Quarterly report pursuant to Section 13 or 15(d)

Fair Value Measurements (Tables)

v3.5.0.2
Fair Value Measurements (Tables)
6 Months Ended
Sep. 30, 2016
Fair Value Disclosures [Abstract]  
Fair Value, Liabilities Measured on Recurring and Nonrecurring Basis
As of September 30, 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 September 30, 2016
Financial Liabilities
 
 
 
 
 
 
 
 
Convertible note embedded derivative liability
 
$

 
$

 
$
4,123

 
$
4,123

Warrant liability
 
$

 
$

 
$
1,363

 
$
1,363

Total
 
$

 
$

 
$
5,486

 
$
5,486

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

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
 
$
3,693

Change in fair value of convertible note embedded derivative liability
 
$
430

Balance at September 30, 2016
 
$
4,123

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
 
$
1,223

Change in fair value of warrant liability
 
$
140

Balance at September 30, 2016
 
$
1,363

Fair Value Inputs, Liabilities, Quantitative Information
The market-based assumptions and estimates used in valuing the warrant liability include amounts in the following amounts:
 
September 30, 2016
 
September 28, 2016
Stock price volatility
70
%
 
70
%
Probability of change in control
1.75
%
 
1.75
%
Stock price (per share)
$1.05
 
$0.99
Expected term
4 years

 
4 years

Risk-free rate (1)
1.00
%
 
1.00
%
Assumed early conversion/exercise price (per share)
$2.73
 
$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:
 
September 30, 2016
 
September 28, 2016
Stock price volatility
70
%
 
70
%
Probability of change in control
1.75
%
 
1.75
%
Stock price (per share)
$1.05
 
$0.99
Expected term
4 years

 
4 years

Risk-free rate (1)
1.00
%
 
1.00
%
Assumed early conversion/exercise price (per share)
$2.73
 
$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.