Quarterly report pursuant to Section 13 or 15(d)

Derivative Liability -Warrants (Tables)

v3.20.1
Derivative Liability -Warrants (Tables)
3 Months Ended
Mar. 31, 2020
Schedule of Derivative Liabilities at Fair Value

Financial assets and liabilities carried at fair value as of March 31, 2020 and December 31, 2019 are classified in the tables below in one of the three categories:

 

    Fair Value Measurement at
March 31, 2020 (1)
 
    Using
Level 3
    Total  
Liability:                
Derivative Liability - Warrants   $ 140,877     $ 140,877  
Derivative Put Liability   $ 79,045     $ 79,045  

 

    Fair Value Measurement at
December 31, 2019 (1)
 
    Using
Level 3
    Total  
Liability:                
Derivative Liability - Warrants   $ 315,855     $ 315,855  
Derivative Put Liability   $ 267,399     $ 267,399  

 

(1) The Company did not have any assets or liabilities measured at fair value using Level 1 or 2 of the fair value hierarchy as of March 31, 2020 and December 31, 2019.

Schedule of Fair Value, Liabilities Measured On Recurring Basis

The following is a reconciliation of the beginning and ending balances for the liability measured at fair value on a recurring basis using significant unobservable inputs (Level 3) during the three months ended March 31, 2020 and the year ended December 31, 2019:

 

Derivative Liability - Warrants      
       
Balance at December 31, 2019   $ 315,855  
Fair value adjustments     (174,978 )
Balance at March 31, 2020   $ 140,877  

 

Redemption Put Liability      
       
Balance at December 31, 2019   $ 267,399  
Issuance of Series D Convertible Preferred Stock     5,305  
Fair value adjustments     (193,659 )
Balance at March 31, 2020   $ 79,045

Derivative Liability- Warrants [Member]  
Schedule of Assumptions for Warrants

The Company estimated the fair value of the warrant derivative liability as of March 31, 2020 and December 31, 2019, respectively, using the following assumptions:

 

    March 31, 2020     December 31, 2019  
             
Fair value of underlying stock   $ 0.051     $ 0.13  
Exercise price   $ 0.40     $ 0.40  
Risk free rate     0.17 – 0.23 %     1.58 – 1.59 %
Expected term (in years)     1.09 – 1.77       1.34 – 2.02  
Stock price volatility     156 – 166 %     143 - 154 %
Expected dividend yield     —        — 

Redemption Liability [Member]  
Schedule of Assumptions for Warrants

The Company estimated the fair value of the Trigger Event Warrant portion of the redemption put liability using the following assumptions on March 31, 2020 and December 31, 2019:

 

    March 31, 2020     December 31, 2019  
             
Fair value of underlying stock   $ 0.019     $ 0.056  
Exercise price   $ 0.20409     $ 0.20409  
Risk free rate     0.70 %     1.92 %
Expected term (in years)     9.7       9.9  
Stock price volatility     95 %     92 %
Expected dividend yield     —        —