Derivative Liabilities

12 Months Ended

Mar. 31, 2021

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 (Note 5(a)) and $15,000 (Note 5(a)) in accrued interest for 115 preferred shares, as well as a purchase of 100 preferred shares for cash proceeds of $100,000.

The Company analyzed the compound features of variable conversion and redemption embedded in this instrument, 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 as at March 31, 2020		1,144,733
Derivative fair value at issuance during fiscal 2021		41,749
Change in fair value of derivatives		(776,440	)
Derivative liabilities as at March 31, 2021	$	410,042

The lattice methodology was used to value the derivative components, using the following assumptions:

	Assumptions
Dividend yield		12	%
Risk-free rate for term		0.63% – 0.61	%
Volatility		114.7% – to 121.5	%
Remaining terms (Years)		2.75 to 4.17
Stock price ($ per share)	$	0.650 and $2.396

In addition, the Company recorded derivative liabilities related to the conversion and redemption features of the convertible notes, as well as warrants that were issued in connection with the convertible notes, during the year ended March 31, 2021 (Note 5(b)). As the warrant exercise price became final and locked, the derivative liabilities related to those warrants were marked to market and transferred to equity (Note 5(b)). Any noteholder and placement agent warrants that were issued after the finalization of exercise price was accounted for as equity.

	Total
	$
Derivative fair value at issuance
Series A notes (Note 5(b))		6,932,194
Series B notes (Note 5(b))		497,042
		7,429,236
Fair value change upon end of warrants derivative treatment (Note 5(b))		(82,444	)
Carrying amount of warrants transferred equity upon end of warrants derivative treatment (Note 5(b))		(3,937,664	)
Conversion to common shares (Note 5(b))		(225,284	)
Change in fair value of derivative liabilities		450,012
Balance at March 31, 2021		3,633,856

The lattice methodology was used to value the preferred share derivative component, and the monte carlo methodology was used to value the convertible note and warrant derivative components, using the following assumptions:

	Warrants (before end of warrants derivative treatment)	Conversion and redemption features
Risk-free rate for term (%)	0.31 – 0.91	0.10 - 0.19
Volatility (%)	114.8 - 124.2	89.2 - 103.4
Remaining terms (Years)	3.0 – 10.0	0.77 – 1.0
Stock price ($ per share)	1.15 – 2.96	1.15 – 2.40