Annual report pursuant to Section 13 and 15(d)

DERIVATIVE LIABILITIES

v3.21.2
DERIVATIVE LIABILITIES
12 Months Ended
Sep. 30, 2021
DERIVATIVE LIABILITIES  
DERIVATIVE LIABILITIES

7.Derivative Liabilities

The Company accounted for the Series F Warrants relating to the 2017 Financing, the Series G Warrants relating to the 2018 Financing and the Series H Warrants relating to the 2019 Financing in accordance with ASC 815-10, Derivatives and Hedging. Since the Company may be required to purchase its Series F, Series G and Series H Warrants for an amount of cash equal to $0.18, $0.11 and $0.0533 , respectively for each share of Common Stock (“Minimum”) and the underlying Series F, Series G and Series H Warrants are not classified within stockholders’ equity (deficit), they are recorded as liabilities at the greater of the minimum or fair value. They are marked to market each reporting period through the consolidated statement of operations.

On the respective closing dates, the Series F, Series G and Series H derivative liabilities were recorded at an aggregate fair value of $1,628,113. Given that the fair value of the derivative liabilities were less than the net proceeds, the remaining proceeds were allocated to Common Stock and additional-paid-in-capital. During the fiscal years ended September 30, 2021 and 2020, $108,944 and $679,271 was recorded to decrease the fair value of derivative liability, respectively.

Fair Value Measurements Using Significant Unobservable Inputs – September 30, 2021

(Level 3)

    

Series F

    

Series G

    

Series H

Beginning balance at September 30, 2020

$

1,000,000

$

748,275

$

568,144

 

 

Issuances

 

 

 

 

Adjustments to estimated fair value

 

 

(108,944)

 

 

Ending balance at September 30, 2021

$

1,000,000

$

748,275

$

459,200

Fair Value Measurements Using Significant Unobservable Inputs - September 30, 2020

(Level 3)

Series F

Series G

Series H

Beginning balance at September 30, 2019

$

1,000,000

$

748,275

$

1,247,415

 

  

 

  

 

  

Issuances

 

 

 

 

  

 

  

 

  

Adjustments to estimated fair value

 

 

 

(679,271)

 

  

 

  

 

  

Ending balance at September 30, 2020

$

1,000,000

$

748,275

$

568,144

The derivative liabilities were valued as of September 30, 2021 using the Black Scholes Model with the following assumptions:

 

Series F

Series G

Series H

Closing price per share of common stock

$

0.12

$

0.12

$

0.12

Exercise price per share

$

0.75

$

0.70

$

0.40

Expected volatility

 

90.28

%  

 

87.40

%

 

86.59

%

Risk-free interest rate

 

0.04

%  

 

0.19

%

 

0.41

%

Dividend yield

 

 

 

Remaining expected term of underlying securities (years)

 

0.34

 

1.70

 

2.58

The derivative liabilities were valued as of September 30, 2020 using the Black Scholes Model with the following assumptions:

 

Series F

 

Series G

 

Series H

Closing price per share of common stock

$

0.17

$

0.17

$

0.17

Exercise price per share

$

0.75

$

0.70

$

0.40

Expected volatility

 

84.17

%  

 

83.31

%  

 

82.24

%

Risk-free interest rate

 

0.13

%  

 

0.15

%  

 

0.22

%

Dividend yield

 

 

 

Remaining expected term of underlying securities (years)

 

1.35

 

2.71

 

3.60