Fair Value Measurements (Tables)

9 Months Ended

Dec. 31, 2016

Schedule of Assets and Liabilities Measured at Fair Value on a Recurring Basis

The following table sets forth the Company’s assets and liabilities that are measured at fair value on a recurring basis as of December 31, 2016 and March 31, 2016, by level, within the fair value hierarchy:



	As of December 31, 2016								As of March 31, 2016
(in thousands)
	Quoted Prices in Active Markets for Identical Assets (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)		Balance as of December 31, 2016		Quoted Prices in Active Markets for Identical Assets (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)		Balance as of March 31, 2016
Assets:
Total assets at fair value	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	—
Liabilities:
Warrant liability	$	—	$	—	$	1,655	$	1,655	$	—	$	—	$	—	$	—
Total liabilities at fair value	$	—	$	—	$	1,655	$	1,655	$	—	$	—	$	—	$	—

Schedule of Significant Unobservable Inputs

The fair value of our warrant liability as of December 31, 2016 was calculated using the following significant unobservable inputs:



Input	Range or Point Estimate Used
Projected time frame to an equity financing	January 2017 - April 2017
Probability of a successful equity financing	2.0	%
Annualized equity volatility	73.4%
Risk-free interest rate	0.44% - 0.55%

Schedule of Changes in Fair Value of Level 3 Warrant Liability

The changes in fair value of the Company’s Level 3 warrant liability during the nine months ended December 31, 2016 were as follows (in thousands):



Balance at March 31, 2016	$	—
Fair value of the warrant liability issued	5,377
Changes in the fair value of the warrant liability, included in net loss	28,815
Settlements	(32,537		)
Balance at December 31, 2016	$	1,655