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Note 18 – Derivatives | 3 Months Ended
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Jul. 31, 2022
Derivative Instruments and Hedging Activities Disclosure [Abstract] |
Note 18 – Derivatives | Note 18 – Derivatives The Company completed financings in October 2020 and January 2021 which included notes and warrants containing embedded features subject to derivative accounting. See Note 12 for a full description of these financings. Both the notes and the warrants included provisions which provided for a reduction in the conversion and exercise prices, respectively, if the Company completed a future qualified offering at a lower price. These provisions represent embedded derivatives which are valued separately from the host instrument (meaning the notes and warrants) and recognized as derivative liabilities on the Company's balance sheet. The Company initially measures these financial instruments at their estimated fair value and recognizes changes in their estimated fair value in results of operations during the period of change. The Company also measures these financial instruments on the date of settlement (meaning when the note is converted, or the warrant is exercised) at their estimated fair value and recognizes changes in their estimated fair value in results of operations. Any discount in the carrying value of the note is fully amortized on the date of settlement and recognized as interest expense. The Company estimated the fair value of these embedded derivatives using a multinomial lattice model. The range of underlying assumptions used in the binomial model to determine the fair value of the derivative warrant liability upon settlement of the derivative liability and as of July 31, 2022 and April 30, 2022 are set forth below. In addition, the Company's stock price on each measurement date was used in the model.
|  |  | July 31, 2022 |  |  |  | April 30, 2022 |
Risk-free interest rate |  |  | 2.83% |  |  |  | 0.52 – 2.87% |
Expected dividend yield |  |  | — |  |  |  | — |
Expected term (in years) |  |  | 3.17 – 3.50 |  |  |  | 3.42 – 4.50 |
Expected volatility |  |  | 225.77 – 235.23% |  |  |  | 211.02 – 292.28% |
As of July 31, 2022 all of the notes had been converted into common stock and 806,666 of the warrants were outstanding. Changes in the derivative liability during the three months ended July 31, 2022 and the year ended April 30, 2022 were as follows:
|  | July 31, 2022 |  | April 30, 2022
Balance, beginning of period |  | $ | 1,607,497 |  |  | $ | 2,812,767 |
Additions |  |  | — |  |  |  | — |
Eliminated upon conversion of notes/exercise of warrants |  |  | — |  |  |  | (163,141 | )
Changes in fair value |  |  | 92,922 |  |  |  | (1,042,129 | )
Balance, end of period |  | $ | 1,700,419 |  |  | $ | 1,607,497 |
Changes in fair value primarily relate to changes in the Company’s stock price during the period with increases in the stock price increasing the liability and decreases in the stock price reducing the liability.

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- Definition The entire disclosure for derivative instruments and hedging activities including, but not limited to, risk management strategies, non-hedging derivative instruments, assets, liabilities, revenue and expenses, and methodologies and assumptions used in determining the amounts. + References Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -URI https://asc.fasb.org/topic&trid=2229140 Reference 2: http://www.xbrl.org/2003/role/disclosureRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 40 -Section 50 -Paragraph 5 -Subparagraph (f) -URI https://asc.fasb.org/extlink&oid=126731327&loc=d3e90205-114008 + Details
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