Fair Value Measurements

12 Months Ended

Dec. 31, 2021

Fair Value Measurements [Abstract]

Fair Value Measurements

15. Fair Value Measurements

In accordance with ASC 820 (Fair Value Measurements and Disclosures), the Company uses various inputs to measure the outstanding warrants and certain embedded conversion features associated with a convertible debt on a recurring basis to determine the fair value of the liability.

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, 2021 and 2020 (in thousands):

	Fair value measured at December 31, 2021
			Quoted prices in		Significant other		Significant
	Fair value at		active markets		observable inputs		unobservable inputs
	December 31, 2021		(Level 1)		(Level 2)		(Level 3)
Warrant liability	$	9,614	$	-	$	-	$	9,614
Embedded conversion option		6,255		-		-		6,255
Total fair value		15,869		-		-		15,869

	Fair value measured at December 31, 2020
			Quoted prices in		Significant other		Significant
	Fair value at		active markets		observable inputs		unobservable inputs
	December 31, 2020		(Level 1)		(Level 2)		(Level 3)
Warrant liability	$	8,855		-		-		8,855
Embedded conversion option		-		-		-		-
Total fair value		8,855		-		-		8,855

There were no transfers between Level 1, 2 or three during the years ended December 31, 2021 and 2020.

The following table presents changes in Level 3 liabilities measured at fair value for the years ended December 31, 2021 and 2020. 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 (in thousands):

	Warrant Liability			Embedded Conversion Feature		Total
Balance December 31, 2019	$	-		$	-	$	-
Warrants classified as liabilities		11,955			-		11,955
Warrants reclassified as equity		(6,293	)		-		(6,293	)
Change in fair value		3,193			-		3,193
Balance December 31, 2020	$	8,855		$	-	$	8,855
Cashless exercise		(2,030	)		-		(2,030	)
Warrants classified as liabilities		2,282			-		2,282
Transfer to convertible feature		-			4,139		4,139
Change in fair value		507			2,116		2,623
Balance December, 2021	$	9,614		$	6,255	$	15,869

A summary of the warrant liability activity for the year ended December 31, 2021 is as follows:

	Warrants Outstanding			Fair Value per Share		Fair Value
Balance December 31, 2019		-		$	-	$	-
Warrants classified as liabilities		112,210,902			0.11		11,955,454
Warrants reclassified as Equity		(64,119,742	)		0.10		(6,292,695	)
Gain on remeasurement of warrant liability		-					3,192,620
Balance December 31, 2020		48,091,160		$	0.18	$	8,855,379
Cashless exercise of LGH Warrants		(11,400,000	)		0.18		(2,030,052	)
Warrants classified as liabilities		25,926,028			0.10		2,282,262
Gain on remeasurement of warrant liability		-					506,545
Balance December, 2021		62,617,188		$	0.15	$	9,614,134

Significant Black Scholes valuation model inputs related to the Company’s different Warrants at December 31, 2021 and 2020 are listed below.

	2021			2020
Weighted average expected life in years		4.67			7.00
Weighted average volatility		116	%		121	%
Weighted average risk free interest rate		1.2	%		0.5	%
Expected dividend yield		0.00	%		0.00	%