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)

3 Months Ended

Jun. 30, 2017

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.}