Quarterly report pursuant to Section 13 or 15(d)

FAIR VALUE OF FINANCIAL INSTRUMENTS (Tables)

v3.22.2.2
FAIR VALUE OF FINANCIAL INSTRUMENTS (Tables)
 6 Months Ended
Jun. 30, 2022
Fair Value Disclosures [Abstract]  
SCHEDULE OF FAIR VALUE MEASUREMENTS, RECURRING AND NONRECURRING

The table below reflects the level of the inputs used in the Company’s fair value calculations:

                                 
(in thousands)   Quoted Prices in Active Markets (Level 1)     Significant Observable Inputs (Level 2)     Significant Unobservable Inputs (Level 3)     Total Fair
Value		  
June 30, 2022                                
Assets (Note 6)                                
Common stock of Sonnet   $ 34     $ —     $ —     $ 34  
Liabilities (Note 9)                                
Convertible note payable   $ —     $ —     $ 928     $ 928  

 

                                 
(in thousands)   Quoted Prices in Active Markets
(Level 1)		     Significant Observable Inputs (Level 2)     Significant Unobservable Inputs (Level 3)     Total Fair
Value		  
December 31, 2021                                
Assets (Note 6)                                
Common stock of Sonnet   $ 50     $ —     $ —     $ 50  
Liabilities (Note 9)                                
Convertible note payable   $ —     $ —     $ 1,099     $ 1,099  
SCHEDULE OF ESTIMATED FAIR VALUE ASSUMPTIONS

The estimated fair value of the convertible note payable was determined using a Monte Carlo simulation and the following assumptions as of June 30, 2022:

Volatility     105.00 %
Risk free rate     1.5% - 2.82 %
Stock price   $ 0.26  
Credit spread     26.28 %
SCHEDULE OF FAIR VALUE LIABILITIES MEASURED ON RECURRING BASIS

The reconciliation of the convertible note payable measured at fair value on a recurring basis using significant unobservable inputs (Level 3) is as follows:

(in thousands)  

Six months ended

June 30, 2022

  
Balance at January 1, 2022   $ 1,099  
Change in fair value     (171 )
Balance at June 30, 2022   $ 928