Annual report pursuant to Section 13 and 15(d)

Fair Value Measurements (Tables)

v3.20.1
Fair Value Measurements (Tables)
12 Months Ended
Dec. 31, 2019
Fair Value Disclosures [Abstract]  
Schedule of Financial Liabilities Measured at Fair Value on Recurring Basis by Level Within Fair Value Hierarchy

The following tables set forth the financial liabilities measured at fair value on a recurring basis by level within the fair value hierarchy as of December 31, 2019 and 2018.

 

   

Fair Value Measurements as of December 31, 2019

(in thousands)

 
Description   Level 1     Level 2     Level 3     Total  
Derivative liability                                
Common stock warrants   $ -     $ -     $ 220     $ 220  

 

   

Fair Value Measurements as of December 31, 2018

(in thousands)

 
Description   Level 1     Level 2     Level 3     Total  
Derivative liability                                
Common stock warrants   $ -     $ -     $ 1,566     $ 1,566  

Schedule of Fair Value Measurement Hierarchy of Derivative Liability

The following table presents a reconciliation of the derivative liabilities measured at fair value on a recurring basis using significant unobservable inputs (Level 3) during the years ended December 31, 2019 and 2018 (in thousands):

 

   

Common Stock

Warrants

 
Balance at December 31, 2017   $ (1,357 )
Issuance of derivatives     (7,577 )
Change in fair value     7,005  
Exercise of warrants     575  
Other, net     (212 )
Balance at December 31, 2018     (1,566 )
Issuance of derivatives     -  
Change in fair value     1,303  
Exercise of warrants     44  
Other, net     (1 )
Balance at December 31, 2019   $ (220 )

Schedule of Assumptions Used in Estimating Fair Value

The assumptions used in estimating the common stock warrant liability using the Black-Scholes-Merton valuation model at December 31, 2019 and 2018 were as follows:

 

   

December 31,

2019

   

December 31,

2018

 
Weighted-average risk-free interest rate     1.62 %     2.51 %
Weighted-average expected life (in years)     3.4       0.9  
Expected dividend yield     - %     - %
Weighted average expected volatility     64 %     157 %