Derivative Liabilities |
3 Months Ended | |||||||||||||||||||||||||
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Mar. 31, 2021 | ||||||||||||||||||||||||||
| Derivative Instruments and Hedging Activities Disclosure [Abstract] | ||||||||||||||||||||||||||
| Derivative Liabilities | NOTE 11 – DERIVATIVE LIABILITIES
The Company classified certain conversion features in the convertible notes and preferred stock issued as embedded derivative instruments due to the variable conversion price feature and potential adjustments to conversion prices due to events of default. These conversion features are recorded as derivative liabilities at fair value in the consolidated financial statements. These fair value estimates were measured using inputs classified as Level 3 of the fair value hierarchy. The Company develops unobservable Level 3 inputs using the best information available in the circumstances, which might include its own data, or when it believes inputs based on external data better reflect the data that market participants would use, its bases its inputs on comparison with similar entities. Due to the existence of down round provisions, which create a path-dependent nature of the conversion prices of the convertible notes, the Company decided a Lattice-Based Simulation model, which incorporates inputs classified as Level 3 was appropriate.
The following table present the assumptions used in Black-Scholes Simulation model to determine the fair value of the derivative liabilities as of March 31, 2021:
During the three months ended March 31, 2021, the Company recorded new derivative liabilities of $0 related to the issuance of convertible notes payable and Series D-2 Preferred Stock and converted $945,116 in derivative liability to additional paid-in capital due to conversions of notes payable and Series D-2 Preferred Stock into common stock. |