Quarterly report pursuant to Section 13 or 15(d)

Note 7 - Derivative Liabilities

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Note 7 - Derivative Liabilities
3 Months Ended
Dec. 31, 2021
Notes to Financial Statements  
Derivatives and Fair Value [Text Block]

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’ 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 three months ended December 31, 2021 and 2020, $0 and $108,944 was recorded to decrease the fair value of derivative liability, respectively.

 

Fair Value Measurements Using Significant Unobservable Inputs - December 31, 2021

                       

(Level 3)

 

Series F

    Series G     Series H  

Beginning balance at September 30, 2021

  $ 1,000,000     $ 748,275     $ 459,200  
                         

Issuances

                 
                         

Adjustments to estimated fair value

                 
                         

Ending balance at December 31, 2021

  $ 1,000,000     $ 748,275     $ 459,200  

 

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 December 31, 2020

  $ 1,000,000     $ 748,275     $ 459,200  

 

The derivative liabilities were valued as of December 31, 2021 using the Black Scholes Model with the following assumptions:

 

   

Series F

   

Series G

   

Series H

 

Closing price per share of Common Stock

  $ 0.095     $ 0.095     $ 0.095  

Exercise price per share

  $ 0.75     $ 0.70     $ 0.40  

Expected volatility

    109.86

%

    97.04

%

    93.53

%

Risk-free interest rate

    0.05

%

    0.56

%

    0.85

%

Dividend yield

                 

Remaining expected term of underlying securities (years)

    0.08       1.44       2.33  

 

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