Derivative Liabilities

9 Months Ended

Dec. 31, 2020

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Derivative Liabilities

7. DERIVATIVE LIABILITIES

On December 19, 2019 and January 9, 2020, the Company issued 7,830 Series A preferred shares; 6,000 of these were issued for cash proceeds of $6,000,000 and 1,830 of these were issued on conversion of $1,830,000 of promissory notes that had previously been issued for cash proceeds in October 2019. On May 22, 2020, another 215 Series A preferred shares were issued as a result of a combined transaction that included the conversion of $100,000 in promissory notes, and $15,000 in accrued interest thereon, for 115 preferred shares, as well as a purchase of 100 preferred shares for cash proceeds of $100,000. The Company therefore had 8,045 Series A preferred shares issued and outstanding as at December 31, 2020.

The Company analyzed the compound features of variable conversion and redemption embedded in the preferred shares, for potential derivative accounting treatment on the basis of ASC 820 (Fair Value in Financial Instruments), ASC 815 (Accounting for Derivative Instruments and Hedging Activities), Emerging Issues Task Force (“EITF”) Issue No. 00–19 and EITF 07–05, and determined that the embedded derivatives should be bundled and valued as a single, compound embedded derivative, bifurcated from the underlying equity instrument, treated as a derivative liability, and measured at fair value.

	Total
	$
Derivative liabilities related to preferred shares as at March 31, 2019		-
Derivative fair value at issuance		1,083,952
Change in fair value of derivatives		60,781
As at March 31, 2020	$	1,144,733
Derivative fair value at issuance		41,749
Change in fair value of derivatives for the three months ended June 30, 2020		(204,142	)
Change in fair value of derivatives for the three months ended September 30, 2020		(178,988	)
Change in fair value of derivatives for the three months ended December 31, 2020		(214,663	)
Derivative liabilities related to preferred shares as at December 31, 2020	$	588,699

The lattice methodology was used to value the derivative components embedded in the preferred shares, using the following assumptions:

	Assumptions
Dividend yield		12	%
Risk-free rate for term		0.62% – 1.14	%
Volatility		111.7% – 113.4	%
Remaining terms (Years)		0.01 – 1.0
Stock price ($ per share)	$	0.7383

For the nine months ended December 31, 2020 , pursuant to issuing $7,040,500 in convertible notes (Note 5) that have embedded conversion rights, redemption features and variable-priced investor warrants and placement agent warrants, the Company analyzed the compound features of variable conversion and redemption embedded in the convertible notes, for potential derivative accounting treatment on the basis of ASC 820 (Fair Value in Financial Instruments), ASC 815 (Accounting for Derivative Instruments and Hedging Activities), Emerging Issues Task Force (“EITF”) Issue No. 00–19 and EITF 07–05, and determined that the embedded derivatives should be bundled and valued as a single, compound embedded derivative, bifurcated from the underlying note, treated as a derivative liability, and measured at fair value.

	Total
	$
Derivative liabilities related to convertible notes as at March 31 and June 30, 2020	$	-
Derivative fair value at issuance		2,590,317
Change in fair value of derivatives for the three months ended September 30, 2020		(50,349	)
As at September 30, 2020	$	2,539,968
Derivative fair value at issuance		2.839.486
Change in fair value of derivatives for the three months ended December 31, 2020		(135,051	)
Derivative liabilities related to the convertible notes as at December 31, 2020	$	5,244,403

The lattice methodology was used to value the derivative components embedded in the convertible notes, using the following range of assumptions:

	Assumptions
Dividend yield		12	%
Risk-free rate for term		0.62% – 1.14	%
Volatility		98.5% – 125.3	%
Remaining terms (Years)		0.01 – 10.0
Stock price ($ per share)	$	0.7241 – $1.14