Quarterly report pursuant to Section 13 or 15(d)

Warrant Liabilities

v3.20.2
Warrant Liabilities
6 Months Ended
Sep. 30, 2020
Warrant Liabilities  
Warrant Liabilities

NOTE 8 – WARRANT LIABILITIES

 

In 2004, the Company issued warrants to various investors and brokers for the purchase of Series C preferred stock in connection with a private placement (the “Series C Warrants”). The Series C Warrants were subsequently extended and, upon closing of the reverse recapitalization transaction with Ritter, exchanged for warrants to purchase common stock of the Company, pursuant to the Series C Warrant terms as adjusted. The Series C Warrants were classified as liabilities, but had minimal fair value prior to the merger with Ritter.

 

In exchange for the Series C Warrants, upon closing of the merger with Ritter, the holders received warrants to purchase an aggregate of 4,713,490 shares of the Company’s common stock at $0.72 per share, subject to adjustment. As of September 30, 2020, the warrants have received in exchange for the Series C Warrants remaining terms ranging from 2.9 to 5.0 years. The warrants were determined to be liability-classified pursuant to the guidance in ASC 480 and ASC 815-40, resulting from inclusion of a leveraged ratchet provision for subsequent dilutive issuances.

 

The following table summarizes the activity in the warrants received in exchange for the Series C Warrants for the six months ended September 30, 2020:

 

    Common Stock Warrants (received in exchange for the
Series C Warrants)
 
    Shares    

Weighted–

Average

Exercise

Price

   

Range of Exercise

Price

   

Weighted–

Average

Remaining Life (Years)

 
Total outstanding – March 31, 2020         $                  
Series C preferred stock warrants exchanged for common stock warrants upon reverse recapitalization     4,713,490       0.72                  
Forfeited                            
Expired                            
Granted                            
Total outstanding – September 30, 2020     4,713,490     $ 0.72                  
Exercisable     4,713,490     $ 0.72     $ 0.72       3.25  
Non-Exercisable         $     $        

 

The following table summarizes the Series C Warrants activity for the six months ended September 30, 2019:

 

    Series C Preferred Stock Warrants  
    Shares     Weighted– Average Exercise Price     Range of Exercise Price     Weighted– Average Remaining Life (Years)  
Total outstanding – March 31, 2019     1,441,180     $ 2.35                  
Forfeited                            
Expired                            
Granted                            
Total outstanding – September 30, 2019     1,441,180     $ 2.35                  
Exercisable     1,441,180     $            2.35       $ 2.25 – $2.70       5.35   
Non-Exercisable         $     $        

 

The following table presents the Company’s fair value hierarchy for its warrant liabilities (all of which arise under the warrants received in exchange for the Series C Warrants) measured at fair value on a recurring basis as of September 30, 2020:

 

    Quoted                    
    Market     Significant              
    Prices for     Other     Significant        
    Identical     Observable     Unobservable        
    Assets     Inputs     Inputs        
Warrant liabilities   (Level 1)     (Level 2)     (Level 3)     Total  
Balance as of September 30, 2020   $ -     $ -     $ 20,596,700     $ 20,596,700  
                                 

 

The following table is a reconciliation for those items measured at fair value on a recurring basis using Level 3 inputs during the six months ended September 30, 2020:

 

Warrant liabilities   As of September 30, 2020  
Balance, March 31, 2020   $  
Fair value at issuance date      
Change in fair value included in the statement of comprehensive loss     20,596,700  
Balance, September 30, 2020   $ 20,596,700  

 

The value of the warrant liabilities is based on a valuation received from an independent valuation firm was determined using a Monte-Carlo simulation.

 

The value of the warrant liabilities (all of which arise under the warrants received in exchange for the Series C Warrants), as of the dates set forth in the table above, was based on upon the following assumptions:

 

    September 30, 2020  
Stock price   $ 4.95  
Exercise price per share   $ 0.72  
Risk-free interest rate     0.16% — 0.28 %
Expected volatility (peer group)     82.00% — 85.00 %
Expected life (in years)     2.85 — 5.02  
Expected dividend yield     0.00 %
Number outstanding     4,713,490