5. Derivative Liabilities

9 Months Ended

Dec. 31, 2015

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Derivative Liabilities

The Company deems financial instruments, which require net-cash settlement, as either an asset or a liability. The common stock purchase warrants issued in conjunction with the Company’s December 9, 2013 and February 26, 2014 registered direct offerings contain net-cash settlement features, which give the warrant holder the right to a net-cash settlement in the event certain transactions occur. Pursuant to the terms of the warrants, if such a transaction occurs, the warrant holder will be entitled to a net-cash settlement value calculated using the Black-Scholes valuation model using an expected volatility equal to the greater of 100% and the 30 day volatility obtained from the HVT function on Bloomberg, a historical volatility calculator, an expected term equal to the remaining term of the warrants, and applicable risk-free interest rate corresponding to the U.S. Treasury.

The derivative liabilities relating to the warrants with net-cash settlement provisions were valued using the Black-Scholes option valuation model and the following assumptions on the following dates:

	Measurement Date	Warrants		Remaining Contract Term in Years		Exercise Price		Volatility		Risk-free Interest Rate		Fair Value
Warrant
Placement Agent Warrants	March 31, 2015		16,500		1.09		5.00		100%		0.26%	$	1,000
Investor - Series A Warrants	March 31, 2015		1,000		0.41		3.00		100%		0.14%		–
Investor - Series B Warrants	March 31, 2015		1,400,000		0.41		3.63		100%		0.14%		5,000
Placement Agent Warrants	March 31, 2015		69,037		1.09		3.00		100%		0.26%		5,000
												$	11,000
Warrant
Placement Agent Warrants	June 30, 2015		16,500		0.84		5.00		143%		0.28%	$	5,000
Investor - Series A Warrants	June 30, 2015		1,000		0.16		3.00		143%		0.01%		–
Investor - Series B Warrants	June 30, 2015		1,400,000		0.16		3.63		143%		0.01%		35,000
Placement Agent Warrants	June 30, 2015		69,037		0.84		3.00		143%		0.28%		30,000
												$	70,000
Warrant
Placement Agent Warrants	September 30, 2015		16,500		0.59		5.00		100%		0.08%	$	–
Placement Agent Warrants	September 30, 2015		69,037		0.59		3.00		100%		0.08%		5,000
												$	5,000
Warrant
Placement Agent Warrants	December 31, 2015		16,500		0.34		5.00		100%		0.16%	$	–
Placement Agent Warrants	December 31, 2015		69,037		0.34		3.00		100%		0.16%		1,000
												$	1,000

The following table sets forth a summary of the changes in the fair value of our Level 3 financial liabilities that are measured at fair value on a recurring basis:

	Three Months Ended December 31,						Nine Months Ended December 31,
	2015			2014			2015			2014
Beginning balance	$	5,000		$	856,000		$	11,000		$	3,175,000
Mark to market net unrealized gain		(4,000	)	$	(679,000	)	$	(10,000	)	$	(2,998,000	)
Ending balance	$	1,000		$	177,000		$	1,000		$	177,000