Quarterly report pursuant to Section 13 or 15(d)

Fair Value Measurements

v3.20.4
Fair Value Measurements
 9 Months Ended
Dec. 31, 2020
Fair Value Disclosures [Abstract]  
Fair Value Measurements

Note 4 – Fair Value Measurements

 

Warrants

 

During the nine months ended December 31, 2020, the Company issued warrants totaling 531,555 in connection with its convertible notes. During the nine months ended December 31, 2020, in connection with the Company's September 11, 2020 financing (see Note 9), the Company issued 265,267 warrants, in each period, respectively. 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 and nine months ended December 31, 2020 is as follows:

 

    Three Months
Ended 		    Nine Months
Ended		     Year Ended  
    December 31,
2020		     December 31,
2020		     March 31,
2020		  
      (Unaudited)       (Unaudited)          
Dividend yield     0 %     0 %     0 %
Expected price volatility     50 %     50 %     50 %
Risk free interest rate     0.36% - 0.37 %     0.11% - 0.41 %     1.61 - 2.18 %
Expected term     5 years       4-5 years       4 years  

 

During the three months ended December 31, 2020, the Company issued amendments and new warrant agreements related to 685,351 warrants issued in connection with its convertible notes. The amendments and new warrant agreements reclassified the warrants from liabilities to equity. The warrants were measured at fair value on the amendment and new agreement dates, with the change in fair value recorded as other expense on the condensed statement of operations, and reclassified to additional paid-in capital.

 

In December 2020, the Company issued amendments related to the 265,267 warrants issued in connection with the Company's September financing, which reclassified the warrants from liabilities to equity. The warrants were measured at fair value on the amendment date, with the change in fair value recorded as other expense on the condensed statement of operations, and reclassified to additional paid-in capital.

 

As of December 31, 2020, 1,012,610 warrants have been classified as liabilities.

 

Convertible Notes Share Settlement Feature

 

The derivative liability results from the share settlement provision featured within the convertible notes. The fair value of the Share Settlement Feature was estimated using the Monte Carlo simulation model on the dates the notes were issued and were subsequently revalued at December 31, 2020. There were no Share Settlement Features related to the Company's convertible notes at March 31, 2020.

 

The following table reflects the assumptions used in the Monte Carlo simulation model at the November 13, 2020 issuance date and December 31, 2020:

 

    November 30,
2020		     December 31,
2020		  
Risk Free Interest Rate     0.12 %     0.10 %
Expected life (years)     1.00       0.87  
Expected dividend yield     0 %     0 %
Expected volatility     50.0 %     50.0 %

 

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

 

    Fair value measured at December 31, 2020 (Unaudited)  
    Total carrying value at December 31,
2020		     Quoted prices in active markets
 (Level 1)		     Significant other observable inputs
(Level 2)		     Significant unobservable inputs
(Level 3)		  
Liabilities:                        
Warrant liability   $ 2,542,415     $     -     $     -     $ 2,542,415  
Share settlement feature   $ 186,415     $ -     $ -     $ 186,415  

 

    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 nine months ended December 31, 2020, there was a change of approximately $1.3 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 nine months ended December 31, 2020 and 2019.

 

    Warrant     Share Settlement  
    Liability     Feature  
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     $ -  
Issuance of warrants in connection with financing     515,426       -  
Issuance of placement agent warrants     74,755       -  
Change in fair value     861,366       -  
Balance at September 30, 2020 (unaudited)   $ 3,765,699     $ -  
Issuance of warrants in connection with convertible notes     239,105       225,186  
Change in fair value     598,899       (38,771 )
Reclassification of warrants to equity     (2,061,288 )     -  
Balance at December 31, 2020 (unaudited)   $ 2,542,415     $ 186,415  

 

    Warrant Liability  
Balance at March 31, 2019   $ 1,398,616  
Issuance of warrants in connection with convertible notes     200,334  
Change in fair value     (147,808 )
Balance at June 30, 2019 (unaudited)   $ 1,451,142  
Change in fair value     11,482  
Balance at September 30, 2019 (unaudited)   $ 1,462,624  
Change in fair value     -  
Balance at December 31, 2019 (unaudited)   $ 1,462,624