Annual report pursuant to Section 13 and 15(d)

Derivative Financial Instruments (Tables)

v3.20.1
Derivative Financial Instruments (Tables)
 12 Months Ended
Dec. 31, 2019
Derivative Instruments and Hedging Activities Disclosure [Abstract]  
Schedule of Fair Value Assumptions Related to Option Issued

The Company estimates the fair value of these derivative liabilities using the Black-Scholes valuation model. The initial value is used in the determination of a note discount with each subsequent change in fair value as a component of operations. The range of fair value assumptions used for derivative financial instruments during the year ended December 31, 2019, were as follows:

 

Dividend yield   0.0%
Risk-free rate   1.75% - 2.44%
Volatility   102% - 175%
Expected term   1 year

 

Volatility was calculated based on the historical volatility of the Company. The risk-free interest rate used was based on the U.S. Treasury constant maturity rate in effect at the time of grant for the expected term of the derivative liabilities to be valued. The expected dividend yield was zero, because the Company does not anticipate paying a dividend within the relevant timeframe.

 

For the year ended December 31, 2019, the Company recognized total derivative liabilities and convertible note discounts of $471,000 based on the fair value at the convertible notes’ inception dates. These derivative liabilities were subsequently revalued at $827,314 as of December 31, 2019, which resulted in a loss of $356,314 on the change in value of these derivative liabilities.

 

The following table presents the three-level hierarchy prescribed by U.S. GAAP for derivative liabilities since it is a liability that is measured and recognized at fair value on a recurring basis as of:

 

    Level 1     Level 2     Level 3  
                         
December 31, 2019     -       -     $ 827,314