| Schedule of Outstanding Warrants and Terms |
| C. |
The remaining outstanding warrants and terms as of December 31, 2020 and 2019 is as follows: |
| Issuance date |
|
Outstanding as of December 31, 2019 |
|
|
Outstanding as of December 31, 2020 |
|
|
Exercise
Price |
|
|
Exercisable as of
December 31, 2020 |
|
|
Exercisable Through |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Series (2015) |
|
|
1,502,500 |
|
|
|
1,502,500 |
|
|
$ |
0.5 |
|
|
|
1,502,500 |
|
|
April 2021 |
| Series (2016) |
|
|
375,000 |
|
|
|
375,000 |
|
|
$ |
0.5 |
|
|
|
375,000 |
|
|
March 2022 |
| Series (2018) |
|
|
600,000 |
|
|
|
600,000 |
|
|
$ |
0.125 |
|
|
|
600,000 |
|
|
November 2021 |
| 2019 warrants |
|
|
(*)
|
|
|
|
(*)
|
|
|
|
(*) |
|
|
|
- |
|
|
(**) |
| |
|
|
2,477,500 |
|
|
|
2,477,500 |
|
|
|
|
|
|
|
2,477,500 |
|
|
|
| |
(*) |
The number of shares to be issued upon the exercise of derivative liabilities related to warrants instruments has not been determined as such warrants provide 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 and 2020, the number of the warrants would have been 20,896,789 and 3,351,586 shares, respectively. |
| |
|
|
| |
(**) |
The exercise period is three years from the date of the determination of the exercise price. |
|
| Schedule of Valuation of the Derivative Warrant Liabilities |
| D. |
The following table summarizes the observable inputs used in the valuation of the derivative warrant liabilities as of December 31, 2020 and 2019: |
| |
|
As of
December 31, 2020 |
|
|
As of
December 31, 2019 |
|
| |
|
Series (2015) |
|
|
Series (2016) |
|
|
Series (2018) |
|
|
Series (2015) |
|
|
Series (2016) |
|
|
Series (2018) |
|
| Share price (U.S. dollars) |
|
$ |
0.075 |
|
|
$ |
0.075 |
|
|
$ |
0.075 |
|
|
$ |
0.04 |
|
|
$ |
0.04 |
|
|
$ |
0.04 |
|
| Exercise price (U.S. dollars) |
|
$ |
0.50 |
|
|
$ |
0.50 |
|
|
$ |
0.50 |
|
|
$ |
0.50 |
|
|
$ |
0.50 |
|
|
$ |
0.125 |
|
| Expected volatility |
|
|
144.63 |
% |
|
|
209.19 |
% |
|
|
238.82 |
% |
|
|
109.15 |
% |
|
|
122.46 |
% |
|
|
102.92 |
% |
| Risk-free interest rate |
|
|
0.09 |
% |
|
|
0.09 |
% |
|
|
0.09 |
% |
|
|
1.59 |
% |
|
|
1.58 |
% |
|
|
1.58 |
% |
| Dividend yield |
|
|
- |
|
|
|
- |
|
|
|
- |
|
|
|
- |
|
|
|
- |
|
|
|
- |
|
| Expected term (years) |
|
|
0.35 |
|
|
|
1.21 |
|
|
|
0.88 |
|
|
|
1.35 |
|
|
|
2.21 |
|
|
|
1.88 |
|
| |
|
First Warrant |
|
| |
|
Closing Date |
|
|
As of
December 31, 2019 |
|
|
As of
December 31, 2020 |
|
| Share price (U.S. dollars) |
|
|
$ 0.12-$0.26 |
|
|
$ |
0.04 |
|
|
$ |
0.075 |
|
| Exercise price (U.S. dollars) |
|
|
$ 0.12-$0.26 |
|
|
$ |
0.018 |
|
|
$ |
0.04 |
|
| Expected volatility |
|
|
125.31%-129.94% |
|
|
|
102.55%-125.71% |
|
|
|
105.77%-113.53% |
|
| Risk-free interest rate |
|
|
1.74%-2.56% |
|
|
|
1.58%-1.62% |
|
|
|
0.11%-0.13% |
|
| Dividend yield |
|
|
- |
|
|
|
- |
|
|
|
- |
|
| Expected term (years) |
|
|
2.38 |
|
|
|
1.96-2.99 |
|
|
|
1.50-1.91 |
|
| Probability for uplisting |
|
|
75 |
% |
|
|
75 |
% |
|
|
75 |
% |
|
| Schedule of Warrant Activities |
| |
|
Series (2015) |
|
|
Series (2016) |
|
|
Series (2018) |
|
|
2019
Warrant
|
|
|
Placement Agent Warrant |
|
|
Total |
|
| Balances at December 31, 2018 |
|
$ |
6 |
|
|
$ |
3 |
|
|
$ |
19 |
|
|
$ |
- |
|
|
$ |
- |
|
|
$ |
28 |
|
| Granted |
|
|
- |
|
|
|
- |
|
|
|
- |
|
|
|
205 |
|
|
|
(***) 79 |
|
|
|
284 |
|
| Amount classified to equity upon determination of the exercise price (*) |
|
|
- |
|
|
|
- |
|
|
|
- |
|
|
|
(60 |
) |
|
|
- |
|
|
|
(60 |
) |
| Expired |
|
|
- |
|
|
|
(**) |
|
|
|
- |
|
|
|
- |
|
|
|
- |
|
|
|
(**) |
|
| Changes in fair value |
|
|
(4 |
) |
|
|
- |
|
|
|
(13 |
) |
|
|
517 |
|
|
|
- |
|
|
|
500 |
|
| Balances at December 31, 2019 |
|
$ |
2 |
|
|
$ |
3 |
|
|
$ |
6 |
|
|
$ |
662 |
|
|
$ |
79 |
|
|
$ |
752 |
|
| Amount classified to equity upon determination of the exercise price (*) |
|
|
- |
|
|
|
- |
|
|
|
- |
|
|
|
(651 |
) |
|
|
- |
|
|
|
(651 |
) |
| Modification of convertible bridge loans transactions |
|
|
- |
|
|
|
- |
|
|
|
- |
|
|
|
(727 |
) |
|
|
- |
|
|
|
(727 |
) |
| Changes in fair value |
|
|
9 |
|
|
|
10 |
|
|
|
24 |
|
|
|
884 |
|
|
|
- |
|
|
|
927 |
|
| Balances at December 31, 2020 |
|
$ |
11 |
|
|
$ |
13 |
|
|
$ |
30 |
|
|
$ |
168 |
|
|
$ |
79 |
|
|
$ |
301 |
|
| (*) |
Following the partial conversion of certain convertible bridge loans into ordinary shares (see also Note 11), the right that was granted to the lenders to receive a variable number of shares of common stock upon exercise of certain warrants has been lapsed and accordingly the applicable amount was reclassified from non-current financial liability into additional paid-in capital. |
| |
|
| (**) |
Representing amount lower than $1. |
| |
|
| (***) |
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 11). |
|