XML 24 R11.htm IDEA: XBRL DOCUMENT
v3.21.2

Derivative Liabilities | 6 Months Ended
--- | ---
Jun. 30, 2021
Derivative Instruments and Hedging Activities Disclosure [Abstract] |
DERIVATIVE LIABILITIES | NOTE 5 - DERIVATIVE LIABILITIES The following table sets forth a summary of the changes in the fair value of Level 3 derivative liabilities that are measured at fair value on a recurring basis:
|  | For the Six Months Ended June 30, 2021 |
|  | Warrants |  |  |  |  |  |  |
|  | AGP Warrants |  |  | Private Warrants |  |  | Public Warrants |  |  | PIPE Warrants |  |  | Convertible Notes |  |  | Total |
Beginning balance as of January 1, 2021 |  | $ | 165,895 |  |  | $ | 256,275 |  |  | $ | 3,795,000 |  |  | $ | - |  |  | $ | 225,800 |  |  | $ | 4,442,970 |
Extinguishment of derivative liabilities in connection with conversion of debt [1] |  |  | - |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | (591,203 | ) |  |  | (591,203 | )
Warrants issued in connection with the financing |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 7,294,836 |  |  |  | - |  |  |  | 7,294,836 |
Change in fair value of derivative liabilities |  |  | 237,436 |  |  |  | 624,600 |  |  |  | 7,130,000 |  |  |  | 4,581,868 |  |  |  | 655,404 |  |  |  | 13,229,308 |
Balance as of March 31, 2021 |  |  | 403,331 |  |  |  | 880,875 |  |  |  | 10,925,000 |  |  |  | 11,876,704 |  |  |  | 290,001 |  |  |  | 24,375,911 |
Change in fair value of derivative liabilities |  |  | 55,025 |  |  |  | 629,325 |  |  |  | 10,350,000 |  |  |  | 7,712,770 |  |  |  | 409,300 |  |  |  | 19,156,420 |
Ending balance as of June 30, 2021 |  | $ | 458,356 |  |  | $ | 1,510,200 |  |  | $ | 21,275,000 |  |  | $ | 19,589,474 |  |  | $ | 699,301 |  |  | $ | 43,532,331 |
| [1] | See Note 7, Convertible Note Payable.
The fair value of the derivative liabilities as of June 30, 2021 was estimated using the Monte-Carlo and Black Scholes option price models, with the following assumptions used:
Risk-free interest rate |  |  | 0.03% - 0.92 | %
Expected term in years |  |  | 0.17 - 4.75 |
Expected volatility |  |  | 85% - 102 | %
Expected dividends |  |  | 0 | %
Between January 15, 2021 and February 5, 2021, the fair value of derivative liabilities extinguished in connection with the conversion of debt were estimated using the Monte-Carlo and Black Scholes option price models with the following assumptions used:
|  | January 15, 2021 to February 5, 2021 |
Risk-free interest rate |  |  | 0.00% - 0.14 | %
Expected term (years) |  |  | 0.02 - 0.18 |
Expected volatility |  |  | 120% - 161 | %
Expected dividends |  |  | 0 | %
AGP Warrants In connection with the closing of the Business Combination on November 6, 2020, the Company became obligated to assume five-year warrants for the purchase of 63,658 shares of the Company’s common stock at an exercise price of $5.28 per share (the “AGP Warrant Liability”) that had originally been issued by KBL to an investment banking firm in connection with a prior private placement. On March 12, 2021, the Company issued a warrant to AGP (the “AGP Warrant”) to purchase up to an aggregate of 63,658 shares of the Company’s common stock at a purchase price of $5.28 per share, subject to adjustment, in full satisfaction of the AGP Warrant Liability. The purchase of shares pursuant to the AGP Warrant is limited at any given time not to exceed a beneficial ownership of 4.99% of the then total number of issued and outstanding shares of the Company’s common stock. The warrant is exercisable at any time between May 2, 2021 and May 2, 2025. The newly issued AGP Warrant did not meet the requirements for equity classification due to the existence of a tender offer provision that could potentially result in cash settlement of the AGP Warrant that did not meet the limited exception in the case of a change-in-control. Accordingly, the AGP Warrant will continue to be liability-classified. The AGP Warrant was revalued on June 30, 2021 at $458,356, which resulted in a $292,461 increase in the fair value of the derivative liabilities during the six months ended June 30, 2021. Warrants Issued in Private Offering On February 23, 2021, the Company issued five-year warrants (the “PIPE Warrants”) to purchase 2,564,000 shares of common stock at an exercise price of $5.00 per share in connection with the private offering (see Note 9 – Stockholders’ Equity – Common Stock). The PIPE Warrants did not meet the requirements for equity classification due to the existence of a tender offer provision that could potentially result in cash settlement of the PIPE Warrants that didn’t meet the limited exception in the case of a change-in-control. Accordingly, the Company reclassified the $7,294,836 fair value of the PIPE Warrants, which was determined using the Black-Scholes option pricing model, from additional paid-in-capital to derivative liabilities. The PIPE Warrants were revalued on June 30, 2021 at $19,589,474. The following assumptions were used to value the PIPE Warrants at issuance:
|  | February 23, |
|  | 2021 |
Risk-free interest rate |  |  | 0.59 | %
Expected term (years) |  |  | 5.00 |
Expected volatility |  |  | 85.0 | %
Expected dividends |  |  | 0 | %
A summary of warrants activity during the six months ended June 30, 2021 is presented below:
|  | Number of Warrants |  |  | Weighted Average Exercise Price |  |  | Weighted Average Remaining Life in Years |  |  | Intrinsic Value |
Outstanding, January 1, 2021 |  |  | 6,001,250 |  |  |  | 11.50 |  |  |  | - |  |  |  |  |
Issued |  |  | 2,627,658 |  |  |  | 5.01 |  |  |  | - |  |  |  |  |
Exercised |  |  | - |  |  |  | - |  |  |  | - |  |  |  |  |
Cancelled |  |  | - |  |  |  | - |  |  |  | - |  |  |  |  |
Expired |  |  | - |  |  |  | - |  |  |  | - |  |  |  |  |
Outstanding, June 30, 2021 |  |  | 8,628,908 |  |  | $ | 9.52 |  |  |  | 4.4 |  |  | $ | 13,120,466 |
Exercisable, June 30, 2021 |  |  | 8,628,908 |  |  | $ | 9.52 |  |  |  | 4.4 |  |  | $ | 13,120,466 |
A summary of outstanding and exercisable warrants as of June 30, 2021 is presented below:
Warrants Outstanding |  |  | Warrants Exercisable |
Exercise Price |  |  | Exercisable Into |  | Outstanding Number of Warrants |  |  | Weighted Average Remaining Life in Years |  |  | Exercisable Number of Warrants |
$ | 11.50 |  |  | Common Stock |  |  | 6,001,250 |  |  | 4.4 |  |  |  | 6,001,250 |
$ | 5.28 |  |  | Common Stock |  |  | 63,658 |  |  | 3.8 |  |  |  | 63,658 |
$ | 5.00 |  |  | Common Stock |  |  | 2,564,000 |  |  | 4.7 |  |  |  | 2,564,000 |
|  |  |  | Total |  |  | 8,628,908 |  |  |  |  |  |  | 8,628,908 |

X
- References No definition available. + Details
Name: | us-gaap_DerivativeInstrumentsAndHedgingActivitiesDisclosureAbstract
Namespace Prefix: | us-gaap_
Data Type: | xbrli:stringItemType
Balance Type: | na
Period Type: | duration

X
- Definition The entire disclosure for derivative instruments and hedging activities including, but not limited to, risk management strategies, non-hedging derivative instruments, assets, liabilities, revenue and expenses, and methodologies and assumptions used in determining the amounts. + References Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -URI http://asc.fasb.org/topic&trid=2229140 Reference 2: http://www.xbrl.org/2003/role/disclosureRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 40 -Section 50 -Paragraph 5 -Subparagraph (f) -URI http://asc.fasb.org/extlink&oid=123477628&loc=d3e90205-114008 + Details
Name: | us-gaap_DerivativeInstrumentsAndHedgingActivitiesDisclosureTextBlock
Namespace Prefix: | us-gaap_
Data Type: | dtr-types:textBlockItemType
Balance Type: | na
Period Type: | duration