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DERIVATIVE LIABILITIES
3 Months Ended
Jun. 30, 2023
Derivative Instruments and Hedging Activities Disclosure [Abstract]  
DERIVATIVE LIABILITIES

8. DERIVATIVE LIABILITIES

 

The Company analyzed the compound features of variable conversion and redemption embedded in the preferred shares 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. A roll-forward of activity is presented below for the three months ended June 30, 2023 and 2022:

 

   Fiscal Year 2024   Fiscal Year 2023 
  

$

$

 
Derivative liabilities, beginning of period   759,065    352,402 
New issuance        
Change in fair value of derivatives during period   (79,827)   195,521 
Reduction due to preferred shares redeemed       (10,605)
Derivative liabilities, end of period   679,238    537,318 

 

The lattice methodology was used to value the derivative components, using the following assumptions during the three months ended June 30, 2023 and 2022:

 

   Fiscal Year 2024   Fiscal Year 2023 
Dividend yield (%)   12    12 
Risk-free rate for term (%)   4.92 - 5.04    2.13 - 2.54 
Volatility (%)   95.2 - 111.4    94.4 - 101.9 
Remaining terms (Years)   0.502.01    1.50 to 3.01 
Stock price ($ per share)   0.46 - 0.79    1.23 to 1.77 

 

 

BIOTRICITY INC.

NOTES TO THE CONDENSED CONSOLIDATED FINANCIAL STATEMENTS

JUNE 30, 2023 (Unaudited)

(Expressed in US dollars)

 

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 (Note 5). Any noteholder and placement agent warrants that were issued after the finalization of exercise price was accounted for as equity. A roll-forward of activity is presented below for the three months ended June 30, 2023 and 2022:

 

   Fiscal Year 2024   Fiscal Year 2023 
  

$

  

$

 
         
Balance beginning of period – March 31   1,008,216    520,747 
New Issuance   1,014,703     
Conversion to common shares       (104,118)
Change in fair value of derivative liabilities   (21,625)   2,703 
Convertible note modification        
Convertible note redemption   (16,513)    
Balance end of period – June 30   1,984,781    419,332 

 

The Monte-Carlo methodology was used to value the convertible note and warrant derivative components during the three months ended June 30, 2023 and 2022, using the following assumptions:

 

   Fiscal Year 2024   Fiscal Year 2023 
Risk-free rate for term (%)   4.21 - 5.06    1.822.37  
Volatility (%)   93.8126.6    87.695.5 
Remaining terms (Years)   0.251.49    0.500.63 
Stock price ($ per share)   0.460.79    1.101.77