Digital Turbine, Inc. Quarterly report pursuant to Section 13 or 15(d)

Quarterly report pursuant to Section 13 or 15(d)

Fair Value Measurements (Tables)

Fair Value Measurements (Tables)

9 Months Ended

Dec. 31, 2016

Fair Value, Liabilities Measured on Recurring and Nonrecurring Basis

The Company’s financial liabilities as of the issuance date of the convertible notes on the initial measurement date of September 28, 2016 are presented below at fair value and were classified within the fair value hierarchy as follows:



	Level 1		Level 2		Level 3		Balance as of September 28, 2016
Financial Liabilities
Convertible note embedded derivative liability	$	—	$	—	$	3,693	$	3,693
Warrant liability	$	—	$	—	$	1,223	$	1,223
Total	$	—	$	—	$	4,916	$	4,916

As of December 31, 2016, the Company’s financial assets and financial liabilities are presented below at fair value and were classified within the fair value hierarchy as follows (in thousands):



	Level 1		Level 2		Level 3		Balance as of December 31, 2016
Financial Liabilities
Convertible note embedded derivative liability	$	—	$	—	$	1,270	$	1,270
Warrant liability	$	—	$	—	$	426	$	426
Total	$	—	$	—	$	1,696	$	1,696

Fair Value, Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation

The following table provides a reconciliation of the beginning and ending balances for the convertible note embedded derivative liability measured at fair value using significant unobservable inputs (Level 3):



	Level 3
Balance at September 28, 2016 (inception of issuance of the Notes)	$	3,693
Change in fair value of convertible note embedded derivative liability	$	(2,423	)
Balance at December 31, 2016	$	1,270

The following table provides a reconciliation of the beginning and ending balances for the warrant liability measured at fair value using significant unobservable inputs (Level 3):



	Level 3
Balance at September 28, 2016 (inception of issuance of the Notes)	$	1,223
Change in fair value of warrant liability	$	(797	)
Balance at December 31, 2016	$	426

Fair Value Inputs, Liabilities, Quantitative Information

The market-based assumptions and estimates used in valuing the convertible note embedded derivative liability include amounts in the following amounts:



	December 31, 2016
Stock price volatility	70	%
Probability of change in control	1.75	%
Stock price (per share)	$0.68
Expected term	3.75 years
Risk-free rate (1)	1.63	%
Assumed early conversion/exercise price (per share)	$2.73

^{(1) The Monte Carlo simulation assumes the continuously compounded equivalent (CCE) interest rate of}^1.0%^{based on the average of the 3-year and 5-year U.S. Treasury securities as of the valuation date.}

The market-based assumptions and estimates used in valuing the warrant liability include amounts in the following amounts:



	December 31, 2016
Stock price volatility	70	%
Probability of change in control	1.75	%
Stock price (per share)	$0.68
Expected term	3.75 years
Risk-free rate (1)	1.63	%
Assumed early conversion/exercise price (per share)	$2.73