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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

The entire disclosure for the fair value of financial instruments (as defined), including financial assets and financial liabilities (collectively, as defined), and the measurements of those instruments as well as disclosures related to the fair value of non-financial assets and liabilities. Such disclosures about the financial instruments, assets, and liabilities would include: (1) the fair value of the required items together with their carrying amounts (as appropriate); (2) for items for which it is not practicable to estimate fair value, disclosure would include: (a) information pertinent to estimating fair value (including, carrying amount, effective interest rate, and maturity, and (b) the reasons why it is not practicable to estimate fair value; (3) significant concentrations of credit risk including: (a) information about the activity, region, or economic characteristics identifying a concentration, (b) the maximum amount of loss the entity is exposed to based on the gross fair value of the related item, (c) policy for requiring collateral or other security and information as to accessing such collateral or security, and (d) the nature and brief description of such collateral or security; (4) quantitative information about market risks and how such risks are managed; (5) for items measured on both a recurring and nonrecurring basis information regarding the inputs used to develop the fair value measurement; and (6) for items presented in the financial statement for which fair value measurement is elected: (a) information necessary to understand the reasons for the election, (b) discussion of the effect of fair value changes on earnings, (c) a description of [similar groups] items for which the election is made and the relation thereof to the balance sheet, the aggregate carrying value of items included in the balance sheet that are not eligible for the election; (7) all other required (as defined) and desired information.

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