Derivative Liabilities |
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Derivative Liability [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Derivative Liabilities |
10. DERIVATIVE LIABILITIES
The derivative liabilities at September 30, 2020 consist of a True-Up Payment provision of the Series 2 Preferred Stock (See Note 9). There were no derivative liabilities at December 31, 2019.
As discussed in Note 7(i), warrants were issued in connection with the 10% convertible note. The Company did 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 were liability classified and the conversion feature was bifurcated from the host debt instrument and both instruments were accounted for as derivatives. As a result of the amendment to the note discussed in Note 7(i), the warrant and conversion feature no longer required liability classification and were reclassified to equity.
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.
Assumptions used in calculating the fair value of the warrants as of April 1, 2020 and as of August 16, 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 as of April 1, 2020 and as of August 16, 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 True-Up Payment provision at the issuance date and as of September 30, 2020 include the following:
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