Quarterly report pursuant to Section 13 or 15(d)

Fair Value Measurements

v3.20.2
Fair Value Measurements
 6 Months Ended
Sep. 30, 2020
Fair Value Disclosures [Abstract]  
Fair Value Measurements

Note 4 – Fair Value Measurements

 

During the six months ended September 30, 2020, the Company issued warrants totaling 1,294,800 in connection with its convertible notes. During the three and six months ended September 30, 2020, in connection with the Company's September 11, 2020 financing (see Note 9), the Company issued 795,800 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 September 30, 2020:

 

    Three Months
Ended 		    Six Months
Ended		     Year Ended  
    September 30,
2020		     September 30,
2020		     March 31,
2020		  
      (Unaudited)       (Unaudited)          
Dividend yield     0 %     0 %     0 %
Expected price volatility     50 %     50 %     50 %
Risk free interest rate     0.13% - 0.28 %     0.13% - 0.32 %     1.61 - 2.18 %
Expected term     5 years       4-5 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 September 30, 2020 and March 31, 2020:

 

    Fair value measured at September 30, 2020 (Unaudited)  
    Total carrying value
at September 30,		     Quoted prices in
active markets		   Significant other
observable inputs		   Significant
unobservable inputs		  
    2020     (Level 1)   (Level 2)   (Level 3)  
Liabilities:                    
Warrant liability   $ 3,765,699     $          -   $           -   $ 3,765,699  

 

    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 and six months ended September 30, 2020, there was a change of approximately $0.9 million and $0.7 million, respectively 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 six months ended September 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  
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  

 

    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