Quarterly report pursuant to Section 13 or 15(d)

Fair Value (Tables)

v3.22.2.2
Fair Value (Tables)
9 Months Ended
Sep. 30, 2022
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]  
Schedule of fair value measurement unit offering common and underwriter warrants
Fair Value Assumptions - 2022 Common and Underwriter Warrants
July 5, 2022

Exercise price $ 4.60
Expected term (years)
5.0
Volatility
136.9 %
Convertible Debt [Member]  
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]  
Schedule of reconciliation of fair values

Three Months Ended September 30,




2022

2021

Fair value balance at beginning of period 


$ 13,388,000

$ 6,152,000
Payments of principal



(2,344,226 )
Change in fair value reported in the statements of operations 

1,113,000


23,227

Change in fair value reported in other comprehensive loss 



(26,000 )

3,000

Fair value balance at end of period


$ 14,475,000

$ 3,834,001

 



Nine Months Ended September 30,


2022

2021

Fair value balance at beginning of period 
$ 17,305,000

$ 13,398,000
Payments of principal

(5,380,000 )

(11,613,903 )
Change in fair value reported in the statements of operations 

2,840,000


2,030,904
Change in fair value reported in other comprehensive loss  

(290,000 )

19,000
Fair value balance at end of period
$ 14,475,000

$ 3,834,001


Schedule of fair value by using key inputs

Fair Value Assumptions - Convertible Notes

 

September 30, 2022

 

 

December 31, 2021

 

Face value principal payable

  

$

14,660,000

  

  

$

20,000,000

  

Original conversion price (1)

 

$

6.2100

 

 

$

81.00

 

Value of Common Stock

 

$

1.80

 

 

$

35.00

 

Expected term (years)

 

 

2.0

 

 

 

2.8

 

Volatility

 

 

92

%

 

 

75

%

Market yield 

 

 

45.3
%

 

 

 37.1

Risk free rate

 

 

4.2

%

 

 

1

%

Issue date

October 5, 2021


October 5, 2021
Maturity date

October 5, 2024


October 5, 2024

(1) In accordance with the Convertible Notes Amendment, the conversion price was lowered to $6.21 per share from $81.00 per share through October 4, 2022 (see Note 10).

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

Three Months Ended September 30,

2022

2021

Fair value balance at beginning of period

$

11,282



$ 354,247

Change in fair value reported in the statements of operations

 

(2,257

)

(194,046 )

Fair value balance at end of period

$

9,025



$ 160,201

 


Nine Months Ended September 30,

2022

2021
Fair value balance at beginning of period $ 63,178

$ 311,376
Change in fair value reported in the statements of operations 
(54,153 )

(151,175 )
Fair value balance at end of period $ 9,025

$ 160,201
Schedule of fair value by using key inputs

Fair Value Assumptions - Private Warrants

 

September 30, 2022

 

 

December 31, 2021

 

Number of Private Warrants 

  


225,635

  

  


225,635

  

Original conversion price

 

$

230.00

 

 

$

230.00

 

Value of Common Stock

 

$

1.80

 

 

$

35.00

 

Expected term (years)

 

 

1.71

 

 

 

2.46

 

Volatility

 

 

87.6

%

 

 

85.8

%

Risk free rate

 

 

4.1

%

 

 

0.8

%