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Fair Value Measurements | 9 Months Ended
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Sep. 30, 2021
Fair Value Disclosures [Abstract] |
Fair Value Measurements | 7. Fair Value Measurements The Company estimates the fair value of financial instruments using available market information and valuation methodologies the Company believes to be appropriate for these purposes. Considerable judgment and a high degree of subjectivity are involved in developing these estimates and, accordingly, they are not necessarily indicative of amounts the Company would realize upon disposition. The fair value hierarchy consists of three broad levels of inputs that may be used to measure fair value, which are described below:
| ● | Level 1 Quoted prices (unadjusted) in active markets for identical assets or liabilities;
| ● | Level 2 Inputs other than quoted prices included within Level 1 that are either directly or indirectly observable; and
| ● | Level 3 Assets or liabilities for which fair value is based on valuation models with significant unobservable pricing inputs and which result in the use of management estimates.
The Company accounts for certain warrants (as described under the heading Common Stock Warrants in Note 10) as derivative liabilities, which requires the Company to carry such amounts on its condensed consolidated balance sheets as a liability at fair value, as adjusted at each reporting period-end. The Company accounted for the embedded conversion features of the 12% senior convertible debentures (the “12% Convertible Debentures”) as derivative liabilities, which required the Company to carry such amounts on its condensed consolidated balance sheets as a liability at fair value, as adjusted at each reporting period-end. As of December 31, 2020, there was no longer any principal or accrued but unpaid interest outstanding under the 12% Convertible Debentures since certain holders converted the debt into shares of the Company’s common stock and certain holders were paid in cash. These warrants are and the embedded conversion features were classified as Level 3 within the fair-value hierarchy. Inputs to the valuation model include the Company’s publicly quoted stock price, the stock volatility, the risk-free interest rate, the remaining life of the warrants and debentures, the exercise price or conversion price, and the dividend rate. The Company uses the closing stock price of its common stock over an appropriate period of time to compute stock volatility. Warrant Derivative Liabilities The following table presents the assumptions used for the warrant derivative liabilities under the Black-Scholes option-pricing model: Schedule of Warrant Derivative Liabilities
|  | As of September 30, 2021 |  |  | As of December 31, 2020 |
|  | Strome Warrants |  |  | B. Riley Warrants |  |  | Strome Warrants |  |  | B. Riley Warrants |
Expected life |  |  | 1.70 |  |  |  | 4.50 |  |  |  | 2.45 |  |  |  | 4.79 |
Risk-free interest rate |  |  | 0.28 | % |  |  | 0.76 | % |  |  | 0.13 | % |  |  | 0.36 | %
Volatility factor |  |  | 153.59 | % |  |  | 142.59 | % |  |  | 150.55 | % |  |  | 140.95 | %
Dividend rate |  |  | 0 | % |  |  | 0 | % |  |  | 0 | % |  |  | 0 | %
Transaction date closing market price |  | $ | 0.38 |  |  | $ | 0.38 |  |  | $ | 0.60 |  |  | $ | 0.60 |
Exercise price |  | $ | 0.50 |  |  | $ | 0.33 |  |  | $ | 0.50 |  |  | $ | 0.33 |
The following table represents the carrying amounts and change in valuation for the Company’s warrants accounted for as a derivative liability and classified within Level 3 of the fair-value hierarchy: Schedule of Valuation Activity for Warrants Accounted for Derivative Liability
|  | As of and for the Nine Months Ended September 30, 2021 |  |  | As of and for the Nine Months Ended September 30, 2020 |
|  | Carry Amount at Beginning of Period |  |  | Change in Valuation |  |  | Carrying Amount at End of Period |  |  | Carry Amount at Beginning of Period |  |  | Change in Valuation |  |  | Carrying Amount at End of Period |
Strome Warrants |  | $ | 704,707 |  |  | $ | (339,924 | ) |  | $ | 364,783 |  |  | $ | 1,036,687 |  |  | $ | 63,160 |  |  | $ | 1,099,847 |
B. Riley Warrants |  |  | 443,188 |  |  |  | (156,888 | ) |  |  | 286,300 |  |  |  | 607,513 |  |  |  | 71,750 |  |  |  | 679,263 |
Total |  | $ | 1,147,895 |  |  | $ | (496,812 | ) |  | $ | 651,083 |  |  | $ | 1,644,200 |  |  | $ | 134,910 |  |  | $ | 1,779,110 |
For the three months ended September 30, 2021 and 2020, the change in valuation of warrant derivative liabilities recognized as other (expense) income on the condensed consolidated statement of operations, was $801,755 and ($517,405), respectively. For the nine months ended September 30, 2021 and 2020, the change in valuation of warrant derivative liabilities recognized as other (expense) income on the condensed consolidated statement of operations, as described in the above table, was $496,812 and ($134,910), respectively. Embedded Derivative Liabilities For the three months ended September 30, 2020, the change in valuation of embedded derivative liabilities recognized as other (expense) on the condensed consolidated statements of operations was ($2,370,000). For the nine months ended September 30, 2020, the change in valuation of embedded derivative liabilities recognized as other income on the condensed consolidated statements of operations was $2,173,000.

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- Definition The entire disclosure for the fair value of financial instruments (as defined), including financial assets and financial liabilities (collectively, as defined), and the measurements of those instruments as well as disclosures related to the fair value of non-financial assets and liabilities. Such disclosures about the financial instruments, assets, and liabilities would include: (1) the fair value of the required items together with their carrying amounts (as appropriate); (2) for items for which it is not practicable to estimate fair value, disclosure would include: (a) information pertinent to estimating fair value (including, carrying amount, effective interest rate, and maturity, and (b) the reasons why it is not practicable to estimate fair value; (3) significant concentrations of credit risk including: (a) information about the activity, region, or economic characteristics identifying a concentration, (b) the maximum amount of loss the entity is exposed to based on the gross fair value of the related item, (c) policy for requiring collateral or other security and information as to accessing such collateral or security, and (d) the nature and brief description of such collateral or security; (4) quantitative information about market risks and how such risks are managed; (5) for items measured on both a recurring and nonrecurring basis information regarding the inputs used to develop the fair value measurement; and (6) for items presented in the financial statement for which fair value measurement is elected: (a) information necessary to understand the reasons for the election, (b) discussion of the effect of fair value changes on earnings, (c) a description of [similar groups] items for which the election is made and the relation thereof to the balance sheet, the aggregate carrying value of items included in the balance sheet that are not eligible for the election; (7) all other required (as defined) and desired information. + References Reference 1: http://www.xbrl.org/2003/role/disclosureRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 2 -URI http://asc.fasb.org/extlink&oid=123874694&loc=d3e19207-110258 + Details
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