Quarterly report pursuant to Section 13 or 15(d)

5. Derivative Liabilities

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5. Derivative Liabilities
 6 Months Ended
Sep. 30, 2015
Derivative Instruments and Hedging Activities Disclosure [Abstract]  
5. Derivative Liabilities

The Company deems financial instruments, which require net-cash settlement, as either an asset or a liability. The common stock purchase warrants issued in conjunction with the Company’s December 9, 2013 and February 26, 2014 registered direct offerings contain net-cash settlement features, which give the warrant holder the right to a net-cash settlement in the event certain transactions occur. Pursuant to the terms of the warrants, if such a transaction occurs, the warrant holder will be entitled to a net-cash settlement value calculated using the Black-Scholes valuation model using an expected volatility equal to the greater of 100% and the 30 day volatility obtained from the HVT function on Bloomberg, a historical volatility calculator, an expected term equal to the remaining term of the warrants, and applicable risk-free interest rate corresponding to the U.S. Treasury.

 

The derivative liabilities relating to the warrants with net-cash settlement provisions were valued using the Black-Scholes option valuation model and the following assumptions on the following dates:

 

  Measurement
Date 		Warrants Remaining
Contract
Term in
Years 		Exercise
Price 		Volatility Risk-free
Interest
Rate 		Fair
Value
Warrant                  
Placement Agent Warrants March 31, 2015 16,500 1.09 $ 5.00 100% 0.26% $ 1,000
Investor - Series A Warrants March 31, 2015 1,000 0.41 $ 3.00 100% 0.14%   –
Investor - Series B Warrants March 31, 2015 1,400,000 0.41 $ 3.63 100% 0.14%   5,000
Placement Agent Warrants March 31, 2015 69,037 1.09 $ 3.00 100% 0.26%   5,000
                $ 11,000
                   
Warrant                  
Placement Agent Warrants June 30, 2015 16,500 0.84 $ 5.00 143% 0.28% $ 5,000
Investor - Series A Warrants June 30, 2015 1,000 0.16 $ 3.00 143% 0.01%   –
Investor - Series B Warrants June 30, 2015 1,400,000 0.16 $ 3.63 143% 0.01%   35,000
Placement Agent Warrants June 30, 2015 69,037 0.84 $ 3.00 143% 0.28%   30,000
                $ 70,000
Warrant                  
Placement Agent Warrants September 30, 2015 16,500 0.59 $ 5.00 100% 0.08% $ –
Placement Agent Warrants September 30, 2015 69,037 0.59 $ 3.00 100% 0.08%   5,000
                $ 5,000

The following table sets forth a summary of the changes in the fair value of our Level 3 financial liabilities that are measured at fair value on a recurring basis:

 

   

Three Months Ended

September 30,

    

Six Months Ended

September 30,

  
    2015     2014     2015     2014  
Beginning balance   $ 70,000     $ 1,697,000     $ 11,000     $ 3,175,000  
Mark to market net unrealized gain     (65,000 )   $ (841,000 )   $ (6,000 )   $ (2,319,000 )
Ending balance   $ 5,000     $ 856,000     $ 5,000     $ 856,000