Quarterly report pursuant to Section 13 or 15(d)

Derivative Liabilities (Tables)

v3.20.2
Derivative Liabilities (Tables)
 6 Months Ended
Jun. 30, 2020
Derivative Liability [Abstract]  
Summary of Changes in Fair Value Derivative Liabilities

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.

 

    Make-Whole Provision     Warrants     Debt Conversion Feature     Total  
Balance at December 31, 2019   $ —     $ —     $ —     $ —  
Inception of the instrument     529,000       935,000       11,231,000       12,695,000  
Change in fair value during the period     910,483       (529,000 )     (6,523,000 )     (6,141,517 )
Balance at June 30, 2020   $ 1,439,483     $ 406,000     $ 4,708,000     $ 6,553,483  
Summary of Changes in Fair Value Warrants

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

 

June 30, 2020      
Stock price per share   $ 0.15  
Term     9.75 years  
Expected volatility     102 %
Dividend yield     — %
Risk-free interest rate     0.64 %

 

April 1, 2020 Issuance Date      
Stock price per share   $ 0.34  
Term     10.0 years  
Expected volatility     102.0 %
Dividend yield     — %
Risk-free interest rate     0.62 %
Summary of Changes in Fair Value Convertible Notes

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

 

June 30, 2020      
Face value   $ 4,037,889  
Term     1.75 years  
Expected Volatility     127 %
Risk-free interest rate     0.16 %
Coupon     10.0 %
Coupon price     0.10 %
Credit Spread     15.0 %

 

April 1, 2020 Issuance Date      
Face value   $ 4,037,889  
Term     2.0 years  
Expected Volatility     120.0 %
Risk-free interest rate     0.23 %
Coupon     10.0 %
Coupon price     0.10 %
Credit Spread     15.0 %
Schedule of Assumptions Used in Calculating the Fair Value of the Make-whole Provision at the Issuance Date

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:

 

June 30, 2020      
Term     0.11 years  
Expected Volatility     83 %
Dividend yield     — %
Risk-free interest rate     0.16 %

 

Issuance Date      
Term     0.50 years  
Expected Volatility     83 %
Dividend yield     — %
Risk-free interest rate     0.13 %