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, 2019

Schedule of Financial Assets and Liabilities Measured at Fair Value

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 December 31, 2019 and March 31, 2019, the Company’s financial liability presented below at fair value was classified within the fair value hierarchy as follows:



	Level 1		Level 2		Level 3		Balance as of December 31, 2019
							(Unaudited)
Financial Liabilities
Warrant liability	$	—	$	—	$	6,300	$	6,300
Total	$	—	$	—	$	6,300	$	6,300



	Level 1		Level 2		Level 3		Balance as of March 31, 2019
Financial Liabilities
Warrant liability	$	—	$	—	$	8,013	$	8,013
Total	$	—	$	—	$	8,013	$	8,013

Reconciliation of Financial Liabilities Measured at Fair Value

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, 2019	$	8,013
Change in fair value of warrant liability	10,601
De-recognition on exercises	(12,314		)
Balance at December 31, 2019	$	6,300

Schedule of Market-based Assumptions

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



	December 31, 2019
Stock price volatility	60	%
Stock price (per share)	$7.13
Expected term	0.73 years
Risk-free rate (1)	1.59	%

^{(1) The Black-Scholes model assumes the continuously compounded equivalent (CCE) interest rate of}^1.59%^{based on the 1-year U.S. Treasury securities as of the valuation date.}

The assumptions utilized in this model for options granted during the nine months ended December 31, 2019 are presented below.



		December 31, 2019
Risk-free interest rate		1.67% to 2.25%
Expected life of the options		5.35 to 9.83 years
Expected volatility		65% to 66%
Expected dividend yield		—%
Expected forfeitures		27% to 29%