Quarterly report pursuant to Section 13 or 15(d)

Derivative Liabilities

v3.21.1
Derivative Liabilities
3 Months Ended
Mar. 31, 2021
Derivative Instruments and Hedging Activities Disclosure [Abstract]  
DERIVATIVE LIABILITIES

NOTE 6 – DERIVATIVE LIABILITIES


The Company evaluated the terms and conditions of the Notes and Convertible Notes Payable (see Notes 4 and 5) and pursuant to ASC 815-15 Embedded Derivatives, certain conversion options and outstanding warrants were recorded as derivative liabilities on the issuance date and revalued at each reporting period.


The table below provides a summary of the changes in fair value, including net transfers in and/or out of all financial liabilities measured at fair value on a recurring basis using significant unobservable inputs (Level 3) during the three months ended March 31, 2021:


    Amount  
Balance on December 31, 2020   $ 2,562,942  
Settlement upon note conversion/repayment     (96,832 )
Net extinguishment     53,174  
Change in fair value of derivative liabilities     670,809  
Change in fair value of warrant liabilities     1,240,320  
Balance on March 31, 2021   $ 4,430,413  

The fair value of the derivative conversion features and warrant liabilities as of March 31, 2021 were calculated using a Monte-Carlo option model valued with the following assumptions:


    March 31,
2020
 
Dividend yield     0 %
Expected volatility     68.0% - 90.2 %
Risk free interest rate     0.03% - 0.60 %
Contractual terms (in years)     0.06 - 4.06  
Conversion/Exercise price   $ 0.75 - $1.20