Fair Value of Financial Instruments (Tables)

9 Months Ended

Sep. 30, 2022

Fair Value of Financial Instruments [Abstract]

Assets and Liabilities Measured and Recorded at Fair Value on Recurring Basis

Assets and liabilities measured and recorded at fair value on a recurring basis at September 30, 2022 were as follows:

	Level 1		Level 2		Level 3		Total
Derivative Liability – Contingent Interest April Note	$	—	$	—	$	373,000	$	373,000
Derivative Liability – Contingent Interest September Note	$	—	$	—	$	177,000	$	177,000
Derivative Liability – Contingent Interest December Note	$	—	$	—	$	301,000	$	301,000

April Note [Member]

Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]

Key Assumptions Used in Model at Inception

The April Note derivative liability – contingent interest was valued using a Monte Carlo Geometric Brownian Stock Path Model. The key assumptions used in the model at inception, and at September 30, 2022 are as follows:

				September 30,
	Inception			2022
Stock Price	$	2.19		$	1.63
Conversion Price of conversion feature	$	5.00		$	5.00
Term	4 years			2.54 years
Risk Free Interest Rate		0.59	%		4.24	%
Credit Adjusted Discount Rate		7.60	%		17.42	%
Volatility		88	%		83	%
Dividend Rate		0	%		0	%

Roll Forward of Derivative Liability - Contingent Interest

The roll forward of the April Note derivative liability – contingent interest is as follows:

Balance – December 31, 2020	$	—
Issuance of April convertible note payable – related party		420,000
Fair Value Adjustment		75,000
Balance – December 31, 2021	$	495,000
Fair Value Adjustment		(122,000	)
Balance – September 30, 2022	$	373,000

September Note [Member]

Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]

Key Assumptions Used in Model at Inception

The September Note derivative liability – contingent interest was valued using a Monte Carlo Geometric Brownian Stock Path Model. The key assumptions used in the model at inception, and at September 30, 2022 are as follows:

		Inception				September 30, 2022
Stock Price		$	4.06			$	1.63
Conversion Price of conversion feature		$	8.64			$	8.64
Term	4 years				2.97 years
Risk Free Interest Rate			0.68	%			4.25	%
Credit Adjusted Discount Rate			7.59	%			17.42	%
Volatility			91	%			83	%
Dividend Rate			0	%			0	%

Roll Forward of Derivative Liability - Contingent Interest

The roll forward of the September Note derivative liability – contingent interest is as follows:

Balance – December 31, 2020	$	—
Issuance of September convertible note payable – related party		433,000
Fair Value Adjustment		(183,000	)
Balance – December 31, 2021	$	250,000
Fair Value Adjustment		(73,000	)
Balance – September 30, 2022	$	177,000

December Note [Member]

Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]

Key Assumptions Used in Model at Inception

The December Note derivative liability – contingent interest was valued using a Monte Carlo Geometric Brownian Stock Path Model. The key assumptions used in the model at inception, and at September 30, 2022 are as follows:

				September 30,
	Inception			2022
Stock Price	$	2.32		$	1.63
Conversion Price of conversion feature	$	5.43		$	5.43
Term	4 years			3.22 years
Risk Free Interest Rate		1.04	%		4.24	%
Credit Adjusted Discount Rate		8.54	%		17.42	%
Volatility		86	%		81	%
Dividend Rate		0	%		0	%

Roll Forward of Derivative Liability - Contingent Interest

The roll forward of the December Note derivative liability – contingent interest is as follows:

Balance – December 31, 2020	$	—
Issuance of September convertible note payable – related party		415,000
Fair Value Adjustment		(30,000	)
Balance – December 31, 2021	$	385,000
Fair Value Adjustment		(84,000	)
Balance – September 30, 2022	$	301,000