Quarterly report pursuant to Section 13 or 15(d)

Financial Instruments Fair Value Measurements (Tables)

v3.22.2.2
Financial Instruments Fair Value Measurements (Tables)
6 Months Ended
Jun. 30, 2022
Fair Value Disclosures [Abstract]  
Schedule of Financial Liabilities Measured at Fair Value on Recurring Basis

The fair value hierarchy table for the reporting date noted is as follows:

 

    Fair Value Measurement on a Recurring Basis at Reporting Date Using(1)
    Level-1 Inputs   Level-2 Inputs   Level-3 Inputs   Total
June 30, 2022                
Senior Secured Convertible Note - April 2022   $   $   $ 29,500   $ 29,500
Totals   $   $   $ 29,500   $ 29,500

 

(1) As noted above, as presented in the fair value hierarchy table, Level-1 represents quoted prices in active markets for identical items, Level-2 represents significant other observable inputs, and Level-3 represents significant unobservable inputs. There were no transfers between the respective Levels during the period ended June 30, 2022.
Schedule of Fair Value Assumption Used

The estimated fair value of the April 2022 Senior Convertible Note as of each of April 4, 2022 and June 30, 2022, were computed using a Monte Carlo simulation of the present value of its cash flows using a synthetic credit rating analysis and a required rate-of-return, using the following assumptions:

  

   

April 2022

Senior
Convertible Note:
April 4, 2022
   

April 2022

Senior

Convertible Note:
June 30, 2022

 
Fair Value   $ 30,100     $ 29,500  
Face value principal payable   $ 27,500     $ 27,500  
Required rate of return     7.875 %     11.20 %
Conversion Price   $ 5.00     $ 5.00  
Value of common stock   $ 1.26     $ 0.94  
Expected term (years)     2.00       1.76  
Volatility     115.00 %     130.00 %
Risk free rate     2.40 %     2.85 %
Dividend yield     %     %