747 |
|
|
N/A |
| Accrued interest paid upon conversion |
(32) |
|
|
N/A |
| Accrued interest as of September 30, 2022 |
$ |
731 |
|
|
$ |
— |
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|
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|
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|
|
As of |
|
September 30,
2022 |
|
December 31,
2021 |
| Number of Common Shares Issued Upon Conversion |
|
|
|
| Common shares issued as of June 30, 2022 |
$ |
— |
|
|
N/A |
| Common shares issued |
831,356 |
|
|
N/A |
| Common shares issued as of September 30, 2022 |
$ |
831,356 |
|
|
$ |
— |
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