XML 43 R10.htm IDEA: XBRL DOCUMENT v3.20.1
Fair Value
 3 Months Ended
Mar. 31, 2020
Fair Value Disclosures [Abstract]  
Fair Value

4.

Fair Value Measurements

Fair value measurements are market-based measurements, not entity-specific measurements.  Therefore, fair value measurements are determined based on the assumptions that market participants would use in pricing the asset or liability.  We follow a three-level hierarchy to prioritize the inputs used in the valuation techniques to derive fair values.  The basis for fair value measurements for each level within the hierarchy is described below:

 

•

Level 1: Quoted prices in active markets for identical assets or liabilities.

 

 

•

Level 2: Quoted prices for similar assets or liabilities in active markets; quoted prices for identical or similar instruments in markets that are not active; and model-derived valuations in which all significant inputs are observable in active markets.

 

 

•

Level 3: Valuations derived from valuation techniques in which one or more significant inputs are unobservable in active markets.

 

 

Warrants issued by the Company in connection with a rights offering originally filed under a Form S-1 registration statement in April 2018 (“Series T Warrants”) and in an underwritten public offering in September 2019 (“Series U Warrants”) are classified as liability instruments. Because some of the inputs to our valuation model are either not observable or are not derived principally from or corroborated by observable market data by correlation or other means, the warrant liability is classified as Level 3 in the fair value hierarchy.

The estimated fair value of the Series T Warrants as of March 31, 2020 and December 31, 2019 was determined by using an option pricing model with the following assumptions:

 

 

 

As of

March 31, 2020

 

 

As of

December 31,

2019

 

Expected term

 

1 year

 

 

1.1 years

 

Common stock market price

 

$

1.88

 

 

$

2.40

 

Risk-free interest rate

 

 

0.17

%

 

 

1.59

%

Expected volatility

 

 

204

%

 

 

168

%

Resulting fair value (per warrant)

 

$

1.17

 

 

$

1.47

 

 

The Company estimated the fair value of the Series U Warrants with the Black Scholes model. The Series U warrants will be marked to market as of each balance sheet date until they are exercised or upon expiration, with the changes in fair value recorded as non-operating income or loss in the statements of operations and comprehensive loss.

 

 

 

 

 

 

 

 

 

 

 

 

As of

March 31, 2020

 

 

As of

December 31,

2019

 

Expected term

 

4.5 years

 

 

4.75 years

 

Common stock market price

 

$

1.88

 

 

$

2.40

 

Risk-free interest rate

 

 

0.35

%

 

 

1.68

%

Expected volatility

 

 

140

%

 

 

135

%

Resulting fair value (per warrant)

 

$

1.47

 

 

$

1.94

 

 

The following tables summarizes the change in Level 3 warrant liability value (in thousands):

 

 

Three Months Ended March 31, 2020

 

Warrant liability

 

 

 

 

Beginning balance

 

$

6,929

 

Change in fair value

 

 

(1,667

)

Ending balance

 

$

5,262

 

 

Warrant liability

 

Three Months Ended

March 31, 2019

 

 

Beginning balance

 

$

916

 

Change in fair value

 

 

(210

)

Ending balance

 

$

706