Fair Value Measurements

6 Months Ended

Jun. 30, 2018

(9)	Fair Value Measurements

Derivative Warrant Liability

For the three and six months ended June 30, 2018, the Company recorded derivative warrant expense of $2.5 million and $17.2 million, respectively. The resulting derivative warrant liabilities totaled $6.9 million at June 30, 2018. Management expects that the Warrants will either be exercised or expire worthless. The fair value of the Warrants at June 30, 2018 and December 31, 2017 was determined by using option pricing models with the following assumptions:

	June 30,	December 31,
	2018	2017
Expected life (in years)	0.33 - 6.40	0.82 - 4.88
Expected volatility	132.69% - 372.0%	130.88% - 266.92%
Risk-free interest rates	1.99% - 2.92%	1.68% - 2.06%

The table below presents the Company’s assets and liabilities measured at fair value on a recurring basis as of June 30, 2018, aggregated by the level in the fair value hierarchy within which those measurements fall in accordance with ASC 820.

	Assets and Liabilities Measured at Fair Value on a Recurring Basis
(in thousands)	Level 1		Level 2		Level 3		Balance at June 30, 2018
Liabilities
Derivative instrument liabilities	$	—	$	—	$	6,883	$	6,883

For the periods ended June 30, 2018 and 2017, there were no transfers in or out of Level 1, 2 or 3 inputs.

The table below presents the activity within Level 3 of the fair value hierarchy for the six months ended June 30, 2018:

Fair Value Measurements Using Significant Unobservable Inputs (Level 3)

(in thousands)	Warrant Liability
Balance at December 31, 2017	$	560
Fair value of warrants issued		23,532
Fair value of warrants exercised		—
Total change in the liability included in earnings		(17,209	)
Balance at June 30, 2018	$	6,883

- Definition

The entire disclosure for the fair value of financial instruments (as defined), including financial assets and financial liabilities (collectively, as defined), and the measurements of those instruments as well as disclosures related to the fair value of non-financial assets and liabilities. Such disclosures about the financial instruments, assets, and liabilities would include: (1) the fair value of the required items together with their carrying amounts (as appropriate); (2) for items for which it is not practicable to estimate fair value, disclosure would include: (a) information pertinent to estimating fair value (including, carrying amount, effective interest rate, and maturity, and (b) the reasons why it is not practicable to estimate fair value; (3) significant concentrations of credit risk including: (a) information about the activity, region, or economic characteristics identifying a concentration, (b) the maximum amount of loss the entity is exposed to based on the gross fair value of the related item, (c) policy for requiring collateral or other security and information as to accessing such collateral or security, and (d) the nature and brief description of such collateral or security; (4) quantitative information about market risks and how such risks are managed; (5) for items measured on both a recurring and nonrecurring basis information regarding the inputs used to develop the fair value measurement; and (6) for items presented in the financial statement for which fair value measurement is elected: (a) information necessary to understand the reasons for the election, (b) discussion of the effect of fair value changes on earnings, (c) a description of [similar groups] items for which the election is made and the relation thereof to the balance sheet, the aggregate carrying value of items included in the balance sheet that are not eligible for the election; (7) all other required (as defined) and desired information.

+ References + Details