Quarterly report pursuant to Section 13 or 15(d)

Fair Value Measurements

v3.20.2
Fair Value Measurements
 3 Months Ended
Jun. 30, 2020
Fair Value Disclosures [Abstract]  
Fair Value Measurements

Note 4 – Fair Value Measurements

 

During the three months ended June 30, 2020, the Company issued warrants totaling 1,287,868 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 condensed statements of operations and disclosed in the condensed financial statements.

 

A summary of significant unobservable inputs (Level 3 inputs) used in measuring warrants granted during the three months ended June 30, 2020:

 

    Three Months Ended
June 30,
2020		  
    (Unaudited)  
Dividend yield     0 %
Expected price volatility     50 %
Risk free interest rate       0.16% - 0.32 %
Expected term     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 June 30, 2020 and March 31, 2020:

 

    Fair value measured at June 30, 2020 (Unaudited)  
    Total carrying value
at June 30,
2020		     Quoted prices in
active markets
(Level 1)		     Significant other
observable inputs
(Level 2)		     Significant
unobservable inputs
(Level 3)		  
Liabilities:                        
Warrant liability   $ 2,314,152     $         -     $         -     $ 2,314,152  

 

    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  

 

For the three months ended June 30, 2020 and 2019, there was a change of approximately $0.1 million in Level 3 liabilities measured at fair value, respectively.

 

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.

 

The following tables presents changes in Level 3 liabilities measured at fair value for the three months ended June 30, 2020 and 2019.

 

    Warrant
Liability		  
Balance at March 31, 2020   $ 1,733,718  
Issuance of warrants in connection with convertible notes     703,343  
Change in fair value     (122,909 )
Balance at June 30, 2020 (unaudited)   $ 2,314,152  

 

    Warrant
Liability		  
Balance at March 31, 2019   $ 1,398,617  
Issuance of warrants in connection with convertible notes     200,333  
Change in fair value     (147,808 )
Balance at June 30, 2019 (unaudited)   $ 1,451,142