Quarterly report pursuant to Section 13 or 15(d)

Derivative Financial Instruments and Fair Value Measurements

Derivative Financial Instruments and Fair Value Measurements

3 Months Ended

Sep. 30, 2019

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Derivative Financial Instruments and Fair Value Measurements

NOTE 10 - DERIVATIVE FINANCIAL INSTRUMENTS AND FAIR VALUE MEASUREMENTS

Derivative Financial Instruments:

The Company had $220,000 of convertible debt, that contain embedded conversion options and is treated as derivative instruments outstanding at September 30, 2019.

The Company calculates the estimated fair values of the liabilities for derivative instruments using the Binomial Trees Method. The closing price of the Company’s common stock at September 30, 2019, the last trading day of the quarter ended September 30, 2019, was $0.81. Volatility, expected remaining term and risk free interest rates used to estimate the fair value of derivative liabilities at September 30, 2019 are indicated in the table that follows. The expected term is equal to the remaining term of the warrants or convertible instruments and the risk free rate is based upon rates for treasury securities with the same term.

Convertible Debt

	Initial Valuations (on new derivative instruments entered into during the three months ended September 30, 2019)			September 30, 2019
Volatility		279.44	%		225.70	%
Expected Remaining Term (in years)		1			0.16 - 0.76
Risk Free Interest Rate		1.98	%		1.75% –1.91 %
Expected dividend yield		None			None

Fair Value Measurements:

The Company measures and reports at fair value the liability for derivative instruments. The fair value liabilities for price adjustable warrants and embedded conversion options have been recorded as determined utilizing the Binomial Trees model. The following tables summarize the Company’s financial assets and liabilities measured at fair value on a recurring basis as of September 30, 2019:

	Balance at September 30, 2019		Quoted Prices in Active Markets for Identical Assets		Significant Other Observable Inputs		Significant Unobservable Inputs
			(Level 1)		(Level 2)		(Level 3)
Embedded conversion option liabilities	$	254,308	$	—	$	—	$	254,308
Total	$	254,308	$	—	$	—	$	254,308

The following is a roll forward for the three months ended September 30, 2019 of the fair value liability of price adjustable derivative instruments:

	Fair Value of
	Liability for
	Derivative
	Instruments
Balance at June 30, 2019	$	698,264
Initial fair value of embedded conversion option derivative liability recorded as debt discount		75,000
Initial fair value of embedded conversion option derivative liability recorded as expense		80,904
Change in fair value included in statements of operations		(599,860	)
Balance at September 30, 2019	$	254,308