Quarterly report pursuant to Section 13 or 15(d)

Fair Value Measurements (Tables)

v3.7.0.1
Fair Value Measurements (Tables)
3 Months Ended
Jun. 30, 2017
Fair Value Disclosures [Abstract]  
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 at Inception
Financial Liabilities
 
 
 
 
 
 
 
 
Convertible note embedded derivative liability
 
$

 
$

 
$
3,693

 
$
3,693

Warrant liability
 
$

 
$

 
$
1,223

 
$
1,223

Total
 
$

 
$

 
$
4,916

 
$
4,916

As of June 30, 2017 and March 31, 2017, 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 June 30, 2017
 
 
 
 
 
 
 
 
(Unaudited)
Financial Liabilities
 
 
 
 
 
 
 
 
Convertible note embedded derivative liability
 
$

 
$

 
$
4,526

 
$
4,526

Warrant liability
 
$

 
$

 
$
1,540

 
$
1,540

Total
 
$

 
$

 
$
6,066

 
$
6,066

 
 
Level 1
 
Level 2
 
Level 3
 
Balance as of March 31, 2017
Financial Liabilities
 
 
 
 
 
 
 
 
Convertible note embedded derivative liability
 
$

 
$

 
$
3,218

 
$
3,218

Warrant liability
 
$

 
$

 
$
1,076

 
$
1,076

Total
 
$

 
$

 
$
4,294

 
$
4,294

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 March 31, 2017
 
$
3,218

Change in fair value of convertible note embedded derivative liability
 
$
1,308

Balance at June 30, 2017
 
$
4,526

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 March 31, 2017
 
$
1,076

Change in fair value of warrant liability
 
$
464

Balance at June 30, 2017
 
$
1,540

Fair Value Inputs, Liabilities, Quantitative Information
The market-based assumptions and estimates used in valuing the warrant liability include amounts in the following amounts:
 
June 30, 2017
Stock price volatility
70
%
Probability of change in control
1.75
%
Stock price (per share)
$1.03
Expected term
3.25 years

Risk-free rate (1)
1.56
%
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 convertible note embedded derivative liability include amounts in the following amounts:
 
June 30, 2017
Stock price volatility
70
%
Probability of change in control
1.75
%
Stock price (per share)
$1.03
Expected term
3.25 years

Risk-free rate (1)
1.56
%
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.