Fair Value (Tables)

9 Months Ended

Sep. 30, 2022

Fair Value Disclosures [Abstract]

Summary of derivative liabilities and the contingent earnout fall

	Fair Value Measurements at September 30, 2022
	Level 1		Level 2		Level 3		Total
Crom Derivative Liabilities	$	-	$	-	$	789,000	$	789,000
Contingent Earnout	$	-	$	-	$	1,121,000	$	1,121,000
Total	$	-	$	-	$	1,910,000	$	1,910,000

	Fair Value Measurements at December 31, 2021
	Level 1		Level 2		Level 3		Total
Crom Derivative Liabilities	$	-	$	-	$	-	$	-
Contingent Earnout	$	-	$	-	$	257,000	$	257,000
Total	$	-	$	-	$	257,000	$	257,000

Summary of derivative liabilities

The Company’s derivative liabilities as of September 30, 2022 and December 31, 2021 associated with the Derivative Instruments are as follows.

	September 30, 2022 (unaudited)			December 31, 2021		Inception
Fair value of conversion option of Crom Cortana Fund LLC convertible note	$	(345,000	)	$	-	$	(314,000	)
Fair value of 656,250 warrants on April 4, 2022		(444,000	)		-		(378,000	)
	$	(789,000	)	$	-		(692,000	)

Summary of change in the fair value of the derivative liabilities

Activity related to the derivative liabilities for the nine months ended September 30, 2022 is as follows:

Beginning balance as of December 31, 2021	$	-
Issuances of convertible note/warrants – derivative liabilities		(692,000	)
Warrants exchanged for common stock		-
Change in fair value of warrant derivative liabilities		(97,000	)
Ending balance as of September 30, 2022	$	(789,000	)

Summary of fair value measurements

Changes to these inputs could produce a significantly higher or lower fair value measurement. The fair value of each Derivative Instrument is estimated using a binomial valuation model. The following assumptions were used for the periods as follows:

	September 30, 2022			Inception – April 4, 2022
Expected term – conversion option		0.51 years			1 year
Expected term - warrants		4.51 years			5 years
Stock price as of Measurement Date	$	4.30		$	3.80
Equity volatility - unadjusted		284.80	%		278.80	%
Volatility haircut		5.00	%		5.00	%
Selected volatility – post haircut		115.0	%		112.60	%
Senior unsecured synthetic credit rating		CCC+			CCC+
B- market yield		7.90	%		4.50	%
OAS differential between CCC+ and B- bonds		458	bps		383	bps
Risk adjusted rate		12.50	%		8.30	%
Risk-free interest rate		3.90	%		1.70	%