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Fair Value Measurements
 12 Months Ended
Mar. 31, 2020
Fair Value Disclosures [Abstract]  
Fair Value Measurements

 Note 18 — Fair Value Measurements

 

The following table presents the fair value of the Company's financial liabilities that are measured at fair value on a recurring basis (in thousands):

 

   March 31, 2020 
   Fair   Hierarchy Level 
   Value   Level 1   Level 2   Level 3 
Liabilities:                
Bifurcated embedded derivative on senior secured convertible debentures  $524   $-   $-   $524 
Bifurcated embedded derivative on unsecured convertible note payable  $141   $-   $-   $141 

  

   March 31, 2019 
   Fair   Hierarchy Level 
   Value   Level 1   Level 2   Level 3 
Liabilities:                
Bifurcated embedded derivative on senior secured convertible debentures  $586   $-   $-   $586 

  

The following table presents a reconciliation of the Company's derivative instruments (in thousands):

 

   Amount 
Balance as of April 1, 2018  $- 
Additions - unsecured convertible note payable   263 
Total fair value adjustments reported in earnings   323 
Balance as of March 31, 2019   586 
Additions - unsecured convertible note payable   65 
Total fair value adjustments reported in earnings   14 
Balance as of March 31, 2020  $665 

 

Bifurcated embedded derivative on senior secured convertible debentures

 

At March 31, 2020, the Company performed a fair value analysis using a risk neutral model on the default event derivative instrument using the following significant unobservable input: Market yield: 27.4%. Significant increases or decreases in the market yield in isolation would result in a significantly lower or higher fair value measurement. The Company determined that as of the assessment date, the fair value is $0.5 million. The change in fair value of less than $0.1 million is recorded in other income (expense) on the Company's consolidated statements of operations for the year ended March 31, 2020.

 

At March 31, 2019, the Company performed a fair value analysis using a risk neutral model on the default event derivative instrument using the following significant unobservable input: Market yield: 16.8%. Significant increases or decreases in the market yield in isolation would result in a significantly lower or higher fair value measurement. The Company determined that as of the assessment date, the fair value was $0.6 million. The change in fair value of $0.3 million was recorded in other income (expense) on the Company's consolidated statements of operations at March 31, 2019.

 

Bifurcated embedded derivative on unsecured convertible note payable

 

At March 31, 2020, the Company performed a fair value analysis using a binomial lattice calculation on the derivative instruments using the following significant unobservable input Market yield: 43.9%. Significant increases or decreases in the market yield in isolation would result in a significantly lower or higher fair value measurement. The Company determined that as of the assessment date, the fair value is $0.1 million. The change in fair value of less than $0.1 million is recorded in other income (expense) on the Company's consolidated statements of operations for the year ended March 31, 2020.

 

The Company did not elect the fair value measurement option for the following financial assets and liabilities. The fair values of certain financial instruments and the hierarchy level the Company used to estimate the fair values are shown below (in thousands):

 

   March 31, 2020 
   Carrying   Hierarchy Level 
   Value   Level 1   Level 2   Level 3 
Assets:                
Cash and cash equivalents  $5,702   $5,702   $-   $- 
Restricted cash   6,735    6,735    -    - 
Liabilities:                    
Note payable   331    -    -    331 
Senior secured convertible debentures, net   8,701    -    -    9,254 
Unsecured convertible notes payable related party, net   5,114    -    -    4,451 
Unsecured convertible note payable   1,539    -    -    1,338 

 

   March 31, 2019 
   Carrying   Hierarchy Level 
   Value   Level 1   Level 2   Level 3 
Assets:                
Cash and cash equivalents  $13,704   $13,704   $-   $- 
Restricted cash   235    235    -    - 
Liabilities:                    
Note payable   312    -    -    312 
Senior secured convertible debentures, net   11,809    -    -    13,737 
Unsecured convertible notes payable, net   4,741    -    -    8,844 

 

The fair values of financial instruments not included in these tables are estimated to be equal to their carrying values as of March 31, 2020 and 2019. The Company's estimates of the fair values were determined using available market information and appropriate valuation methods. Considerable judgment is necessary to interpret market data and develop the estimated fair values.

 

Cash equivalents and restricted cash equivalents primarily consisted of short-term interest-bearing money market funds with maturities of less than 90 days and time deposits. The estimated fair values were based on available market pricing information of similar financial instruments.

 

Due to their short maturity, the carrying amounts of the Company's accounts receivable, accounts payable and accrued expenses approximated their fair values at March 31, 2020 and 2019.

 

The Company's outstanding debt is carried at cost, adjusted for discounts. The Company's note payable is not publicly traded and fair value is estimated to equal carrying value. The Company's debentures and unsecured convertible notes payable with fixed rates are not publicly traded and the Company has estimated fair values using a variety of valuation models and market rate assumptions detailed below. The debentures and unsecured convertible notes are valued using a binomial lattice model and a yield model with a Black-Scholes-Merton option pricing model, respectively.

 

The fair value of each of the debentures and unsecured convertible notes were determined using the following significant unobservable inputs:

 

   Year Ended March 31, 
   2020   2019 
Senior secured convertible debentures, net (binomial lattice model):        
Market yield   27.4%   16.8%
           
Unsecured convertible notes payable related party, net (yield model with a Black-Scholes-Merton option pricing model):          
Market yield   41.6%   23.2%
           
Unsecured convertible note payable (yield model with a Black-Scholes-Merton option pricing model):          
Market yield   43.9%   - 

   

Significant increases or decreases in the inputs noted above in isolation would result in a significantly lower or higher fair value measurement.