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Fair value measurement (Tables)
 3 Months Ended
Jun. 30, 2022
Fair Value Disclosures [Abstract]  
Summary of Assets and Liabilities Measured at Fair Value on Recurring Basis

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:

 

 

 

June 30, 2022

 

 

 

Level 1

 

 

Level 2

 

 

Level 3

 

 

Total

 

Assets:

 

 

 

 

 

 

 

 

 

 

 

 

Pension plan assets(1)

 

$

—

 

 

$

24,911

 

 

$

—

 

 

$

24,911

 

Total assets measured at fair value

 

$

—

 

 

$

24,911

 

 

$

—

 

 

$

24,911

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

Convertible loan derivatives(2)

 

 

—

 

 

 

2,297

 

 

 

—

 

 

 

2,297

 

Debt related Consent Warrants(3)

 

 

—

 

 

 

436

 

 

 

—

 

 

 

436

 

Debt related Consent Shares

 

 

15

 

 

 

—

 

 

 

—

 

 

 

15

 

Total liabilities measured at fair value

 

$

15

 

 

$

2,733

 

 

$

—

 

 

$

2,748

 

 

 

 

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

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

Convertible loan derivatives(2)

 

 

—

 

 

 

11,858

 

 

 

—

 

 

 

11,858

 

Debt related Consent Warrants(3)

 

 

—

 

 

 

1,657

 

 

 

—

 

 

 

1,657

 

Debt related Consent Shares

 

 

77

 

 

 

—

 

 

 

—

 

 

 

77

 

Total liabilities measured at fair value

 

$

77

 

 

$

13,515

 

 

$

—

 

 

$

13,592

 
(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 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.
(3)
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.