Quarterly report pursuant to Section 13 or 15(d)

Fair Value (Tables)

v3.22.1
Fair Value (Tables)
3 Months Ended
Mar. 31, 2022
Convertible Debt [Member]  
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]  
Schedule of reconciliation of fair values

Three Months Ended March 31,




2022

2021

Fair value balance at beginning of period 


$ 17,305,000
$ 13,398,000
Payments on Convertible Notes

(3,300,000 )
(7,697,727 )
Change in fair value reported in the statements of operations 

1,433,000

1,991,272

Change in fair value reported in other comprehensive loss 



(101,000 )
13,000

Fair value balance at end of period


$ 15,337,000
$ 7,704,545


Schedule of fair value by using key inputs

Fair Value Assumptions - Convertible Notes

 

March 31, 2022

 

 

December 31, 2021

 

Face value principal payable

  

$

16,700,000

  

  

$

20,000,000

  

Original conversion price

 

$

4.05

 

 

$

4.05

 

Value of Common Stock

 

$

1.14

 

 

$

1.75

 

Expected term (years)

 

 

2.5

 

 

 

2.8

 

Volatility

 

 

79

%

 

 

75

%

Market yield 

 

 

40.2
%

 

 

 37.1

Risk free rate

 

 

2.4

%

 

 

1

%

Issue date

October 5, 2021


October 5, 2021
Maturity date

October 5, 2024


October 5, 2024
Private Warrant [Member]  
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]  
Schedule of reconciliation of fair values

Three Months Ended March 31,

2022

2021

Fair value balance at beginning of period

$

63,178



$ 311,376

Change in fair value reported in the statements of operations

 

(18,051

)

175,996

Fair value balance at end of period

$

45,127



$ 487,372
Schedule of fair value by using key inputs

Fair Value Assumptions - Private Warrants

 

March 31, 2022

 

 

December 31, 2021

 

Number of Private Warrants 

  


225,635

  

  


225,635

  

Original conversion price

 

$

11.50

 

 

$

11.50

 

Value of Common Stock

 

$

1.14

 

 

$

1.75

 

Expected term (years)

 

 

2.21

 

 

 

2.46

 

Volatility

 

 

114.4

%

 

 

93.9

%

Risk free rate

 

 

2.3

%

 

 

0.8

%