Warrants

9 Months Ended

Sep. 30, 2021

Warrants

Warrants

Note 9. Warrants

On July 21, 2021, as part of a corporate fundraising, the Company issued 35,385,703 shares of common stock and 35,385,703 warrants to purchase common stock (see Note 7).

On September 30, 2021, the Company exchanged the outstanding principal of $1,481 and accrued interest of $60 of the March 2021 convertible note for 53,500,000 warrants to purchase common stock.

The following table summarized the warrant activity for the nine months ended September 30, 2021:

					Weighted
			Weighted		Average
			Average		Remaining		Aggregate
	Number of		Exercise		Contractual		Intrinsic
Warrants	Shares		Price		Term		Value
Balance Outstanding, December 31, 2020		-	$	-		-	$	-
Granted		88,885,704		0.05		5.00		-
Forfeited		-		-		-		-
Exercised		-		-		-		-
Expired		-		-		-		-
Balance Outstanding, September 30, 2021		88,885,704	$	0.05		4.93	$	-
Exercisable, September 30, 2021		88,885,704	$	0.05		4.93	$	-

Warrant derivative liability

The exercise price and number of warrant shares issuable upon exercise of these warrants are subject to adjustment from time to time as set forth in the warrant agreements. The Company evaluated the terms and conditions of the warrant agreements and pursuant to ASC 815-15 Embedded Derivatives, were recorded as derivative liabilities on the issuance date and revalued at each reporting period.

Fluctuations in the Company’s stock price are a primary driver for the changes in the derivative valuations during each reporting period. As the stock price increases for each of the related derivative instruments, the value to the holder of the instrument generally increases, therefore increasing the liability on the Company’s balance sheet. Additionally, stock price volatility is one of the significant unobservable inputs used in the fair value measurement of each of the Company’s derivative instruments. The simulated fair value of these liabilities is sensitive to changes in the Company’s expected volatility. Increases in expected volatility would generally result in higher fair value measurement. A 10% change in pricing inputs and changes in volatilities and correlation factors would not result in a material change in our Level 3 fair value.

The fair value of the derivative conversion features and warrant liabilities as of September 30, 2021 were calculated using the Black and Scholes method with the following assumptions:

	September 30, 2021
Dividend yield		0	%
Expected volatility		176	%
Risk free interest rate		0.98	%
Contractual terms (in years)		4.43 - 4.81
Conversion/Exercise price	$	0.05

The table below provides a summary of the changes in fair value, including net transfers in and/or out of all financial liabilities measured at fair value on a recurring basis using significant unobservable inputs (Level 3) during the nine months ended September 30, 2021:

	Amount
Balance on December 31, 2020	$	-
Issuances		2,492
Change in fair value of warrant liabilities		(451	)
Balance on September 30, 2021	$	2, 041