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Fair Value Measurements (Tables) | 6 Months Ended
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Sep. 30, 2019
Fair Value Disclosures [Abstract] |
Schedule of Financial Assets and Liabilities Measured at Fair Value | The Company’s financial liabilities as of the issuance date of the convertible notes on the initial measurement date of September 28, 2016 are presented below at fair value and were classified within the fair value hierarchy as follows:
|  | Level 1 |  | Level 2 |  | Level 3 |  | Balance at Inception
Financial Liabilities |  |  |  |  |  |  |  |
Convertible note embedded derivative liability |  | $ | — |  |  | $ | — |  |  | $ | 3,693 |  |  | $ | 3,693 |
Warrant liability |  | — |  |  | — |  |  | 1,223 |  |  | 1,223 |
Total |  | $ | — |  |  | $ | — |  |  | $ | 4,916 |  |  | $ | 4,916 |
s of September 30, 2019 and March 31, 2019, the Company’s financial liability presented below at fair value was classified within the fair value hierarchy as follows:
|  | Level 1 |  | Level 2 |  | Level 3 |  | Balance as of September 30, 2019
|  |  |  |  |  |  |  | (Unaudited)
Financial Liabilities |  |  |  |  |  |  |  |
Warrant liability |  | $ | — |  |  | $ | — |  |  | $ | 8,375 |  |  | $ | 8,375 |
Total |  | $ | — |  |  | $ | — |  |  | $ | 8,375 |  |  | $ | 8,375 |
|  | Level 1 |  | Level 2 |  | Level 3 |  | Balance as of March 31, 2019
Financial Liabilities |  |  |  |  |  |  |  |
Warrant liability |  | $ | — |  |  | $ | — |  |  | $ | 8,013 |  |  | $ | 8,013 |
Total |  | $ | — |  |  | $ | — |  |  | $ | 8,013 |  |  | $ | 8,013 |
Reconciliation of Financial Liabilities Measured at Fair Value | The following table provides a reconciliation of the beginning and ending balances for the warrant liability measured at fair value using significant unobservable inputs (Level 3):
|  | Level 3
Balance at March 31, 2019 |  | $ | 8,013 |
Change in fair value of warrant liability |  | 9,731 |
De-recognition on exercises |  | (9,369 | )
Balance at September 30, 2019 |  | $ | 8,375 |
Schedule of Market-based Assumptions | The market-based assumptions and estimates used in valuing the warrant liability include the following:
| September 30, 2019
Stock price volatility | 60 | %
Stock price (per share) | $6.45
Expected term | 0.98 years |
Risk-free rate (1) | 1.75 | %
(1) The Black-Scholes model assumes the continuously compounded equivalent (CCE) interest rate of 1.75% based on the average of the 1-year and 2-year U.S. Treasury securities as of the valuation date. The assumptions utilized in this model for options granted during the six months ended September 30, 2019 are presented below.
|  | September 30, 2019
Risk-free interest rate |  | 1.67% to 2.25%
Expected life of the options |  | 5.35 to 9.64 years
Expected volatility |  | 65% to 66%
Expected dividend yield |  | —%
Expected forfeitures |  | 27% to 29%

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- Definition Tabular disclosure of input and valuation technique used to measure fair value and change in valuation approach and technique for each separate class of asset and liability measured on recurring and nonrecurring basis. + References Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 2 -Subparagraph (bbb) -URI http://asc.fasb.org/extlink&oid=117815213&loc=d3e19207-110258 + Details
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- Definition Tabular disclosure of liabilities measured at fair value measured on a recurring or nonrecurring basis. Includes, but is not limited to, fair value measurements recorded and the reasons for the measurements, level within the fair value hierarchy in which the fair value measurements are categorized and transfers between levels 1 and 2. + References Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 2 -Subparagraph (a) -URI http://asc.fasb.org/extlink&oid=117815213&loc=d3e19207-110258 Reference 2: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 2 -Subparagraph (b) -URI http://asc.fasb.org/extlink&oid=117815213&loc=d3e19207-110258 + Details
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- Definition Tabular disclosure of the fair value measurement of liabilities using significant unobservable inputs (Level 3), a reconciliation of the beginning and ending balances, separately presenting changes attributable to the following: (1) total gains or losses for the period (realized and unrealized), segregating those gains or losses included in earnings (or changes in net assets), and gains or losses recognized in other comprehensive income (loss) and a description of where those gains or losses included in earnings (or changes in net assets) are reported in the statement of income (or activities); (2) purchases, sales, issues, and settlements (each type disclosed separately); and (3) transfers in and transfers out of Level 3 (for example, transfers due to changes in the observability of significant inputs) by class of liability. + References Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 2 -Subparagraph (c) -URI http://asc.fasb.org/extlink&oid=117815213&loc=d3e19207-110258 Reference 2: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 3 -URI http://asc.fasb.org/extlink&oid=117815213&loc=d3e19279-110258 + Details
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