6. |
Fair Value of Financial Instruments
|
Assets and liabilities measured and recorded at fair value on a recurring basis at December 31, 2021 were as follows:
|
|
Level 1 |
|
|
Level 2
|
|
|
Level 3
|
|
|
Total
|
|
Derivative Liability – Contingent Interest April Note
|
|
|
— |
|
|
|
— |
|
|
$
|
495,000
|
|
|
$
|
495,000
|
|
Derivative Liability – Contingent Interest September Note
|
|
|
— |
|
|
|
— |
|
|
$
|
250,000
|
|
|
$
|
250,000
|
|
Derivative Liability – Contingent Interest December Note
|
|
|
— |
|
|
|
— |
|
|
$
|
385,000
|
|
|
$
|
385,000
|
|
The April Note derivative liability – contingent interest was valued using a Monte Carlo Geometric Brownian Stock Path Model. The key assumptions used in the model at
inception, and at December 31, 2021 are as follows:
|
|
Inception
|
|
|
December 31, 2021
|
|
Stock Price
|
|
$
|
2.19
|
|
|
$
|
2.07
|
|
Conversion Price of conversion feature
|
|
$
|
5.00
|
|
|
$
|
5.00
|
|
Term
|
|
4 years
|
|
|
3.29 years
|
|
Risk Free Interest Rate
|
|
|
0.59
|
%
|
|
|
0.97
|
%
|
Credit Adjusted Discount Rate
|
|
|
7.60
|
%
|
|
|
8.43
|
%
|
Volatility
|
|
|
88
|
%
|
|
|
80
|
%
|
Dividend Rate
|
|
|
0
|
%
|
|
|
0
|
|
The roll forward of the April Note derivative liability – contingent interest is as follows:
Balance – December 31, 2020
|
|
$
|
—
|
|
Issuance of April convertible note payable – related party
|
|
|
420,000
|
|
Fair Value Adjustment
|
|
|
75,000
|
|
Balance – December 31, 2021
|
|
$
|
495,000
|
|
The September Note derivative liability – contingent interest was valued using a Monte Carlo Geometric Brownian Stock Path Model. The key assumptions used in the model
at inception, and at December 31, 2021 are as follows:
|
|
Inception
|
|
|
December 31, 2021
|
|
Stock Price
|
|
$
|
4.06
|
|
|
$
|
2.07
|
|
Conversion Price of conversion feature
|
|
$
|
8.64
|
|
|
$
|
8.64
|
|
Term
|
|
4
years
|
|
|
3.72
years |
|
Risk Free Interest Rate
|
|
|
0.68
|
%
|
|
|
1.12
|
%
|
Credit Adjusted Discount Rate
|
|
|
7.59
|
%
|
|
|
8.42
|
%
|
Volatility
|
|
|
91
|
%
|
|
|
82
|
%
|
Dividend Rate
|
|
|
0
|
%
|
|
|
0
|
|
The roll forward of the September Note derivative liability – contingent interest is as follows:
Balance – December 31, 2020
|
|
$
|
—
|
|
Issuance of September convertible note payable – related party
|
|
|
433,000
|
|
Fair Value Adjustment
|
|
|
(183,000
|
)
|
Balance – December 31, 2021
|
|
$
|
250,000
|
|
The December Note derivative liability – contingent interest was valued using a Monte Carlo Geometric Brownian Stock Path Model. The key assumptions used in the model at
inception, and at December 31, 2021 are as follows:
|
|
Inception
|
|
|
December 31, 2021
|
|
Stock Price
|
|
$
|
2.32
|
|
|
$
|
2.07
|
|
Conversion Price of conversion feature
|
|
$
|
5.43
|
|
|
$
|
5.43
|
|
Term
|
|
4 years
|
|
|
3.97 years
|
|
Risk Free Interest Rate
|
|
|
1.04
|
%
|
|
|
1.12
|
%
|
Credit Adjusted Discount Rate
|
|
|
8.54
|
%
|
|
|
8.42
|
%
|
Volatility
|
|
|
86
|
%
|
|
|
84
|
%
|
Dividend Rate
|
|
|
0
|
%
|
|
|
0
|
|
The roll forward of the December Note derivative liability – contingent interest is as follows:
Balance – December 31, 2020
|
|
$
|
—
|
|
Issuance of September convertible note payable – related party
|
|
|
415,000
|
|
Fair Value Adjustment
|
|
|
(30,000
|
)
|
Balance – December 31, 2021
|
|
$
|
385,000
|
|
|