XML 32 R14.htm IDEA: XBRL DOCUMENT

DERIVATIVE LIABILITIES

12 Months Ended

Dec. 31, 2021

NOTE 8 - DERIVATIVE LIABILITIES

During 2020, the Company established a sequencing policy to which common stock equivalents are exercisable to shares of common stock more than the Company’s authorized limit. It was determined that all options and warrants by the end of the year were no longer permitted to be classified as equity and were valued at fair market value using Black Scholes and recorded as derivative liabilities.

On April 6, 2021, the Company agreed to buy back 663,332 warrants from investors for a total of $368. The warrants had exercise prices between $0.88 and $0.94 per share. The value of the derivative liabilities associated with these warrants was $451. The Company recorded a $64 gain in connection with the buyback of the warrants.

A summary of quantitative information with respect to valuation methodology and significant unobservable inputs used for the Company’s purchase warrants that were categorized within Level 3 of the fair value hierarchy during the year ended December 31, 2021 is as follows:

Stock price $ 1.01 - $2.94

Conversion price $ 0.72 - $6.90

Contractual term (in years) 0.67 – 6.56

Volatility (annual) 82.7% - 211 %

Risk-free rate 0.09% - 1.21 %

The foregoing assumptions were reviewed quarterly and were subject to change based primarily on management’s assessment of the probability of the events described occurring.

Financial Liabilities Measured at Fair Value on a Recurring Basis

The fair value accounting standards define fair value as the amount that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants. As such, fair value is determined based upon assumptions that market participants would use in pricing an asset or liability. Fair value measurements are rated on a three-tier hierarchy as follows:

●	Level 1 inputs: Quoted prices (unadjusted) for identical assets or liabilities in active markets;

●	Level 2 inputs: Inputs, other than quoted prices included in Level 1, that are observable either directly or indirectly; and

●	Level 3 inputs: Unobservable inputs for which there is little or no market data, which require the reporting entity to develop its own assumptions.

There were no transfers between Level 3 during the years ended December 31, 2021 and 2020.

The following table presents changes in Level 3 asset and liability measured at fair value for the years ended December 31, 2021 and 2020:


	As of December 31, 2021
	Asset			Liability
Balance – December 31, 2019	$	-		$	-
New Issuances		25			2,983
Change in fair value of warrant liability		-			(512	)
Balance – December 31, 2020	$	25		$	2,471
New Issuances		-			1,819
Fair value adjustments – Sanuwave warrants		(6	)		-
Fair value adjustments – Warrant liability		-			6,956
Reclassification liability to equity		-			(10,793	)
Buy back of warrants		-			(453	)
Balance – December 31, 2021	$	19		$	-

The following table sets forth the Company’s assets and liabilities which are measured at fair value on a recurring basis by level within the fair value hierarchy:


	Fair Value Measurements as of December 31, 2021
	Level I		Level II		Level III		Total
Asset:
Other assets	$	-	$	-	$	19	$	19

Liability:
Derivative liabilities	$	-	$	-	$	-	$	-