Annual report pursuant to Section 13 and 15(d)

Warrant Liabilities (Tables)

v3.8.0.1
Warrant Liabilities (Tables)
 12 Months Ended
Oct. 01, 2017
Warrant Liabilities  
Schedule of warrant liability

The proceeds of the offering are allocated between the common stock, Series C preferred shares and warrant liability as of the initial measurement as follows: 

 

    (Thousands, except share and per share data)  
As of August 26, 2016   Common Shares     Series C Preferred Shares     Total     Underwriter Warrants*     Warrant Liability*  
Shares     2,291,900       400               166,500       4,125,200  
Price per share   $ 1.20     $ 5,000             $ 0.9349     $ 0.9349  
Proceeds received   $ 2,750     $ 2,000     $ 4,750                  
Less: Warrant liability at fair value     (2,142 )     (1,558 )     (3,700 )   $ (156 )   $ (3,856 )
Residual proceeds to shares   $ 608     $ 442     $ 1,050                  
Schedule of fair value of warrant liabilities using a binomial lattice model

The fair value of the warrant liabilities was measured using a binomial lattice model. Significant inputs into the model at the inception and reporting period measurement dates are as follows:

 

Binomial Assumptions   Issuance date (1)
August 26, 2016		     Period ending
October 2, 2016		     Period ending
October 1, 2017		  
Exercise Price(1)   $ 1.50     $ 1.50     $ 1.50  
Warrant Expiration Date (1)     August 26, 2021       August 26, 2021       August 26, 2021  
Stock Price (2)   $ 0.95     $ 0.77     $ 0.98  
Interest Rate (annual) (3)     1.23 %     1.14 %     1.62 %
Volatility (annual) (4)     246.44 %     242.17 %     179.36 %
Time to Maturity (Years)     5.0       4.9       3.9  
Number of Steps (Quarters)     20       20       16  
Calculated fair value per share   $ 0.93     $ 0.76     $ 0.87  
Quarterly Dividend per share for Next Three Quarters(5)   $ —     $ —     $ 0.02  
Future Estimated Quarterly Dividend per share(6)   $ —     $ —     $ 0.01  

 

(1)  Based on the terms provided in the warrant agreement to purchase common stock of Optex Systems Holdings, Inc. dated August 26, 2016.

 

(2)  Based on the trading value of common stock of Optex Systems Holdings, Inc. as of August 26, 2016 and each presented period ending date.

 

(3)  Interest rate for U.S. Treasury Bonds, as of August 26, 2016 and each presented period ending date, as published by the U.S. Federal Reserve.

 

(4)  Based on the historical daily volatility of Optex Systems Holdings, Inc. as of August 26, 2016 and each presented period ending date.

 

(5)  Pursuant to June 12, 2017 Board of Directors authorization of a $0.02 per share (and per warrant) dividend payment in July for shareholders and warrant holders of record on July 5, 2017 and for three subsequent quarterly record dates thereafter.

 

(6)  Current estimated dividend payments beyond initial four quarters. At a future date, the company will review the working capital needs and make a final determination of any future dividend payments and amounts beyond the initial four quarter payments.
Schedule of warrants outstanding

The warrants outstanding and fair values at each of the respective valuation dates are summarized below:

 

Warrant Liability   Warrants 
Outstanding		     Fair Value
per Share		     Fair Value (000’s)  
Fair Value at initial measurement date of 8/26/2016     4,125,200     $ 0.93     $ 3,857  
(Gain) on Change in Fair Value of Warrant Liability                     (739 )
Fair Value as of period ending 10/2/2016     4,125,200     $ 0.76     $ 3,118  
Loss on Change in Fair Value of Warrant Liability                     489  
Fair Value as of period ending 10/1/2017     4,125,200     $ 0.87     $ 3,607