10. Derivative liabilitITIES

The derivative liabilities at June 30, 2020 consist of a make-whole provision of the Series 2 Preferred Stock (See Note 9), warrants issued in connection with the 10% convertible note and the conversion feature of such note (See Note 7(h)).There were no derivative liabilities at December 31, 2019.

As discussed in Note 7(h), warrants were issued in connection with the 10% convertible note. The Company does not have an adequate amount of authorized common shares issuable upon exercise of the warrants and conversion of the 10% convertible note. As such, the warrants are liability classified and the conversion feature has been bifurcated from the host debt instrument and both instruments are accounted for as derivatives.

The table presented below is a summary of changes in the fair market value of the Company’s Level 3 valuations for the six months ended June 30, 2020.

Assumptions used in calculating the fair value of the warrants at the issuance date and as of June 30, 2020 include the following:

The Company also considered the probability, timing and amount of future capital raises.

Assumptions used in calculating the fair value of the convertible notes at the issuance date and as of June 30, 2020 include the following:

The Company also considered the probability, timing and amount of future capital raises. 

Assumptions used in calculating the fair value of the make-whole provision at the issuance date and as of June 30, 2020 include the following: