Annual report pursuant to Section 13 and 15(d)

FAIR VALUE OF FINANCIAL INSTRUMENTS (Tables)

v3.19.1
FAIR VALUE OF FINANCIAL INSTRUMENTS (Tables)
12 Months Ended
Dec. 31, 2018
Derivative Instruments and Hedging Activities Disclosure [Abstract]  
Schedule of fair value on a recurring basis

Financial liabilities as of December 31, 2018 and 2017 measured at fair value on a recurring basis are summarized below:

 

    December 31,
2018
    Quoted Prices
in Active
Markets for
Identical Assets
(Level 1)
    Significant
Other
Observable
Inputs
(Level 2)
    Significant
Unobservable
Inputs
(Level 3)
 
Derivative liability   $ 54,242     $     $     $ 54,242  
Warrant liability     925,806                   925,806  
Total   $ 980,048     $     $     $ 980,048  

 

    December 31,
2017
    Quoted Prices
in Active
Markets for
Identical Assets
(Level 1)
    Significant
Other
Observable
Inputs
(Level 2)
    Significant
Unobservable
Inputs
(Level 3)
 
Derivative liability   $ 429,141     $     $     $ 429,141  
Warrant liability     1,099,200                   1,099,200  
Total   $ 1,528,341     $     $     $ 1,528,341  
Schedule of fair value of the conversion/exercise options

The fair value of the conversion/exercise options were calculated using a binomial lattice formula with the following weighted average assumptions during the years ended December 31, 2018 and 2017:

 

Conversion option:

 

    December 31,     December 31,  
    2018     2017  
Common Stock Closing Price   $ 0.03     $ 0.04 to 0.07  
Conversion Price per Share   $ 0.075 to 0.10     $ 0.075 to 0.10  
Conversion Shares     5,333,333       21,666,667  
Call Option Value     0.013 to 0.055       0.0188 to 0.0568  
Dividend Yield     0.00 %     0.00 %
Volatility     221.92 %     208.82% to 214.34%  
Risk-free Interest Rate     2.46% to 2.51%       1.03% to 1.76%  
Term     0.32 to .625 years       0.62 to 2 years  

 

Exercise option:

 

    December 31,     December 31,  
    2018     2016  
Common Stock Closing Price   $ 0.03     $ 0.04 to 0.075  
Conversion Price per Share   $ 0.10 to 0.15     $ 0.10 to 0.15  
Conversion Shares     34,000,000       29,000,000  
Call Option Value     0.026 to 0.028       0.0375 to 0.0723  
Dividend Yield     0.00 %     0.00 %
Volatility     221.92 %     208.82 to 214.34%  
Risk-free Interest Rate     2.46 to 2.51%       1.62 to 2.2%  
Term     2.62 to 4 years       3.62 to 5 years  
Schedule of change in Company's Level 3 conversion note and warrant liability

The following table sets forth a summary of the changes in the fair value of the Company’s Level 3 financial liabilities that are measured at fair value on a recurring basis using significant unobservable input for the years ended December 31, 2017 and 2016:

 

    Debt     Warrant  
    Derivative     Liability  
Balance December 31, 2016   $ 1,234,106     $ 1,093,765  
Aggregate amount of derivative instruments issued     85,381       644,870  
Transferred in due to conversions     14,551        
Change in fair value of derivative liabilities     (904,897 )     (639,435 )
Balance, December 31, 2017     429,141       1,099,200  
Aggregate amount of derivative instruments issued           226,831  
Transferred in due to conversions     (291,612 )      
Change in fair value of derivative liabilities     (83,287 )     (400,225 )
Balance, December 31, 2018   $ 54,242     $ 925,806