Quarterly report pursuant to Section 13 or 15(d)

Fair Value Measurements

v3.20.1
Fair Value Measurements
 9 Months Ended
Dec. 31, 2019
Fair Value Disclosures [Abstract]  
Fair Value Measurements

Note 4 – Fair Value Measurements

 

During the nine months ended December 31, 2019 and the year ended March 31, 2019, the Company issued warrants totaling 658,508 and 2,869,303 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 nine months ended December 31, 2019 and the year ended March 31, 2019 is as follows:

  

    December 31,
2019		   March 31,
2019
Dividend yield   0%   0%
Expected price volatility   50%   50%
Risk free interest rate   1.71-2.18%   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 December 31, 2019 and March 31, 2019:

 

    Fair value measured at December 31, 2019 (Unaudited)  
    Total
carrying
value at
December 31,
2019		     Quoted
prices in
active
markets
 (Level 1)		     Significant
other observable
inputs
(Level 2)		     Significant
unobservable
inputs
(Level 3)		  
Liabilities:                        
Warrant liability   $ 1,462,624     $ -     $ -     $ 1,462,624  

  

    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 nine months ended December 31, 2019 there was a change of approximately $0.1 million, and for the year ended March 31, 2019 there was a change of approximately $0.6 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 and nine months ended December 31, 2019.

 

    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  

  

The following tables presents changes in Level 3 liabilities measured at fair value for the three and nine months ended December 31, 2018.

 

    Warrant Liability  
Balance at March 31, 2018   $ 141,519  
Issuance of warrants in connection with convertible notes     44,827  
Change in fair value     38,368  
Balance at June 30, 2018 (Unaudited)   $ 224,714  
Issuance of warrants in connection with convertible notes     332,199  
Change in fair value     24,343  
Balance at September 30, 2018 (Unaudited)   $ 581,256  
Issuance of warrants in connection with convertible notes     95,434  
Change in fair value     (57,757 )
Balance at December 31, 2018 (Unaudited)   $ 618,933