Annual report pursuant to Section 13 and 15(d)

Warrant Liabilities (Tables)

v3.21.4
Warrant Liabilities (Tables)
12 Months Ended
Oct. 03, 2021
Warrant Liabilities  
Schedule of Warrant Liabilities Assumptions Used

The fair value of the warrant liabilities presented below were measured using either a BSM valuation model. Significant inputs into the respective model at the inception and reporting period measurement dates are as follows:

 

    Issuance date     Period ended     Period ended     Period ended     Period ended     Expiration date  
Valuation Assumptions   August 26, 2016     October 1, 2017     September 30, 2018     September 29, 2019     September 27, 2020     August 26, 2021(5)  
Exercise Price(1)   $ 1.50     $ 1.50     $ 1.50     $ 1.50     $ 1.50     $ 1.50  
Warrant Expiration Date (1)        8/26/2021         8/26/2021                8/26/2021                8/26/2021               8/26/2021            8/26/2021  
Stock Price (2)   $ 0.95     $ 0.98     $ 1.71     $ 1.56     $ 1.96     $ 1.49  
Interest Rate (annual) (3)     1.23 %     1.62 %     2.88 %     1.63 %     0.12 %     -  
Volatility (annual) (4)     246.44 %     179.36 %     64.05 %     53.66 %     51.67 %     -  
Time to Maturity (Years)     5       3.9       2.9       1.9       0.9       Expired  
Calculated fair value per share   $ 0.93     $ 0.87     $ 0.82     $ 0.49     $ 0.62     $ -  

 

(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 each presented period ending date. August 26, 2021 stock price based on the volume weighted average price for 618,451 share trades on that date. Closing price was $1.55 based trades of 2,400 final shares traded.

 

(3) Interest rate for U.S. Treasury Bonds, as of 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 each presented period ending date.

 

(5) Warrants expired worthless without cashless exchange pursuant to the Warrant Agreement Section 2(c) determination that the August 26, 2021 VWAP calculation of $1.49 was below the exercise price of $1.50.
Summary of Warrants Outstanding and Fair Values

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

 

    Warrants     Fair Value     Fair Value  
Warrant Liability   Outstanding     per Share     (000’s)  
Fair Value as of period ended 9/29/2019     4,125,200     $ 0.49     $ 2,036  
Loss on Change in Fair Value of Warrant Liability                     508  
Fair Value as of period ended 9/27/2020     4,125,200     $ 0.62     $ 2,544  
Reclassification to additional paid in capital on exercise of warrants (1)     (188,809 )             (9 )
Gain on Change in Fair Value of Warrant Liability (2)     (3,936,391 )             (2,535 )
Fair Value as of period ended 10/03/2021     -     $ -     $ -  

 

(1) Exercise of warrants for gross proceeds of $283 thousand and a warrant liability fair market value of $292 thousand as of the exercise date.
(2) Expiration of Warrants on August 26, 2021.