FAIR VALUE OF FINANCIAL INSTRUMENTS

6 Months Ended

Jun. 30, 2022

FAIR VALUE OF FINANCIAL INSTRUMENTS

FAIR VALUE OF FINANCIAL INSTRUMENTS

3. FAIR VALUE OF FINANCIAL INSTRUMENTS

The guidance for fair value measurements, ASC 820, Fair Value Measurements and Disclosures, establishes the authoritative definition of fair value, sets out a framework for measuring fair value, and outlines the required disclosures regarding fair value measurements. Fair value is the price that would be received to sell an asset or paid to transfer a liability (an exit price) in the principal or most advantageous market for the asset or liability in an orderly transaction between market participants at the measurement date. The Company uses a three-tier fair value hierarchy based upon observable and non-observable inputs as follow:

· Level 1–Quoted market prices in active markets for identical assets and liabilities;

· Level 2–Inputs, other than level 1 inputs, either directly or indirectly observable; and

· Level 3–Unobservable inputs developed using internal estimates and assumptions (there is little or no market date) which reflect those that market participants would use.

The Company records its derivative activities at fair value. As of June 30, 2022 we had one instrument that we valued for the derivative liability associated with the bifurcated conversion option of the Auctus loan for $400,000. There was no movement of instruments between fair value hierarchy tiers during the six months ended June 30, 2022.

The following tables present the fair value of those liabilities measured on a recurring basis as of June 30, 2022 and December 31, 2021:

	Fair Value at June 30, 2022 (in thousands)
	Level 1		Level 2		Level 3			Total
Derivative liability/bifurcated conversion option in connection with Auctus $400,000 loan on December 17, 2019	$	-	$	-	$	(24	)	$	(24	)
Total short-term liabilities at fair value	$	-	$	-	$	(24	)	$	(24	)

	Fair Value at December 31, 2021 (in thousands)
	Level 1		Level 2		Level 3			Total
Derivative liability/bifurcated conversion option in connection with Auctus $400,000 loan on December 17, 2019		-		-		(32	)		(32	)
Total long-term liabilities at fair value	$	-	$	-	$	(32	)	$	(32	)

The following is a summary of changes to Level 3 instruments during the six months ended June 30, 2022:

	(in thousands)
	Senior Secured		Derivative			Total
Balance, December 31, 2021	$	-	$	(32	)	$	(32	)
Change in fair value during the period		-		8			8
Balance, June 30, 2022	$	-	$	(24	)	$	(24	)