The fair value of the Warrants was determined using a Black-Scholes closed-form call option pricing model, which is considered a level 3 instrument under the fair value hierarchy. The fair value of the Warrants were estimated using the following assumptions as of September 30, 2013:
| Risk-free interest rate | 2.6% |
| Dividend yield | -- |
| Volatility | 30.0% |
| Expected term (in years) | 10.3 |
The change in the fair value of the convertible preferred stock warrant liability for the year ended September 30, 2013 is summarized below:
| Opening balance | $0 |
| Issuance of convertible preferred stock warrant | 542,741 |
| Decrease in fair value | (49,618) |
| Closing balance | $493,123 |