Annual and transition report of foreign private issuers pursuant to Section 13 or 15(d)

Derivative Warrants Liability (Tables)

v3.20.2
Derivative Warrants Liability (Tables)
12 Months Ended
Dec. 31, 2019
Derivative Instruments and Hedging Activities Disclosure [Abstract]  
Schedule of Outstanding Warrants and Terms

The remaining outstanding warrants and terms as of December 31, 2019 and 2018 is as follows:

 

Issuance date  

Outstanding as of December 31,

2018

   

Outstanding as of December 31,

2019

    Exercise
Price
    Exercisable as of
December 31, 2019
    Exercisable Through
                             
Series (2015)     1,502,500       1,502,500     $ 0.5       1,502,500     April 2021
Series (2016)     2,628,406       375,000     $ 0.5       375,000     March 2022
Series (2018)     600,000       600,000     $ 0.125       600,000     November 2021
First Warrant     -       (*)       (*)       -     (**)
      4,730,906       2,477,500               2,477,500      

 

(*) The number of First Warrant instruments has not been determined as the First Warrant provides the Lenders with 25% warrant coverage, with the warrant exercise price to be equal to the offering price in the Company’s proposed public offering, or, in the event the Loan Amount are converted into ordinary shares, the warrant exercise price will be equal to the applicable closing bid price of the Company’s shares at the time of the conversion of the Loan Amount. However, based on the share price of the Company as of December 31, 2019, the number of the First Warrant would have been 20,896,789 shares.
   
(**) The exercise period is three years from the date of the determination of the exercise price.

Schedule of Valuation of the Derivative Warrant Liabilities

The following table summarizes the observable inputs used in the valuation of the derivative warrant liabilities as of December 31, 2019 and 2018:

 

    As of
December 31, 2019
    As of
December 31, 2018
 
    Series (2015)     Series (2016)     Series (2018)     Series (2015)     Series (2016)     Series (2018)  
Share price (U.S. dollars)   $ 0.040     $ 0.040     $ 0.040     $ 0.094     $ 0.094     $ 0.094  
Exercise price (U.S. dollars)   $ 0.50     $ 0.50     $ 0.125     $ 0.5     $ 0.5     $ 0.125  
Expected volatility     109.15 %     122.46 %     102.92 %     63 %     63 %     63 %
Risk-free interest rate     1.59 %     1.58 %     1.58 %     2.92 %     2.92 %     2.92 %
Dividend yield     -       -       -       -       -       -  
Expected term (years)     1.35       2.21       1.58       2.4       0.47       2.88  

Schedule of Warrant Activities
    First Warrant  
    Closing Date     As of
December 31, 2019
 
Share price (U.S. dollars)   $ 0.12-$0.26     $ 0.040  
Exercise price (U.S. dollars)   $ 0.12-$0.26     $ 0.018  
Expected volatility     125.31%-129.94%       102.55%-125.71%  
Risk-free interest rate     1.74%-2.56%       1.58%-1.62%  
Dividend yield     -       -  
Expected term (years)     2.38       1.96-2.99  
Probability for uplisting     75 %     75 %

 

    Series (2015)     Series (2016)     Series (2018)     First Warrant     Placement Agent Warrant     Total  
Balances at December 31, 2016   $ 76,768     $ 182,948     $ -     $ -     $ -     $ 259,716  
Exercised     -       (297,200 )     -       -       -       (297,200 )
Changes in fair value     477,648       623,581       -       -       -       1,101,229  
Balances at December 31, 2017   $ 554,416     $ 509,329     $ -     $ -     $ -     $ 1,063,745  
Amount classified to equity upon exercise     (88,803 )     (40,162 )     -       -       -       (128,965 )
Expired     (178,498 )     -       -       -       -       (178,498 )
Issued     -       -       19,655       -       -       19,655  
Changes in fair value     (281,119 )     (466,293 )     -       -       -       (747,412 )
Balances at December 31, 2018   $ 5,996     $ 2,874     $ 19,655     $ -     $ -     $ 28,525  
Amount classified to equity upon determination of the exercise price (*)     -       -       -       (60,365 )     -       (60,365 )
Expired     -       (88 )     -       -       -       (88 )
Issued     -       -       -       205,075       79,200 (**)     284,275  
Changes in fair value     (3,901 )     -       (13,351 )     517,213       -       499,874  
Balances at December 31, 2019   $ 2,095     $ 2,786     $ 6,304     $ 661,923     $ 79,200     $ 752,309  

 

(*) Following the partial conversion of certain convertible bridge loans into ordinary shares (see also Note 7), the exercise price of certain portion of the First Warrant has been determined as a fixed price and accordingly the applicable amount was reclassified into additional paid-in capital.
(**) The fair value of the Placement Agent Warrant is equal to 8% of the total proceeds received by the Company from introduced investor and/or lenders by the Placement Agent (see also Note 7).