Fair Value (Tables)
|
3 Months Ended |
12 Months Ended |
Mar. 31, 2022 |
Dec. 31, 2021 |
| Fair Value (Tables) [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 |
|
|
| Fair
Value Assumptions - Private Warrants |
|
December
31,
2021 |
|
|
December
31,
2020 |
|
| Number of Private Warrants |
|
|
225,635 |
|
|
|
225,635 |
|
| Original conversion price |
|
$ |
11.50 |
|
|
$ |
11.50 |
|
| Value of Common Stock |
|
$ |
1.75 |
|
|
$ |
3.24 |
|
| Expected term (years) |
|
|
2.46 |
|
|
|
3.46 |
|
| Volatility |
|
|
85.8 |
% |
|
|
102.3 |
% |
| Risk free rate |
|
|
0.8 |
% |
|
|
0.2 |
% |
|
| Schedule of estimated fair value |
|
| Beginning fair value balance on
June 30, 2020 |
|
$ |
14,131,000 |
|
| Payments
on Convertible Notes |
|
|
(1,827,273 |
) |
| Change
in fair value reported in the statements of operations |
|
|
961,273 |
|
| Change
in fair value reported in other comprehensive income |
|
|
133,000 |
|
| Ending fair value balance - December 31, 2020 |
|
$ |
13,398,000 |
|
| Payments on Convertible Notes |
|
|
(15,172,727 |
) |
| Change in fair value reported
in the statements of operations |
|
|
2,030,904 |
|
| Change in fair value reported
in other comprehensive income |
|
|
(70,000 |
) |
| Gain
on extinguishment of debt reported on the statement of operations |
|
|
(186,177 |
) |
| Ending fair value balance
- October 5, 2021 |
|
$ |
— |
|
| Beginning fair value balance on October 5, 2021 |
|
$ |
18,000,000 |
|
| Payments on Convertible Notes |
|
|
— |
|
| Change in fair value reported in the statements of operations |
|
|
(665,000 |
) |
| Change in fair value reported in other comprehensive income |
|
|
(30,000 |
) |
| Ending fair value balance - December 31, 2021 |
|
$ |
17,305,000 |
|
|
| Schedule of fair value by using key inputs to the Monte Carlo Simulation Model |
|
| Fair Value Assumptions - Convertible Notes |
|
December 31,
2021 |
|
|
December 31,
2020 |
|
| Face value principal payable |
|
$ |
20,000,000 |
|
|
$ |
15,172,272 |
|
| Original conversion price |
|
$ |
4.05 |
|
|
$ |
11.5 |
|
| Value of Common Stock |
|
$ |
1.75 |
|
|
$ |
3.24 |
|
| Expected term (years) |
|
|
2.8 |
|
|
|
2.3 |
|
| Volatility |
|
|
75 |
% |
|
|
77 |
% |
| Market yield (range) |
|
|
37.1 |
% |
|
|
27.1 to 27.2 |
% |
| Risk free rate |
|
|
1.0 |
% |
|
|
0.1 |
% |
| Issue date |
|
|
October
5, 2021 |
|
|
|
June
9, 2020 |
|
| Maturity date |
|
|
October 5, 2024 |
|
|
|
June 1, 2023 |
|
|
| Schedule of fair value categorized within Level 3 of the fair value hierarchy |
|
| |
|
Year
Ended December 31, |
|
| |
|
2021 |
|
|
2020 |
|
| Fair value balance at beginning
of period |
|
$ |
311,376 |
|
|
$ |
688,187 |
|
| Change
in fair value reported in the statements of operations |
|
|
(248,198 |
) |
|
|
(376,811 |
) |
| Fair value balance at end
of period |
|
$ |
63,178 |
|
|
$ |
311,376 |
|
|
| Private Warrants [Member] |
|
|
| Fair Value (Tables) [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 |
% |
|
|