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FAIR VALUE MEASUREMENTS

12 Months Ended

Dec. 31, 2020

Fair Value Disclosures [Abstract]

FAIR VALUE MEASUREMENTS

In accordance with ASC 820 (Fair Value Measurements and Disclosures), the Company uses various inputs to measure the outstanding warrants on a recurring basis to determine the fair value of the liability. ASC 820 also establishes a hierarchy categorizing inputs into three levels used to measure and disclose fair value. The hierarchy gives the highest priority to quoted prices available in active markets and the lowest priority to unobservable inputs. An explanation of each level in the hierarchy is described below:

Level 1 - Unadjusted quoted prices in active markets for identical instruments that are accessible by the Company on the measurement date

Level 2 - Quoted prices in markets that are not active or inputs which are either directly or indirectly observable

Level 3 - Unobservable inputs for the instrument requiring the development of assumptions by the Company

The following table classifies the Company’s liabilities measured at fair value on a recurring basis into the fair value hierarchy as of December 31, 2020 and 2019 (amount in thousands):

		Fair Value at December 31, 2020
		Total				Level 1				Level 2				Level 3
Liabilities:
Derivative liability - Warrants			4,444				-				-				4,444
Total liabilities		$	4,444			$	-			$	-			$	4,444

		Fair Value at December 31, 2019
		Total				Level 1				Level 2				Level 3
Liabilities:
Derivative liability - Warrants			4,144				-				-				4,144
Total liabilities		$	4,144			$	-			$	-			$	4,144

There were no transfers between Level 1, 2 or 3 during the years ended December 31, 2020 and 2019.

The following table presents changes in Level 3 liabilities measured at fair value for the year ended December 31, 2020 and 2019. Both observable and unobservable inputs were used to determine the fair value of positions that the Company has classified within the Level 3 category. Unrealized gains and losses associated with liabilities within the Level 3 category include changes in fair value that were attributable to both observable (e.g., changes in market interest rates) and unobservable (e.g., changes in unobservable long- dated volatilities) inputs (amount in thousands).

		Derivative liability - Warrants
Balance at January 1, 2019		$	-
Addition			7,762
Change in fair value			(3,618	)
Balance at December 31, 2019			4,144
Change in fair value			300
Balance at December 31, 2020		$	4,444

A summary of the weighted average (in aggregate) significant unobservable inputs (Level 3 inputs) used in the Monte Carlo simulation measuring the Company’s derivative liabilities that are categorized within Level 3 of the fair value hierarchy as of December 31, 2020 and 2019 is as follows:

		December 31,				December 31,
		2020				2019
Exercise price		$	0.0044			$	0.0044
Contractual term (years)			3.32				4.32
Volatility (annual)			75.0	%			70.0	%
Risk-free rate			0.2	%			1.7	%
Dividend yield (per share)			0	%			0	%

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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