Fair value of financial assets and liabilities

12 Months Ended

Mar. 31, 2020

Fair value of financial assets and liabilities

Fair value of financial assets and liabilities

3.            Fair value of financial assets and liabilities

The following tables present information about the Company’s financial assets and liabilities measured at fair value on a recurring basis:

	Fair Value Measurements
	as of March 31, 2020 Using:
	Level 1		Level 2		Level 3		Total
Assets
Money market funds	$	—	$	36,712	$	—	$	36,712
Commercial paper		—		21,884		—		21,884
US Treasury bonds		—		35,810		—		35,810
US Government Agency bonds		—		15,295		—		15,295
Corporate debt securities		—		36,066		—		36,066
	$	—	$	145,767	$	—	$	145,767

	Fair Value Measurements
	as of March 31, 2019 Using:
	Level 1		Level 2		Level 3		Total
Assets
Money market funds	$	—	$	2,676	$	—	$	2,676
Commercial paper		—		46,687		—		46,687
US Government Agency bonds		—		20,884		—		20,884
US Treasury bonds		—		41,057		—		41,057
Corporate debt securities		—		8,467		—		8,467
	$	—	$	119,771	$	—	$	119,771

During the years ended March 31, 2020 and 2019, there were no transfers  between levels.

Valuation of cash equivalents and short‑term investments

Money market funds, commercial paper, U.S. Treasury bonds, U.S. Government Agency bonds and corporate debt securities were valued by the Company using quoted prices in active markets for similar securities, which represent a Level 2 measurement within the fair value hierarchy.  Cash equivalents consisted of money market funds at March 31, 2020. Cash equivalents consisted of money market funds, U.S. Treasury bonds, and U.S. Government Agency Bonds at March 31, 2019.

Valuation of warrant liability

The warrant liability is related to the warrants to purchase shares of series seed preferred stock (see Note 8). The fair value of the warrant liability was determined based on significant inputs not observable in the market, which represents a Level 3 measurement within the fair value hierarchy. Upon the closing of the IPO in July 2018, the warrant to purchase shares of the Company’s series seed convertible preferred stock was converted into a warrant to purchase shares of the Company’s common stock. As a result, the warrant liability was remeasured a final time on the closing date of the IPO and reclassified to stockholders’ equity (deficit).

The Company used the Black‑Scholes option‑pricing model, which incorporated assumptions and estimates, to value the warrant liability. Key estimates and assumptions impacting the fair value measurement include (i) the expected term of the warrants, (ii) the risk‑free interest rate, (iii) the expected dividend yield, (iv) expected volatility of the price of the underlying series seed preferred stock and (v) the fair value of the series seed preferred stock on the valuation date. The Company estimated the fair value per share of the underlying series seed preferred stock based, in part, on the results of third‑party valuations and additional factors deemed relevant. The risk‑free interest rate was determined by reference to the U.S. Treasury yield curve for time periods approximately equal to the remaining contractual term of the warrants. The Company estimated a 0% expected dividend yield based on the fact that the Company has never paid or declared dividends and does not intend to do so in the foreseeable future. Prior to July 2018, the Company was a private company and accordingly, lacked company‑specific historical and implied volatility information of its stock, the expected stock volatility was based on the historical volatility of publicly traded peer companies for a term equal to the remaining expected term of the warrants.

Based on the terms and conditions of the warrant, upon closing of the Company’s IPO in July 2018, the warrant to purchase shares of the Company’s series seed convertible preferred stock was converted into a warrant to purchase shares of the Company’s common stock. On that date, the Company remeasured the warrant liability to fair value and reclassified the total carrying value to additional paid-in capital. The Company performed the final remeasurement of the warrant liability using the IPO price of $15.00 per share and recorded the change in fair value as a component of total other income (expense), net in the consolidated statement of operations.

The following assumptions were used to measure the fair market value of the warrant liability upon the conversion date:

		Year Ended
		March 31, 2019
Risk-free interest rate		2.81	%
Expected term (in years)		7.2
Expected volatility		64.4	%
Expected dividend yield		0	%
Fair value of series seed preferred stock	$	15.00

The following table presents a roll forward of the warrant liability:

	Warrant
	Liability
Balance at March 31, 2018	$	1,642
Change in fair value		5,452
Conversion of convertible preferred stock warrant into common stock warrant		(7,094)
Balance at March 31, 2019	$	—