XML 22 R10.htm IDEA: XBRL DOCUMENT
v3.21.2

Derivative Liability | 9 Months Ended
--- | ---
Sep. 30, 2021
Derivative Instruments and Hedging Activities Disclosure [Abstract] |
Derivative Liability | NOTE 4 - Derivative Liability On March 26, 2021 (the “Issuance Date”), the Company issued warrants to purchase an aggregate of 2,190,000 shares of common stock to holders in a private placement concurrently with a registered direct offering of 2,190,000 shares of its common stock. The warrants entitle the holders to purchase one share of our common stock at an exercise price equal to $4.32 per share commencing on May 24, 2021 and will expire two years from such date. The Company has determined that these warrants are free standing financial instruments that are legally detachable and separately exercisable from the common stock included in the registered direct offering. Management also determined that on the Issuance Date, the Company did not have sufficient authorized and unissued shares to settle the warrants, and as such required classification as a liability pursuant to ASC 815 “Derivative Instruments and Hedging”. In accordance with the accounting guidance, the outstanding warrants were recognized as a warrant liability on the balance sheet and were measured at their inception date fair value and subsequently re-measured at each reporting period with changes being recorded as a component of other income in the statement of operations. At a Special Stockholders Meeting held on May 24, 2021, the Company received approval to increase its authorized common shares from 12,000,000 to 24,000,000. Pursuant to ASC 815-40-35-8, the Company reclassified the warrant liability to equity as of such date. The fair value of the derivative liability presented below was measured using the Black Scholes valuation model. Significant inputs into the model for the nine months ended September 30, 2021 are as follows: Schedule of Fair Value of Derivative Liability Using Black Scholes Valuation Model
|  | September 30, 2021 |
Dividend yield |  |  | 0.00 | %
Risk-free interest rate |  |  | 0.6% - 0.7 | %
Expected volatility |  |  | 121.2 % - 124.0 | %
Expected life (in years) |  |  | 2 |
The warrants outstanding and fair values at each of the respective valuation dates are summarized below: Schedule of Fair Value of Warrant Liability
Warrant Liability |  | Warrants Outstanding |  |  | Fair Value Per Share |  |  | Fair Value |
Fair Value at initial measurement date of March 26, 2021 |  |  | 2,190,000 |  |  | $ | 2.61 |  |  | $ | 5,708,212 |
(Gain) on change in Fair Value of Warrant Liability |  |  | - |  |  | $ | - |  |  |  | (1,092,441 | )
Fair Value as of May 24, 2021 |  |  | 2,190,000 |  |  | $ | 2.11 |  |  |  | 4,615,771 |
Extinguishment of Derivative Liability |  |  | (2,190,000 | ) |  | $ | 2.11 |  |  |  | (4,615,771 | )
Fair Value as of September 30, 2021 |  |  | - |  |  | $ | - |  |  |  | - |
The Company has presented the fair value measurement as a Level 3 measurement, relying on unobservable inputs reflecting management’s assumptions. Level 3 measurements, which are not based on quoted prices in active markets, introduce a higher degree of subjectivity and may be more sensitive to fluctuations in stock prices, volatility rates and U.S. Treasury Bond rates and could have a material impact on future fair value measurements. The Company uses the Black Scholes model, based on the adjusted historical volatility rates for fair value measurements through the date of stockholder approval (i.e., May 24, 2021). Management has determined the Black Scholes model to be the most reliable and least volatile determinate of the current fair value of the warrants. It is the Company’s expectation to maximize on all observable market inputs for the warrants and calibrate the model to incorporate relevant observable market data into the fair value measurement at each future measurement date, if applicable. During the nine months ended September 30, 2021, the Company recognized a gain of $1,092,441 on the change in fair value of the warrants.

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