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Warrants and Derivative Liabilities | 6 Months Ended
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Sep. 30, 2015
Derivative Instruments And Hedging Activities Disclosure [Abstract] |
Warrants and Derivative Liabilities | 11. Warrants and Derivative Liabilities Senior Convertible Note Warrant On April 4, 2012, the Company entered into the Purchase Agreement with CVI. The Purchase Agreement included a warrant (the “Original Warrant”) to purchase 309,406 shares of the Company’s common stock. The Original Warrant is exercisable at any time on or after the date that is six months after the issuance of the Original Warrant and entitles CVI to purchase shares of the Company’s common stock for a period of five years from the initial date the original warrant becomes exercisable at an initial exercise price equal to $54.50 per share, subject to certain price-based and other anti-dilution adjustments. On October 9, 2013, the Company amended the Purchase Agreement with CVI (the “Amendment”). Pursuant to the Amendment, the Company exchanged the Original Warrant for a new warrant (the “Exchanged Warrant”), with a reduced exercise price of $26.10 per share of common stock. Other than the reduced exercise price, the Exchanged Warrant has the same terms and conditions as the Original Warrant. As a result of the sales of common stock under an At Market Sales Arrangement (“ATM”) and the 909,090 units, each consisting of one share of common stock and 0.90 of a warrant to purchase one share of common stock, sold to Hudson Bay Capital during the three months ended December 31, 2014, the exercise price of the Exchanged Warrant was further reduced to $22.10 per share. As a result of the April 2015 equity offering (See Note 12, “Stockholders Equity”), the exercise price of the Exchanged Warrant was further reduced to $15.94 per share. The Exchanged Warrant may not be exercised if, after giving effect to the conversion, CVI together with its affiliates, would beneficially own in excess of 4.99% of the Company’s common stock. This percentage may be raised to any other percentage not in excess of 9.99% at the option of CVI, upon at least 61-days prior notice to the Company, or lowered to any other percentage, at the option of CVI, at any time. The Company calculated the fair value of the Exchanged Warrant, (See Note 4, “Fair Value Measurements” for further discussion), utilizing an integrated lattice model. The lattice model is an option pricing model that involves the construction of a binomial tree to show the different paths that the underlying asset may take over the option’s life. A lattice model can take into account expected changes in various parameters such as volatility over the life of the options, providing more accurate estimates of option prices than the Black-Scholes model. The Company accounts for the Exchanged Warrant as a liability due to certain adjustment provisions within the warrant, which requires that it be recorded at fair value. The Exchanged Warrant is subject to revaluation at each balance sheet date and any change in fair value is recorded as a change in fair value of derivatives and warrants until the earlier of its expiration or its exercise at which time the warrant liability will be reclassified to equity. Following is a summary of the key assumptions used to calculate the fair value of the Exchanged Warrant:
| September 30, |  |  | June 30, |  |  |  |  |  |  |  |  |  |  |  |  |
Fiscal Year 15 | 2015 |  |  | 2015 |  |  |  |  |  |  |  |  |  |  |  |  |
Risk-free interest rate |  | 0.64 | % |  |  | 0.74 | % |  |  |  |  |  |  |  |  |  |  |  |
Expected annual dividend yield |  | — | % |  |  | — | % |  |  |  |  |  |  |  |  |  |  |  |
Expected volatility |  | 73.39 | % |  |  | 71.61 | % |  |  |  |  |  |  |  |  |  |  |  |
Term (years) | 2.01 |  |  | 2.26 |  |  |  |  |  |  |  |  |  |  |  |  |
Fair value | $0.1 million |  |  | $0.2 million |  |  |  |  |  |  |  |  |  |  |  |  |
| March 31, |  |  | December 31, |  |  | September 30, |  |  | June 30, |  |  | March 31, |
Fiscal Year 14 | 2015 |  |  | 2014 |  |  | 2014 |  |  | 2014 |  |  | 2014 |
Risk-free interest rate |  | 0.73 | % |  |  | 1.00 | % |  |  | 1.07 | % |  |  | 0.98 | % |  |  | 1.11 | %
Expected annual dividend yield |  | — | % |  |  | — | % |  |  | — | % |  |  | — | % |  |  | — | %
Expected volatility |  | 70.42 | % |  |  | 72.38 | % |  |  | 76.20 | % |  |  | 83.50 | % |  |  | 80.99 | %
Term (years) | 2.51 |  |  | 2.76 |  |  | 3.01 |  |  | 3.26 |  |  | 3.51 |
Fair value | $0.3 million |  |  | $0.5 million |  |  | $1.5 million |  |  | $2.3 million |  |  | $ 2.2 million |
The Company recorded a net gain, resulting from the decrease in the fair value of the Exchanged Warrant, of $0.1 million and $0.2 million to change in fair value of derivatives and warrants during the three and six months ended September 30, 2015, respectively. The Company recorded a net gain resulting from the decrease in the fair value of the Exchanged Warrant of $0.8 million, and $0.7 million to the change in fair value of derivatives and warrants during the three and six months ended September 30, 2014, respectively. Senior Secured Term Loan – First Warrant On June 5, 2012, the Company entered into the Loan and Security Agreement with Hercules. (See Note 10, “Debt,” for additional information regarding the Loan and Security Agreement.) In conjunction with this agreement, the Company issued the First Warrant to purchase 13,927 shares of the Company’s common stock. The First Warrant was exercisable at any time after its issuance and had an expiration date of December 5, 2017, at an initial exercise price equal to $35.90 per share subject to certain price-based and other anti-dilution adjustments. The exercise price was reduced to $19.50 per share in conjunction with entering into the New Term Loan B. An anti-dilution adjustment from the sale of 909,090 units, each consisting of one share of common stock and 0.90 of a warrant to purchase one share of common stock, to Hudson Bay Capital (See Note 12, “Stockholders Equity”), resulted in a reduction of the exercise price to $17.00 per share on November 13, 2014. The Hercules Second Amendment resulted in the cancellation of the First Warrant on December 19, 2014. The Company accounted for the First Warrant as a liability due to certain provisions within the warrant. The First Warrant was subject to revaluation at each balance sheet date and any change in fair value was recorded as a change in fair value of derivatives and warrants until the warrant was cancelled on December 19, 2014. 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, |  |  | March 31, |
Fiscal Year 14 | 2014 |  |  | 2014 |  |  | 2014 |  |  | 2014 |  |  | 2014 |
Risk-free interest rate |  | — | % |  |  | 1.10 | % |  |  | 1.13 | % |  |  | 1.04 | % |  |  | 1.18 | %
Expected annual dividend yield |  | — | % |  |  | — | % |  |  | — | % |  |  | — | % |  |  | — | %
Expected volatility |  | — | % |  |  | 67.01 | % |  |  | 78.30 | % |  |  | 82.75 | % |  |  | 80.73 | %
Term (years) | — |  |  |  | 2.96 |  |  |  | 3.18 |  |  |  | 3.43 |  |  |  | 3.68 |
Fair value | — |  |  | $ 0.1 million |  |  | $ 0.1 million |  |  | $ 0.1 million |  |  | $ 0.1 million |
The Company recorded no change in the fair value of the First Warrant during either of the three or six month periods ended September 30, 2014. Senior Secured Term Loan – Second Warrant On November 15, 2013, the Company amended the Loan and Security Agreement with Hercules and entered into the New Term Loan B. (See Note 10, “Debt,” for additional information regarding the New Term Loan B.) In conjunction with this agreement, the Company issued the Second Warrant to purchase 25,641 shares of the Company’s common stock. The Second Warrant was exercisable at any time after its issuance at an initial exercise price equal to $19.50 per share subject to certain price-based and other anti-dilution adjustments and had an expiration date of May 15, 2019. An anti-dilution adjustment due to the sale of 909,090 units, each consisting of one share of common stock and 0.90 of a warrant to purchase one share of common stock, to Hudson Bay Capital (See Note 12, “Stockholders Equity”), resulted in a reduction of the exercise price to $17.00 per share, on November 13, 2014. The Hercules Second Amendment resulted in the cancellation of the Second Warrant on December 19, 2014. The Company accounted for the Second Warrant as a liability due to certain provisions within the warrant. The Second Warrant was subject to revaluation at each balance sheet date and any change in fair value was recorded as a change in fair value of derivatives and warrants until the warrant was cancelled on December 19, 2014. 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, |  |  | March 31, |
Fiscal Year 14 | 2014 |  |  | 2014 |  |  | 2014 |  |  | 2014 |  |  | 2014 |
Risk-free interest rate |  | — | % |  |  | 1.65 | % |  |  | 1.65 | % |  |  | 1.57 | % |  |  | 1.76 | %
Expected annual dividend yield |  | — | % |  |  | — | % |  |  | — | % |  |  | — | % |  |  | — | %
Expected volatility |  | — | % |  |  | 71.82 | % |  |  | 78.10 | % |  |  | 80.00 | % |  |  | 79.73 | %
Term (years) | — |  |  |  | 4.41 |  |  |  | 4.62 |  |  |  | 4.87 |  |  |  | 5.12 |
Fair value | — |  |  | $0.1 million |  |  | $ 0.2 million |  |  | $ 0.3 million |  |  | $ 0.3 million |
The Company recorded a net gain, resulting from the decrease in the fair value of the Second Warrant of $0.1 million in each of the three and six months ended September 30, 2014. Senior Secured Term Loan - New Warrant On December 19, 2014, the Company entered into the Hercules Second Amendment and entered into the New Term Loan C. (See Note 10, “Debt” for additional information regarding the New Term Loan C). In conjunction with the agreement, the Company cancelled the First Warrant and Second Warrant, and issued the Warrant to purchase 58,823 shares of the Company’s common stock. The Warrant is exercisable at any time after its issuance at an initial exercise price of $11.00 per share, subject to certain price-based and other anti-dilution adjustments, and expires on June 30, 2020. As a result of the equity offering on April 29, 2015, (See Note 12, “Stockholders Equity”) the exercise price of the Warrant was reduced to $9.41 per share. The Company accounts for the Warrant as a liability due to certain provisions within the Warrant. The Warrant is subject to revaluation at each balance sheet date and any change in fair value is recorded as a change in fair value of derivatives and warrants until the earlier of its expiration or its exercise, at which time the warrant liability will be reclassified to equity. Following is a summary of the key assumptions used to calculate the fair value of the Warrant:
| September 30, |  |  | June 30, |  |  |  |  |
Fiscal Year 15 | 2015 |  |  | 2015 |  |  |  |  |
Risk-free interest rate |  | 1.31 | % |  |  | 1.63 | % |  |  |  |
Expected annual dividend yield |  | — | % |  |  | — | % |  |  |  |
Expected volatility |  | 75.32 | % |  |  | 72.57 | % |  |  |  |
Term (years) |  | 4.75 |  |  |  | 5.00 |  |  |  |  |
Fair value | $0.1 million |  |  | $0.2 million |  |  |  |  |
|  |  |  |  |  |  |  |  | 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 |
The Company recorded a change in the fair value of the Warrant, resulting in a gain of less than $0.1 million in the three months ended September 30, 2015, and $0.1 million in the six months ended September 30, 2015. November 2014 Warrant On November 13, 2014, the Company completed an offering of approximately 909,090 units of the Company’s common stock with Hudson Bay Capital. (See Note 12, “Stockholder’s Equity”, for further information). Each unit consisted of one share of the Company’s common stock and 0.9 of a warrant to purchase one share of common stock, or a warrant to purchase in the aggregate 818,181 shares (the “November 2014 Warrant”). The November 2014 Warrant is exercisable at any time, at an initial exercise price equal to $11.00 per share, subject to certain price-based and other anti-dilution adjustments, and expires on November 13, 2019. As a result of the April 2015 equity offering, the exercise price of the November 2014 Warrant was reduced to $9.41 per share. The Company accounts for the November 2014 Warrant as a liability due to certain provisions within the warrant. The November 2014 Warrant is subject to revaluation at each balance sheet date and any change in fair value is recorded as a change in fair value of derivatives and warrants until the earlier of its expiration or its exercise, at which time the warrant liability will be reclassified to equity. Following is a summary of the key assumptions used to calculate the fair value of the November 2014 Warrant:
| September 30, |  |  | June 30, |  |  |  |  |
Fiscal Year 15 | 2015 |  |  | 2015 |  |  |  |  |
Risk-free interest rate |  | 1.17 | % |  |  | 1.44 | % |  |  |  |
Expected annual dividend yield |  | — | % |  |  | — | % |  |  |  |
Expected volatility |  | 73.02 | % |  |  | 74.18 | % |  |  |  |
Term (years) |  | 4.12 |  |  |  | 4.37 |  |  |  |  |
Fair value | $1.3 million |  |  | $1.8 million |  |  |  |  |
|  |  |  |  |  |  |  |  | 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 |
The Company recorded decreases in the fair value of the November 2014 Warrant, resulting in gains of $0.5 million and $1.2 million in the three and six months ended September 30, 2015, respectively. The Company prepared its estimates for the assumptions used to determine the fair value of the warrants issued in conjunction with both the Exchanged Note and the Term Loans, as well as the November 2014 Warrant utilizing the respective terms of the warrants with similar inputs, as described above.

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