XML 33 R22.htm IDEA: XBRL DOCUMENT v3.20.2
Fair Value Measurements
 3 Months Ended
Jun. 30, 2020
Fair Value Disclosures [Abstract]  
Fair Value Measurements

Note 16 — Fair Value Measurements

 

The following table presents the fair value of the Company's financial liabilities that are measured at fair value on a recurring basis (in thousands):

 

   June 30, 2020 
   Fair   Hierarchy Level 
   Value   Level 1   Level 2   Level 3 
Liabilities:                
Bifurcated embedded derivative on senior secured convertible debentures  $220   $      -   $          -   $220 
Bifurcated embedded derivative on unsecured convertible note payable  $74   $-   $-   $74 

 

   March 31, 2020 
   Fair   Hierarchy Level 
   Value   Level 1   Level 2   Level 3 
Liabilities:                
Bifurcated embedded derivative on senior secured convertible debentures  $524   $           -   $           -   $524 
Bifurcated embedded derivative on unsecured convertible note payable   141   $-   $-   $141 

 

The following table presents a reconciliation of the Company's derivative instruments for the three month period ended June 30, 2020 (in thousands):

 

   Amount 
Balance as of March 31, 2020  $665 
Total fair value adjustments reported in earnings   (371)
Balance as of June 30, 2020  $294 

 

The following table presents a reconciliation of the Company's derivative instruments for the three months ended June 30, 2019 (in thousands):

 

   Amount 
Balance as of March 31, 2019  $586 
Total fair value adjustments reported in earnings   (162)
Balance as of June 30, 2019  $424 

 

Bifurcated embedded derivative on senior secured convertible debentures and unsecured convertible notes payable

 

The fair value of the bifurcated embedded derivative on senior secured convertible debentures and unsecured convertible notes was determined using the following significant unobservable inputs:

 

   June 30,   March 31, 
   2020   2020 
Bifurcated embedded derivative on senior secured convertible debentures        
Market yield   21.9%   27.4%
           
Bifurcated embedded derivative on unsecured convertible note payable pricing model):          
Market yield   34.9%   

43.9

%

   

Significant increases or decreases in the inputs noted above in isolation would result in a significantly lower or higher fair value measurement.

 

The Company determined that as of the assessment date, the fair value of the bifurcated embedded derivatives is $0.3 million. The change in fair value of $0.4 million is recorded in other income (expense) on the Company's consolidated statements of operations for the three-month period ended June 30, 2020.

 

The Company did not elect the fair value measurement option for the following financial assets or liabilities. The fair values of certain financial instruments measured at amortized cost and the hierarchy level the Company used to estimate the fair values are shown below (in thousands):

 

   June 30, 2020 
   Carrying   Hierarchy Level 
   Value   Level 1   Level 2   Level 3 
Assets:                
Cash and cash equivalents  $10,391   $10,391   $-   $- 
Restricted cash   6,735    6,735    -    - 
Liabilities:                    
Notes payable   2,484    -    -    2,484 
Senior secured convertible debentures, net   7,749    -    -    9,131 
Unsecured convertible notes payable related party, net   5,206    -    -    7,454 
Unsecured convertible notes payable, net   1,645    -    -    1,915 

  

   March 31, 2020 
   Carrying   Hierarchy Level 
   Value   Level 1   Level 2   Level 3 
Assets:                
Cash and cash equivalents  $5,702   $5,702   $-   $- 
Restricted cash   6,735    6,735    -    - 
Liabilities:                    
Note payable   331    -    -    331 
Senior secured convertible debentures, net   8,701    -    -    9,254 
Unsecured convertible notes payable related party, net   5,114              4,451 
Unsecured convertible note payable   1,539    -    -    1,338 

 

The fair values of financial instruments not included in these tables are estimated to be equal to their carrying values as of June 30, 2020 and March 31, 2020. The Company's estimates of the fair values were determined using available market information and appropriate valuation methods. Considerable judgment is necessary to interpret market data and develop the estimated fair values.

 

The fair value of the financial assets and liabilities, where the Company did not elect the fair value measurement option, were determined using the following significant unobservable inputs:

 

  

June 30,

   March 31, 
   2020   2020 
Senior secured convertible debentures, net (binomial lattice model):        
Market yield   21.9%   27.4%
           
Unsecured convertible notes payable related party, net (yield model with a Black-Scholes-Merton option pricing model):          
Market yield   32.4%   41.6%
           
Unsecured convertible note payable (yield model with a Black-Scholes-Merton option pricing model):          
Market yield   34.9%   

43.9

%

 

Significant increases or decreases in the inputs noted above in isolation would result in a significantly lower or higher fair value measurement.

 

Cash equivalents and restricted cash equivalents primarily consisted of short-term interest-bearing money market funds with maturities of less than 90 days and time deposits. The estimated fair values were based on available market pricing information of similar financial instruments.

 

Due to their short maturity, the carrying amounts of the Company's accounts receivable, accounts payable, accrued expenses and other long-term liabilities approximated their fair values as of June 30, 2020 and March 31, 2020.

 

The Company's outstanding debt is carried at cost, adjusted for discounts. The Company's note payable is not publicly traded and fair value is estimated to equal carrying value. The Company's debentures and unsecured convertible notes payable with fixed rates are not publicly traded and the Company has estimated fair values using a variety of valuation models and market rate assumptions detailed below. The debentures and unsecured convertible notes are valued using a binomial lattice model and a yield model with a Black-Scholes-Merton option pricing model, respectively.