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Fair Value of Financial Instruments
12 Months Ended
Dec. 31, 2021
Fair Value of Financial Instruments [Abstract]  
Fair Value of Financial Instruments
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