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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