XML 41 R37.htm IDEA: XBRL DOCUMENT v2.4.1.9
Warrants and Derivative Liabilities (Tables)
12 Months Ended
Mar. 31, 2015
Class Of Warrant Or Right [Line Items]  
Schedule of Fair Value Assumptions Used to Calculate Value of Convertible Note Derivative Feature

Following is a summary of the key assumptions used to value the convertible notes derivative features:

 

March 31,

 

 

December 31,

 

 

September 30,

 

 

June 30,

 

 

 

 

 

 

 

 

 

 

 

 

 

Fiscal Year 13

2014

 

 

2013

 

 

2013

 

 

2013

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Principal outstanding (000's)

$                  —

 

 

$

10,411

 

 

$

10,411

 

 

$

14,389

 

 

 

 

 

 

 

 

 

 

 

 

 

Stock price

N/A

 

 

$

16.40

 

 

$

23.40

 

 

$

26.40

 

 

 

 

 

 

 

 

 

 

 

 

 

Percentage volume condition met

— %

 

 

 

87.20

%

 

 

80.20

%

 

 

87.50

%

 

 

 

 

 

 

 

 

 

 

 

 

Expected volatility

— %

 

 

 

68.63

%

 

 

66.26

%

 

 

65.80

%

 

 

 

 

 

 

 

 

 

 

 

 

Risk free rate

— %

 

 

 

0.12

%

 

 

0.10

%

 

 

0.21

%

 

 

 

 

 

 

 

 

 

 

 

 

Bond yield

— %

 

 

 

16.50

%

 

 

15.50

%

 

 

16.70

%

 

 

 

 

 

 

 

 

 

 

 

 

Recovery rate

— %

 

 

 

35.00

%

 

 

35.00

%

 

 

37.00

%

 

 

 

 

 

 

 

 

 

 

 

 

Redeemable

N/A

 

 

yes

 

 

yes

 

 

yes

 

 

 

 

 

 

 

 

 

 

 

 

 

Total time (years)

 

 

 

0.75

 

 

 

1.00

 

 

 

1.26

 

 

 

 

 

 

 

 

 

 

 

 

 

Dilution effect

N/A

 

 

yes

 

 

yes

 

 

yes

 

 

 

 

 

 

 

 

 

 

 

 

 

Fair value

$                  —

 

 

$                  —

 

 

$ 0.2 million

 

 

$ 0.5 million

 

 

 

 

 

 

 

 

 

 

 

 

 

Fair value as a percent of par

— %

 

 

 

0.02

%

 

 

0.70

%

 

 

3.30

%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Post-modification

 

 

Pre-modification

 

 

 

 

 

 

 

 

 

 

 

 

 

 

March 31,

 

 

December 31,

 

 

December 20,

 

 

December 20,

 

 

September 30,

 

 

June 30,

 

 

April 4,

 

Fiscal Year 12

2013

 

 

2012

 

 

2012

 

 

2012

 

 

2012

 

 

2012

 

 

2012

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Principal outstanding (000's)

$

15,380

 

 

$

20,944

 

 

$

20,944

 

 

$

24,074

 

 

$

24,074

 

 

$

25,000

 

 

$

25,000

 

Stock price

$

26.70

 

 

$

26.20

 

 

$

29.50

 

 

$

29.50

 

 

$

41.50

 

 

$

46.80

 

 

$

39.70

 

Percentage volume condition met

 

80.50

%

 

 

94.50

%

 

 

94.90

%

 

 

28.60

%

 

 

51.00

%

 

 

75.20

%

 

 

85.90

%

Expected volatility

 

66.91

%

 

 

73.50

%

 

 

72.50

%

 

 

72.50

%

 

 

70.00

%

 

 

71.00

%

 

 

75.00

%

Risk free rate

 

0.20

%

 

 

0.23

%

 

 

0.25

%

 

 

0.25

%

 

 

0.23

%

 

 

0.33

%

 

 

0.44

%

Bond yield

 

16.50

%

 

 

16.50

%

 

 

16.50

%

 

 

16.50

%

 

 

15.00

%

 

 

16.00

%

 

 

15.00

%

Recovery rate

 

30.00

%

 

 

30.00

%

 

 

30.00

%

 

 

30.00

%

 

 

30.00

%

 

 

30.00

%

 

 

30.00

%

Redeemable

yes

 

 

yes

 

 

yes

 

 

yes

 

 

yes

 

 

yes

 

 

yes

 

Total time (years)

 

1.51

 

 

 

1.76

 

 

 

1.79

 

 

 

1.79

 

 

 

2.01

 

 

 

2.28

 

 

 

2.50

 

Dilution effect

yes

 

 

yes

 

 

yes

 

 

yes

 

 

yes

 

 

yes

 

 

yes

 

Fair value

$ 0.5 million

 

 

$ 1.0 million

 

 

$ 1.5 million

 

 

$ 0.9 million

 

 

$ 2.8 million

 

 

$ 4.5 million

 

 

$ 3.8 million

 

Fair value as a percent of par

 

3.40

%

 

 

4.90

%

 

 

7.10

%

 

 

3.90

%

 

 

11.40

%

 

 

17.90

%

 

 

15.10

%

 

Senior Secured Term Loan Second Warrant  
Class Of Warrant Or Right [Line Items]  
Schedule of Assumptions Used to Calculate the Fair Value of Warrants

Following is a summary of the key assumptions used to calculate the fair value of the Second Warrant:

 

 

 

 

 

 

Pre-Exchange

 

 

 

 

 

 

 

 

 

 

December 31,

 

 

December 19,

 

 

September 30,

 

 

June 30,

 

Fiscal Year 14

2014

 

 

2014

 

 

2014

 

 

2014

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Risk-free interest rate

 

%

 

 

1.65

%

 

 

1.65

%

 

 

1.57

%

Expected annual dividend yield

 

%

 

 

%

 

 

%

 

 

%

Expected volatility

 

%

 

 

71.82

%

 

 

78.10

%

 

 

80.00

%

Term  (years)

 

 

 

4.41

 

 

 

4.62

 

 

 

4.87

 

Fair value

 

 

$0.1 million

 

 

$ 0.2 million

 

 

$ 0.3 million

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

New Issuance

 

 

 

 

 

 

March 31,

 

 

December 31,

 

 

November 15,

 

 

 

 

 

Fiscal Year 13

2014

 

 

2013

 

 

2013

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Risk-free interest rate

 

1.76

%

 

 

1.89

%

 

 

1.55

%

 

 

 

 

Expected annual dividend yield

 

%

 

 

%

 

 

%

 

 

 

 

Expected volatility

 

79.73

%

 

 

80.37

%

 

 

76.97

%

 

 

 

 

Term  (years)

 

5.12

 

 

 

5.37

 

 

 

5.49

 

 

 

 

 

Fair value

$ 0.3 million

 

 

$ 0.3 million

 

 

$ 0.3 million

 

 

 

 

 

 

Senior Secured Term Loan New Warrant  
Class Of Warrant Or Right [Line Items]  
Schedule of Assumptions Used to Calculate the Fair Value of Warrants

Following is a summary of the key assumptions used to calculate the fair value of the Warrant:

 

 

 

 

 

 

 

 

 

 

New Issuance

 

 

March 31,

 

 

December 31,

 

 

December 19,

 

Fiscal Year 14

2015

 

 

2014

 

 

2014

 

 

 

 

 

 

 

 

 

 

 

 

 

Risk-free interest rate

 

1.41

%

 

 

1.73

%

 

 

1.74

%

Expected annual dividend yield

 

%

 

 

%

 

 

%

Expected volatility

 

74.60

%

 

 

77.43

%

 

 

70.26

%

Term  (years)

 

5.25

 

 

 

5.50

 

 

 

5.53

 

Fair value

$0.2 million

 

 

$0.2 million

 

 

$0.2 million

 

 

November 2014 Warrant  
Class Of Warrant Or Right [Line Items]  
Schedule of Assumptions Used to Calculate the Fair Value of Warrants

Following is a summary of the key assumptions used to calculate the fair value of the November 2014 Warrant:

 

 

 

 

 

 

 

 

 

New Issuance

 

 

March 31,

 

 

December 31,

 

 

November 13,

 

Fiscal Year 14

2015

 

 

2014

 

 

2014

 

 

 

 

 

 

 

 

 

 

 

 

 

Risk-free interest rate

 

1.28

%

 

 

1.61

%

 

 

1.64

%

Expected annual dividend yield

 

%

 

 

%

 

 

%

Expected volatility

 

75.96

%

 

 

78.00

%

 

 

72.86

%

Term  (years)

 

4.62

 

 

 

4.87

 

 

 

5.00

 

Fair value

$2.5 million

 

 

$3.2 million

 

 

$4.3 million

 

 

Loan and Security Agreement  
Class Of Warrant Or Right [Line Items]  
Schedule of Assumptions Used to Calculate the Fair Value of Warrants

Following is a summary of the key assumptions used to calculate the fair value of the First Warrant:

 

 

 

 

 

 

Pre-Exchange

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

December 31,

 

 

December 19,

 

 

September 30,

 

 

June 30,

 

 

 

 

 

 

 

 

 

Fiscal Year 14

2014

 

 

2014

 

 

2014

 

 

2014

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Risk-free interest rate

 

%

 

 

1.10

%

 

 

1.13

%

 

 

1.04

%

 

 

 

 

 

 

 

 

Expected annual dividend yield

 

%

 

 

%

 

 

%

 

 

%

 

 

 

 

 

 

 

 

Expected volatility

 

%

 

 

67.01

%

 

 

78.30

%

 

 

82.75

%

 

 

 

 

 

 

 

 

Term  (years)

 

 

 

2.96

 

 

 

3.18

 

 

 

3.43

 

 

 

 

 

 

 

 

 

Fair value

 

 

$ 0.1 million

 

 

$ 0.1 million

 

 

$ 0.1 million

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Post-modification

 

 

Pre-modification

 

 

 

 

 

 

 

 

 

 

March 31,

 

 

December 31,

 

 

November 15,

 

 

November 15,

 

 

September 30,

 

 

June 30,

 

Fiscal Year 13

2014

 

 

2013

 

 

2013

 

 

2013

 

 

2013

 

 

2013

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Risk-free interest rate

 

1.18

%

 

 

1.24

%

 

 

1.00

%

 

 

1.00

%

 

 

1.09

%

 

 

1.20

%

Expected annual dividend yield

 

%

 

 

%

 

 

%

 

 

%

 

 

%

 

 

%

Expected volatility

 

80.73

%

 

 

74.79

%

 

 

72.64

%

 

 

72.64

%

 

 

72.10

%

 

 

72.30

%

Term  (years)

 

3.68

 

 

 

3.93

 

 

 

4.05

 

 

 

4.05

 

 

 

4.18

 

 

 

4.43

 

Fair value

$ 0.1 million

 

 

$ 0.1 million

 

 

$ 0.1 million

 

 

$ 0.1 million

 

 

$ 0.2 million

 

 

$ 0.2 million

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

March 31,

 

 

December 31,

 

 

September 30,

 

 

June 30,

 

 

June 5,

 

 

 

 

 

Fiscal Year 12

2013

 

 

2012

 

 

2012

 

 

2012

 

 

2012

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Risk-free interest rate

 

0.70

%

 

 

0.75

%

 

 

0.64

%

 

 

0.80

%

 

 

0.77

%

 

 

 

 

Expected annual dividend yield

 

%

 

 

%

 

 

%

 

 

%

 

 

%

 

 

 

 

Expected volatility

 

72.01

%

 

 

80.14

%

 

 

81.18

%

 

 

80.32

%

 

 

79.99

%

 

 

 

 

Term  (years)

 

4.68

 

 

 

4.93

 

 

 

5.18

 

 

 

5.44

 

 

 

5.50

 

 

 

 

 

Fair value

$ 0.2 million

 

 

$ 0.2 million

 

 

$ 0.4 million

 

 

$ 0.5 million

 

 

$ 0.4 million

 

 

 

 

 

 

Securities Purchase Agreement  
Class Of Warrant Or Right [Line Items]  
Schedule of Assumptions Used to Calculate the Fair Value of Warrants

Following is a summary of the key assumptions used to calculate the fair value of the warrant:

 

March 31,

 

 

December 31,

 

 

September 30,

 

 

June 30,

 

 

 

 

 

 

 

 

 

Fiscal Year 14

2015

 

 

2014

 

 

2014

 

 

2014

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Risk-free interest rate

 

0.73

%

 

 

1.00

%

 

 

1.07

%

 

 

0.98

%

 

 

 

 

 

 

 

 

Expected annual dividend yield

 

%

 

 

%

 

 

%

 

 

%

 

 

 

 

 

 

 

 

Expected volatility

 

70.42

%

 

 

72.38

%

 

 

76.20

%

 

 

83.50

%

 

 

 

 

 

 

 

 

Term  (years)

2.51

 

 

2.76

 

 

3.01

 

 

3.26

 

 

 

 

 

 

 

 

 

Fair value

$0.3 million

 

 

$0.5 million

 

 

$1.5 million

 

 

$2.3 million

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Post-modification

 

 

Pre-modification

 

 

 

 

 

 

 

 

 

 

March 31,

 

 

December 31,

 

 

October 9,

 

 

October 9,

 

 

September 30,

 

 

June 30,

 

Fiscal Year 13

2014

 

 

2013

 

 

2013

 

 

2013

 

 

2013

 

 

2013

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Risk-free interest rate

 

1.11

%

 

 

1.17

%

 

 

1.05

%

 

 

1.05

%

 

 

1.02

%

 

 

1.13

%

Expected annual dividend yield

 

%

 

 

%

 

 

%

 

 

%

 

 

%

 

 

%

Expected volatility

 

80.99

%

 

 

75.60

%

 

 

71.45

%

 

 

71.45

%

 

 

71.98

%

 

 

71.90

%

Term  (years)

3.51

 

 

3.76

 

 

3.99

 

 

3.99

 

 

 

4.01

 

 

 

4.27

 

Fair value

$ 2.2 million

 

 

$ 2.2 million

 

 

$ 3.2 million

 

 

$ 2.2 million

 

 

$ 2.5 million

 

 

$ 3.0 million

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

March 31,

 

 

December 31,

 

 

September 30,

 

 

June 30,

 

 

April 4,

 

 

 

 

 

Fiscal Year 12

2013

 

 

2012

 

 

2012

 

 

2012

 

 

2012

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Risk-free interest rate

 

0.67

%

 

 

0.75

%

 

 

0.63

%

 

 

0.77

%

 

 

1.19

%

 

 

 

 

Expected annual dividend yield

 

%

 

 

%

 

 

%

 

 

%

 

 

%

 

 

 

 

Expected volatility

 

71.74

%

 

 

80.60

%

 

 

80.90

%

 

 

80.80

%

 

 

80.00

%

 

 

 

 

Term  (years)

 

4.51

 

 

 

4.76

 

 

 

5.01

 

 

 

5.28

 

 

 

5.50

 

 

 

 

 

Fair value

$ 3.4 million

 

 

$ 4.4 million

 

 

$ 7.1 million

 

 

$ 8.6 million

 

 

$ 7.0 million