Annual report pursuant to Section 13 and 15(d)

Fair Value Measurements

v3.20.2
Fair Value Measurements
 12 Months Ended
Mar. 31, 2020
Fair Value Disclosures [Abstract]  
Fair Value Measurements

Note 4 – Fair Value Measurements

 

During the years ended March 31, 2020 and 2019, the Company issued 609,861 and 2,083,386 warrants related to its convertible notes. The warrants were classified as liabilities and measured at fair value on the grant date, with changes in fair value recognized as other expense on the statements of operations and disclosed in the financial statements.

 

A summary of significant unobservable inputs (Level 3 inputs) used in measuring warrants granted during the years ended March 31, 2020 and 2019 is as follows:

 

    Year Ended
March 31,
2020		     Year Ended
March 31,
2019		  
Dividend yield     0 %     0 %
Expected price volatility     50 %     50 %
Risk free interest rate     1.61-2.18 %     2.16 - 2.69 %
Expected term     4 years       4 years  

 

The following tables classify the Company's liabilities measured at fair value on a recurring basis into the fair value hierarchy as of March 31, 2020 and 2019:

 

    Fair value measured at March 31, 2020  
    Total carrying value at March 31, 2020     Quoted prices in
active markets
(Level 1)		     Significant other
observable inputs
(Level 2)		     Significant
unobservable inputs
(Level 3)		  
Liabilities:                        
Warrant liability   $ 1,733,718     $     -     $       -     $ 1,733,718  

 

    Fair value measured at March 31, 2019  
    Total carrying value at March 31, 2019     Quoted prices in
active markets
(Level 1)		     Significant other
observable inputs
(Level 2)		     Significant
unobservable inputs
(Level 3)		  
Liabilities:                        
Warrant liability   $ 1,398,617     $     -     $      -     $ 1,398,617  

 

For the year ended March 31, 2020 there was a change of approximately $17,000 in Level 3 liabilities measured at fair value. For the year ended March 31, 2019 there was a change of approximately $0.6 million in Level 3 liabilities measured at fair value.

 

The following table presents changes in Level 3 liabilities measured at fair value for the years ended March 31, 2020 and 2019. Unobservable inputs were used to determine the fair value of positions that the Company has classified within the Level 3 category. Unrealized gains and losses associated with liabilities within the Level 3 category include changes in fair value that were attributable to unobservable (e.g., changes in unobservable long-dated volatilities) inputs.

 

    Warrant Liability  
Balance at March 31, 2018   $ 141,519  
Issuance of warrants in connection with convertible notes     660,174  
Change in fair value     596,924  
Balance at March 31, 2019     1,398,617  
Issuance of warrants in connection with convertible notes     318,173  
Change in fair value     16,928  
Balance at March 31, 2020   $ 1,733,718