Quarterly report pursuant to Section 13 or 15(d)

Derivative Liabilities (Tables)

v3.20.2
Derivative Liabilities (Tables)
 9 Months Ended
Sep. 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 nine months ended September 30, 2020.

 

    True-Up Payment     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     666,724       (11,000 )     (261,000 )     394,724  
Instruments no longer meeting liability classification     —       (924,000 )     (10,970,000 )     (11,894,000 )
Balance at September 30, 2020   $ 1,195,724     $ —     $ —     $ 1,195,724  
Summary of Changes in Fair Value Warrants

Assumptions used in calculating the fair value of the warrants as of April 1, 2020 and as of August 16, 2020 include the following:

 

As of April 1, 2020
Stock price per share   $ 0.34  
Term     10.0 years  
Expected volatility     102 %
Dividend yield     — %
Risk-free interest rate     0.62 %

 

As of August 16, 2020
Stock price per share   $ 0.34  
Term     9.5 years  
Expected volatility     102 %
Dividend yield     — %
Risk-free interest rate     0.65 %
Summary of Changes in Fair Value Convertible Notes

Assumptions used in calculating the fair value of the convertible notes as of April 1, 2020 and as of August 16, 2020 include the following:

 

As of April 1, 2020
Face value   $ 4,037,889  
Term     2.0 years  
Expected volatility     120 %
Risk-free interest rate     0.23 %
Coupon     10.00 %
Coupon price     0.10 %
Credit spread     15.0 %

 

As of August 16, 2020
Face value   $ 4,037,889  
Term     1.5 years  
Expected volatility     127 %
Risk-free interest rate     0.23 %
Coupon     10.00 %
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 True-Up Payment provision at the issuance date and as of September 30, 2020 include the following:

 

Issuance Date
Term     .5 years  
Expected volatility     83 %
Dividend yield     — %
Risk-free interest rate     0.13 %

 

September 30, 2020
Term     .2 years  
Expected volatility     83 %
Dividend yield     —   %
Risk-free interest rate     0.10 %