Fair Value of Financial Instruments (Tables)

6 Months Ended

Jun. 30, 2021

Fair Value Disclosures [Abstract]

Summary of assets and liabilities that are measured at fair value on a recurring basis

Assets and liabilities measured and recorded at fair value on a recurring basis at the end of June 30, 2021 were as follows:

	Level 1	Level 2	Level 3		Total
Derivative Liability – Contingent Interest			$	592,000	$	592,000

Summary of derivative liability

The 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 June 30, 2021 are as follows:

	Inception			June 30, 2021
Stock Price	$	2.19		$	3.20
Conversion Price of conversion feature	$	5.00		$	5.00
Term		4 years			3.8 years
Risk Free Interest Rate		0.59	%		0.67	%
Credit Adjusted Discount Rate		7.60	%		7.11	%
Volatility		88	%		91	%
Dividend Rate		0	%		0

Summary of roll forward of the derivative liability as follows;

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

Balance – December 31, 2020	$	—
Issuance of convertible note payable – related party		420,000
Fair Value Adjustment		172,000
Balance – June 30, 2021	$	592,000