Quarterly report pursuant to Section 13 or 15(d)

Derivative Financial Instruments

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Derivative Financial Instruments
9 Months Ended
Sep. 30, 2020
Derivative Instruments and Hedging Activities Disclosure [Abstract]  
Derivative Financial Instruments

Note 8 – DERIVATIVE FINANCIAL INSTRUMENTS

 

At December 31, 2019, the balance of the derivative liabilities was $400, which was fully extinguished upon pay-off of the related convertible note with a decrease of fair value of $114 and gain on debt extinguishment of $286 during the nine months ended September 30, 2020. The Company also recorded additions of $101 related to the conversion features of a note issued during the period (see Note 7), and recorded a gain on extinguishment of $101 upon conversion of the related convertible note. At September 30, 2020, the Company had no convertible notes outstanding that are considered to have embedded derivative liabilities that require bifurcation per the note agreements.

 

The derivative liabilities were valued at the following dates using a binomial model with the following assumptions:

 

    September 30, 2020     December 31, 2019  
Conversion feature:                
Risk-free interest rate     0.17 %     1.8 %
Expected volatility     182 %     222 %
Expected life (in years)   3 – 12 months     1 year  
Expected dividend yield     -       -  
                 
Fair Value:     -       -  
Conversion feature   $ -     $ 400  

 

The risk-free interest rate was based on rates established by the Federal Reserve Bank. The expected volatility is based on the historical volatility of the Company’s stock. The expected life of the conversion feature of the notes was based on the remaining terms of the related notes. The expected dividend yield was based on the fact that the Company has not customarily paid dividends to its common stockholders in the past and does not expect to pay dividends to its common stockholders in the future.