The following table summarizes the Company’s assets and liabilities that are measured at fair value on a recurring basis, by level, within the fair value hierarchy:


	March 31, 2022
	Level 1		Level 2		Level 3		Total
Assets:
Pension plan assets(1)	$	—	$	24,778	$	—	$	24,778
Total assets measured at fair value	$	—	$	24,778	$	—	$	24,778


	March 31, 2022
	Level 1		Level 2		Level 3		Total
Liabilities:
Convertible loan derivatives(4)		—		11,858		—		11,858
Debt related Consent Warrants(5)		—		1,657		—		1,657
Debt related Consent Shares		77		—		—		77
Total liabilities measured at fair value	$	77	$	13,515	$	—	$	13,592


	March 31, 2021
	Level 1		Level 2		Level 3		Total
Assets:
Pension plan assets(1)	$	—	$	15,751	$	—	$	15,751
Short-term investments(2)		—		15,000		—		15,000
Foreign currency forward contracts(3)		—		355		—		355
Total assets measured at fair value	$	—	$	31,106	$	—	$	31,106

(1)

The fair value of pension plan assets has been determined as the surrender value of the portfolio of active insured employees held within the AXA LLP Foundation Suisse Romande collective investment fund.

(2)

The fair value of short-term investments has been determined based on the quoted value of the units held in the money market fund at the balance sheet date. The short-term investments as of March 31, 2021, relate to investments made in a Treasury Money Market Fund. See Note 1, "Summary of Significant Accounting Policies – Short-term Investments". Quotient sold these investments during the year-ended March 31, 2022.

(3)

The fair value of foreign currency forward contracts was determined by calculating the present value of future cash flows, estimated using market-based observable inputs including forward and spot exchange rates and interest rate curves obtained from third party market price quotations. The Company does not hold any of these contracts as of March 31, 2022.

(4)

The fair value of the Convertible loan derivatives has been determined by utilizing a single factor lattice model using market-based observable inputs such as historical share prices for Quotient Limited, interest rates derived from the U.S. Dollar Swap interest rate curve, credit spread, and implied volatility obtained from third party market price quotations.

(5)

The fair value of the Consent Warrants has been determined by utilizing a Black-Scholes model using market-based observable inputs such as historical share prices for Quotient Limited, quotations for US treasury interest rates, and implied volatility obtained from third party market price quotations.

On March 12, 2021, the Company announced that two funds managed by CSAM in which the Company had invested an aggregate of approximately $110.35 million had suspended redemptions. The investments into these funds were made in accordance with the Company’s investment policy of making individual investments with a minimum of an A rating from a leading credit-rating agency. Each fund holds short-term credit obligations of various obligors. According to a press release issued by CSAM, redemptions in the funds were suspended because "certain part of the Subfunds’ assets is currently subject to considerable uncertainties with respect to their accurate valuation." CSAM subsequently began a liquidation of the funds. Pursuant to the liquidation, the Company has already received cash distributions of approximately $89.0 million. Credit Suisse has advised that the credit assets held by the funds are covered by insurance that potentially will be available to cover losses the funds would incur if any of the obligors on the funds’ credit assets were to default.

On April 22, 2021, Credit Suisse published its FY 2021 Q1 press release with commentary related to the Credit Suisse Supply Chain Finance Investment Grade Fund and the Credit Suisse (Lux) Supply Chain Finance Fund. Notably, Credit Suisse indicated that investors in the funds should assume losses will be incurred. Additionally on April 4, 2022, Credit Suisse indicated in its Annual General Meeting that they expected that litigation will be necessary to reinforce claims against individual debtors and insurance companies and recovery is not expected to occur over the next 12 months for one of our funds. Therefore, we determined that one of our two funds should be classified as long-term as of March 31, 2022.

For the year ended March 31, 2021, Credit Suisse’s decision to liquidate funds in which the Company held short-term investments served as a trigger to evaluate the investments for impairment. Accordingly, we performed a qualitative assessment for impairment. As a result of this assessment, Quotient determined that an impairment was required. The Credit Suisse linked short-term investment asset with a carrying value of $110.3 million was written down to its estimated fair value of $108.0 million, resulting in an impairment of $2.3 million. Based on information shared by Credit Suisse in April 4, 2022, we determined that a further impairment of $1.0 million was required related to litigation costs incurred by Credit Suisse which Credit Suisse communicated would be deducted from investor recoveries. Impairments associated with CSAM were included in Other, net within our consolidated statements of comprehensive loss. The carrying value of the investments at March 31, 2022 was $18.1 million of which $2.6 million has been classified within short-term investments and $15.5 million has been classified as long-term investments.

The Company views the liquidation of the supply chain finance funds as a fluid situation with a significant amount of valuation uncertainty. The Company will closely monitor the situation and in the event that new information is released that provides valuation clarity, it will evaluate the accounting implications accordingly. The Company believes, and has advised Credit Suisse, that any losses on the supply chain funds, including recovery costs, should be borne by Credit Suisse. The Company will pursue all available options to recoup the full amount of its investment in the supply chain funds prior to liquidation.