Warrants and Derivative Liabilities

The Company accounts for its warrants and contingent consideration as liabilities due to certain adjustment provisions within the instruments, which require that they be recorded at fair value. The warrants are subject to revaluation at each balance sheet date and any change in fair value is recorded as a change in fair value of warrants until the earlier of its expiration or its exercise at which time the warrant liability will be reclassified to equity. The Company calculated the fair value of the warrants utilizing an integrated lattice model. See Note 6, "Fair Value Measurements", for further discussion.

Hercules Warrants

The Company issued Hercules warrants to purchase 13,927 shares of common stock (the “First Warrant”) and 25,641 shares of common stock (the “Second Warrant”) in conjunction with prior term loans that have been repaid in full. On December 19, 2014, the Company entered into a second amendment to the Loan and Security Agreement with Hercules (the "Hercules Second Amendment"). In conjunction with the Hercules Second Amendment, the Company issued Hercules a warrant to purchase 58,823 shares of the Company’s common stock (the "Hercules Second Amendment")which replaced the First Warrant and the Second Warrant. The Hercules Warrant is exercisable at any time after its issuance at an exercise price of $7.85 per share, subject to certain price-based and other anti-dilution adjustments, including the equity offering in May 2017, the acquisition of ITC with common stock in September 2017 and sales of common stock under the ATM entered into in January 2017, and expires on June 30, 2020. This warrant had a fair value of $0.1 million as of September 30, 2018 and March 31, 2018.

November 2014 Warrant

On November 13, 2014, the Company completed an offering of 909,090 units of the Company’s common stock with Hudson Bay Capital. 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 exercise price equal to $7.81 per share, subject to certain price-based and other anti-dilution adjustments including those noted above, and expires on November 13, 2019.

Following is a summary of the key assumptions used to calculate the fair value of the November 2014 Warrant:



Fiscal Year 18	September 30, 2018	June 30, 2018
Risk-free interest rate	2.62%	2.40%
Expected annual dividend yield	—	—
Expected volatility	63.66%	67.40%
Term (years)	1.12	1.37
Fair value	$1.3 million	$1.6 million



Fiscal Year 17	March 31, 2018	December 31, 2017	September 30, 2017	June 30, 2017	March 31, 2017
Risk-free interest rate	2.20%	1.87%	1.49%	1.44%	1.41%
Expected annual dividend yield	—	—	—	—	—
Expected volatility	65.86%	65.86%	65.64%	67.21%	66.53%
Term (years)	1.62	1.87	2.12	2.37	2.62
Fair value	$1.1 million	$0.4 million	$0.8 million	$0.9 million	$1.8 million

The Company recorded a net gain of $0.3 million and a net loss of $0.2 million resulting from the changes in the fair value of the November 2014 Warrant during the three and six months ended September 30, 2018, respectively. The Company recorded net gains of $0.1 million and $1.0 million, resulting from the decrease in the fair value of the November 2014 Warrant during the three and six months ended September 30, 2017, respectively.