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Fair Value Measurements (Tables) | 12 Months Ended
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Mar. 31, 2020
Fair Value Disclosures [Abstract] |
Fair Value, Liabilities Measured on Recurring and Nonrecurring Basis | 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 as of September 28, 2016
Financial Liabilities |  |  |  |  |  |  |  |
Convertible note embedded derivative liability |  | $ | — |  |  | $ | — |  |  | $ | 3,693 |  |  | $ | 3,693 |
Warrant liability |  | — |  |  | — |  |  | 1,223 |  |  | 1,223 |
Total |  | $ | — |  |  | $ | — |  |  | $ | 4,916 |  |  | $ | 4,916 |
As of March 31, 2020, and 2019 the Company’s financial assets and financial liabilities are presented below at fair value and were classified within the fair value hierarchy as follows (in thousands):
|  | Level 1 |  | Level 2 |  | Level 3 |  | Balance as of March 31, 2020
Financial Liabilities |  |  |  |  |  |  |  |
Convertible note embedded derivative liability |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |
Warrant liability |  | — |  |  | — |  |  | — |  |  | — |
Total |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |
|  | Level 1 |  | Level 2 |  | Level 3 |  | Balance as of March 31, 2019
Financial Liabilities |  |  |  |  |  |  |  |
Convertible note embedded derivative liability |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |
Warrant liability |  | — |  |  | — |  |  | 8,013 |  |  | 8,013 |
Total |  | $ | — |  |  | $ | — |  |  | $ | 8,013 |  |  | $ | 8,013 |
Fair Value of Options Granted Using the Black-Scholes Option-Pricing Model | The market-based assumptions and estimates used in valuing the warrant liability include amounts in the following amounts:
| March 31, 2020
Stock price volatility | 60 | %
Stock price (per share) | $4.18
Expected term | 0.50 years |
Risk-free rate (1) | 0.17 | %
(1) The Black Scholes model assumes the continuously compounded equivalent (CCE) interest rate of 0.17% based on the 1-year U.S. Treasury securities as of the valuation date. The market-based assumptions and estimates used in valuing the convertible note embedded derivative liability include amounts in the following amounts:
| March 31, 2019
Stock price volatility | 60 | %
Stock price (per share) | $4.18
Expected term | 0.50 years |
Risk-free rate (1) | 0.17 | %
(1) The Black Scholes model assumes the continuously compounded equivalent (CCE) interest rate of 0.17% based on the 1-year U.S. Treasury securities as of the valuation date. The assumptions utilized in this model during fiscal years 2020, 2019, and 2018 are presented below.
|  | Year ended March 31,
|  | 2020 |  | 2019 |  | 2018
Risk-free interest rate |  | 0.64% to 2.25% |  | 2.38% to 2.96% |  | 1.77% to 2.73%
Expected life of the options |  | 5.02 to 9.83 years |  | 5.52 to 9.19 years |  | 5.65 to 9.84 years
Expected volatility |  | 64% to 66% |  | 66% |  | 66% to 73%
Expected dividend yield |  | —% |  | —% |  | —%
Expected forfeitures |  | 29% |  | 29% |  | 28% to 29%
Fair Value, Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation | 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 |  | 9,580 |
De-recognition of liability upon exercise |  | (17,593 | )
Balance at March 31, 2020 |  | $ | — |

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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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