Quarterly report pursuant to Section 13 or 15(d)

Note 8 - Derivative Liabilities

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Note 8 - Derivative Liabilities
3 Months Ended
Dec. 31, 2022
Notes to Financial Statements  
Derivatives and Fair Value [Text Block]

8. Derivative Liabilities

 

The Company accounted for the Series F Warrants, Series G Warrants and the Series H Warrants in accordance with ASC 815-10. Since the Company may be required to purchase its Series F Warrants, Series G Warrants and Series H Warrants for an amount of cash equal to $36.00, $22.00 and $10.66, respectively, for each share of Common Stock ("Minimum") 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 dated, the derivative liabilities related to the Series G Warrants and Series H Warrants were recorded at an aggregate fair value of $1,628,113. Given that the fair value of the derivative liabilities was 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, 2022 and 2021, $0 was recorded to decrease the fair value of derivative liability. As of December 31, 2022 and 2021, the derivative liabilities are recorded at their minimum value.

 

Fair Value Measurements Using Significant Unobservable Inputs Three Months Ended December 31, 2022

               

(Level 3)

 

Series G

   

Series H

 
                 

Beginning balance at September 30, 2022

  $ 748,275     $ 459,200  

Adjustments to estimated fair value

           

Ending balance at December 31, 2022

  $ 748,275     $ 459,200  

 

Fair Value Measurements Using Significant Unobservable Inputs - Three Months Ended 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  

 

 

 

The derivative liabilities as of December 31, 2022 are valued at the greater of their minimum value or by using the Black Scholes Model with the following assumptions. As of December 31, 2022, the derivative liabilities are recorded at their minimum value.

 

   

Series G

   

Series H

 

Closing price per share of Common Stock

  $ 5.20     $ 5.20  

Exercise price per share

  $ 140.00     $ 80.00  

Expected volatility

    169.62

%

    138.58

%

Risk-free interest rate

    4.76

%

    4.57

%

Dividend yield

           

Remaining expected term of underlying securities (years)

    0.43       1.31  

 

The derivative liabilities as of September 30, 2022 are valued at the greater of their minimum value or by using the Black Scholes Model with the following assumptions. As of September 30, 2022, the derivative liabilities are recorded at their minimum value.

 

   

Series G

   

Series H

 

Closing price per share of Common Stock

  $ 3.80     $ 3.80  

Exercise price per share

  $ 140.00     $ 80.00  

Expected volatility

    132.97

%

    122.50

%

Risk-free interest rate

    4.05

%

    4.14

%

Dividend yield

           

Remaining expected term of underlying securities (years)

    0.69       1.57