Fair Value

6 Months Ended

Jun. 30, 2022

Fair Value Disclosures [Abstract]

Note 4 - Fair Value

The following table provides a summary of the changes in fair value, including net transfers in and/or out, of all Level 3 liabilities measured at fair value on a recurring basis using unobservable inputs during the three and six months ended June 30, 2022 and 2021:

		Accrued				Accrued
		Interest				Compensation				Total

Balance - January 1, 2022		$	402,344			$	61,306			$	463,650

Change in fair value			33,609				(412	)			33,197
Accrual of warrant obligation			114,727				-				114,727

Accrual of common stock obligation			-				7,097				7,097

Balance - March 31, 2022			550,680				60,894				611,574

Change in fair value			29,658				74				29,732

Balance - June 30, 2022		$	580,338			$	60,968			$	641,306

		Accrued				Accrued
		Interest				Compensation				Total

Balance - January 1, 2021		$	539,836			$	84,953			$	624,789

Change in fair value			41,607				97				41,704
Issuance of warrants			(82,350	)			-				(82,350	)

Balance - March 31, 2021			499,093				85,050				584,143

Change in fair value			37,994				(9	)			37,985
Accrual of warrant obligation			164,857				-				164,857
Accrual of common stock obligation			-				7,097				7,097

Balance - June 30, 2021		$	701,944			$	92,138			$	794,082

Financial assets are considered Level 3 when their fair values are determined using pricing models, discounted cash flow methodologies or similar techniques and at least one significant model assumption or input is unobservable. The Company’s Level 3 liabilities shown in the above table consist of accrued obligations to issue warrants and common stock.

In applying the Black-Scholes option pricing model utilized in the valuation of Level 3 liabilities, the Company used the following approximate assumptions:

		For the Three Months Ended								For the Six Months Ended
		June 30,								June 30,
		2022				2021				2022				2021

Risk-free interest rate			3.00%-3.01	%			0.67%-0.87	%			2.42%-3.01	%			0.64%-0.92	%
Expected term (years)			4.00-5.00				4.00-5.00				4.00-5.00				4.00-5.00
Expected volatility			90	%			90	%			90	%			90	%
Expected dividends			0.00	%			0.00	%			0.00	%			0.00	%

The expected term used is the contractual life of the instrument being valued. Since the Company’s stock does not have significant trading volume, the Company is utilizing an expected volatility based on a review of the historical volatilities, over a period of time, equivalent to the expected life of the instrument being valued, of similarly positioned public companies within its industry. The risk-free interest rate was determined from the implied yields from U.S. Treasury zero-coupon bonds with a remaining term consistent with the expected term of the instrument being valued.

As of June 30, 2022 and December 31, 2021, the Company had an obligation to issue 154,495 shares of common stock to service providers that had a fair value of $52,528, which was a component of accrued compensation on the condensed consolidated balance sheets. Furthermore, as of June 30, 2022 and December 31, 2021, the Company has an obligation to issue warrants to purchase 42,930 shares of the Company’s common stock to service providers that had a fair value of $8,440 and $8,778, respectively.

See Note 6, Stockholders’ Deficiency – Common Stock and Stock Warrants for additional details associated with the issuance of common stock and warrants.

The entire disclosure for the fair value of financial instruments (as defined), including financial assets and financial liabilities (collectively, as defined), and the measurements of those instruments as well as disclosures related to the fair value of non-financial assets and liabilities. Such disclosures about the financial instruments, assets, and liabilities would include: (1) the fair value of the required items together with their carrying amounts (as appropriate); (2) for items for which it is not practicable to estimate fair value, disclosure would include: (a) information pertinent to estimating fair value (including, carrying amount, effective interest rate, and maturity, and (b) the reasons why it is not practicable to estimate fair value; (3) significant concentrations of credit risk including: (a) information about the activity, region, or economic characteristics identifying a concentration, (b) the maximum amount of loss the entity is exposed to based on the gross fair value of the related item, (c) policy for requiring collateral or other security and information as to accessing such collateral or security, and (d) the nature and brief description of such collateral or security; (4) quantitative information about market risks and how such risks are managed; (5) for items measured on both a recurring and nonrecurring basis information regarding the inputs used to develop the fair value measurement; and (6) for items presented in the financial statement for which fair value measurement is elected: (a) information necessary to understand the reasons for the election, (b) discussion of the effect of fair value changes on earnings, (c) a description of [similar groups] items for which the election is made and the relation thereof to the balance sheet, the aggregate carrying value of items included in the balance sheet that are not eligible for the election; (7) all other required (as defined) and desired information.

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