Quarterly report pursuant to Section 13 or 15(d)

Note 19 ??? Derivatives

Note 19 – Derivatives
3 Months Ended
Jul. 31, 2023
Derivative Instruments and Hedging Activities Disclosure [Abstract]  
Note 19 – Derivatives

Note 19 – Derivatives


The Company completed financings in October 2020 and January 2021 which included notes and warrants containing embedded features subject to derivative accounting. 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, 2023 and April 30, 2023 are set forth below. In addition, the Company's stock price on each measurement date was used in the model.


      July 31, 2023       April 30, 2023  
Risk-free interest rate     4.88%       2.834.51%  
Expected dividend yield                  
Expected term (in years)      2.17 2.50       2.42 3.50  
Expected volatility      107.27107.90%       138.49235.23%  


As of July 31, 2023, 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, 2023 and the year ended April 30, 2023 were as follows:


    July 31, 2023   April 30, 2023
Balance, beginning of period   $ 588,205     $ 1,607,497  
Eliminated upon conversion of notes/exercise of warrants                  
Changes in fair value     (26,520 )     (1,019,292 )
Balance, end of period   $ 561,685     $ 588,205  


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.