XML 26 R16.htm IDEA: XBRL DOCUMENT

Fair Value Measurements

6 Months Ended

Jun. 30, 2022

10.	Fair Value Measurements

In accordance with ASC 820 (Fair Value Measurements and Disclosures), the Company uses various inputs to measure the outstanding warrants and certain embedded conversion features associated with a convertible debt on a recurring basis to determine the fair value of the liability.

The following table classifies the Company’s liabilities measured at fair value on a recurring basis into the fair value hierarchy as of June 30, 2022 and December 31, 2021 (in thousands):

	Fair value measured at June 30, 2022
	Fair value at June 30, 2022		Quoted prices in active markets (Level 1)		Significant other observable inputs (Level 2)		Significant unobservable inputs (Level 3)
Warrant liability	$	5,295	$	-	$	-	$	5,295
Embedded conversion option		218		-		-		218
Total fair value		5,513		-		-		5,513

	Fair value measured at December 31, 2021
	Fair value at December 31, 2021		Quoted prices in active markets (Level 1)		Significant other observable inputs (Level 2)		Significant unobservable inputs (Level 3)
Warrant liability	$	9,614		-		-		9,614
Embedded conversion option		6,255		-		-		6,255
Total fair value		15,869		-		-		15,869

There were no transfers between Level 1, 2 or 3 during the three and six months ended June 30, 2022 and 2021.

The following table presents changes in Level 3 liabilities measured at fair value for the six months ended June 30, 2022. Both observable and unobservable inputs were used to determine the fair value of positions that the Company has classified within the Level 3 category. Unrealized gains and losses associated with liabilities within the Level 3 category include changes in fair value that were attributable to both observable (e.g. changes in market interest rates) and unobservable (e.g., changes in unobservable long-dated volatilities) inputs (dollars in thousands):

	Warrant Liability			Conversion Feature			Total
Balance at December 31, 2021	$	9,614		$	6,255		$	15,869
Cashless exercise		(2,167	)		-			(2,167	)
Warrants issued		3,168			-			3,168
Change in fair value		(5,320	)		(6,037	)		(11,357	)
Balance at June 30, 2022	$	5,295		$	218		$	5,513

A summary of the warrant liability activity for the six months ended June 30, 2022 is as follows:

	Warrants Outstanding			Fair Value per Share		Fair Value
Balance at December 31, 2021		62,617,188		$	0.15	$	9,614,134
Warrants classified as liabilities		(15,000,000	)		0.14		(2,167,022	)
Warrants issued		21,874,302			0.14		3,168,581
Gain on remeasurement of warrant liability		-					(5,320,470	)
Balance at June 30, 2022		69,491,490		$	0.08	$	5,295,223

Significant inputs related to the Company’s liability classified warrants are listed below.

	June 30, 2022			December 31, 2021			New Issuance at Issue Date
Weighted average remaining life in years		5.21			4.67			6.89
Weighted average volatility		325	%		116	%		276	%
Weighted average risk free interest rate		3.0	%		1.2	%		3.0	%
Expected dividend yield		0.00	%		0.00	%		0.00	%

- Definition

The entire disclosure for the fair value of financial instruments (as defined), including financial assets and financial liabilities (collectively, as defined), and the measurements of those instruments as well as disclosures related to the fair value of non-financial assets and liabilities. Such disclosures about the financial instruments, assets, and liabilities would include: (1) the fair value of the required items together with their carrying amounts (as appropriate); (2) for items for which it is not practicable to estimate fair value, disclosure would include: (a) information pertinent to estimating fair value (including, carrying amount, effective interest rate, and maturity, and (b) the reasons why it is not practicable to estimate fair value; (3) significant concentrations of credit risk including: (a) information about the activity, region, or economic characteristics identifying a concentration, (b) the maximum amount of loss the entity is exposed to based on the gross fair value of the related item, (c) policy for requiring collateral or other security and information as to accessing such collateral or security, and (d) the nature and brief description of such collateral or security; (4) quantitative information about market risks and how such risks are managed; (5) for items measured on both a recurring and nonrecurring basis information regarding the inputs used to develop the fair value measurement; and (6) for items presented in the financial statement for which fair value measurement is elected: (a) information necessary to understand the reasons for the election, (b) discussion of the effect of fair value changes on earnings, (c) a description of [similar groups] items for which the election is made and the relation thereof to the balance sheet, the aggregate carrying value of items included in the balance sheet that are not eligible for the election; (7) all other required (as defined) and desired information.

+ References + Details