Fair Value Measurements

12 Months Ended

Mar. 31, 2024

Fair Value Disclosures [Abstract]

Fair Value Measurements

FAIR VALUE MEASUREMENTS

Factors used in determining the fair value of financial assets and liabilities are summarized into three broad categories:

•Level 1 - observable inputs such as quoted prices (unadjusted) in active liquid markets for identical securities as of the reporting date;

•Level 2 - other significant directly or indirectly observable inputs, including quoted prices for similar securities, interest rates, prepayment speeds and credit risk; or observable market prices in markets with insufficient volume and/or infrequent transactions; and

•Level 3 - significant inputs that are generally unobservable inputs for which there is little or no market data available, including our own assumptions in determining fair value.

We did not have any assets measured at fair value on a recurring basis as of March 31, 2024 or 2023. Liabilities measured at fair value on a recurring basis were as follows (in thousands):

	March 31, 2024
	Level 1		Level 2		Level 3		Total
Liabilities:
Common Warrants	$	—	$	—	$	50	$	50
Total liabilities at fair value	$	—	$	—	$	50	$	50

	March 31, 2023
	Level 1		Level 2		Level 3		Total
Liabilities:
Derivatives
Foreign currency forward contracts	$	—	$	141	$	—	$	141
Total liabilities at fair value	$	—	$	141	$	—	$	141

We did not have any changes to our valuation techniques during any periods presented.

The fair value of our foreign currency forward contracts was calculated as the present value of estimated future cash flows using discount factors derived from relevant Level 2 market inputs, including forward curves and volatility levels.

The carrying value of our debt approximates its fair value and falls under Level 2 of the fair value hierarchy, as the interest rate is variable and based on current market rates.

We determined the fair value of the Common Warrants liability using the Black Scholes Option Pricing methodology with Level 3 inputs.

The following table presents the change in the fair value of Common Warrants for the periods indicated below (in thousands):

	Total
Liability balance as of March 31, 2023	$	—
Additions of common warrant liability	2,994
Change in fair value of common warrant liability	(2,944)
Liability balance as of March 31, 2024	$	50

Inherent in a Black Scholes valuation model are assumptions related to expected stock price, exercise price, stock-price volatility derived using our historical volatility, expected term, risk-free interest rate and dividend yield. The risk-free interest rate is based on the U.S. Treasury zero-coupon yield curve on the grant date for a maturity similar to the expected term of the Common Warrants. The dividend yield percentage is zero based on our current expectations related to the payment of dividends during the expected term of the Common Warrants.

The key inputs into the Black Scholes pricing model were as follows:

	Year Ended March 31, 2024
Stock Price	$0.02
Exercise Price	$1.35
Expected Life (years)	4.72
Expected Volatility	165.51%

See Notes 1, Significant Accounting Policies for a discussion of assets measured at fair value on a non-recurring basis.