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Fair Value Measurements (Tables) | 6 Months Ended
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Jun. 30, 2020
Fair Value Disclosures [Abstract] |
Schedule of Fair Value Assumptions | The Company worked with a third-party valuation expert to estimate the value of the warrants at June 30, 2020 and December 31, 2019 using a Lattice model, with the following observable and unobservable inputs:
|  | June 30, |  |  | December 31, |
|  | 2020 |  |  | 2019 |
Number of warrants outstanding |  |  | 100,000 |  |  |  | 100,000 |
Expiration date |  |  | June 21, 2022 |  |  |  | June 21, 2022 |
Exercise price |  | $ | 11.30 |  |  | $ | 11.30 |
Beginning share price |  | $ | 5.18 |  |  | $ | 3.00 |
Dividend yield |  |  | 0 | % |  |  | 0 | %
Average volatility rate (1) |  |  | 100 | % |  |  | 80 | %
Probability of down-round event (2) |  |  | 25 | % |  |  | 25 | %
Risk free interest rate |  |  | .16 | % |  |  | 1.59 | %
(1) | The average volatility represents the Company’s 2-year volatility measurement, the observed volatility of our peer group over a similar period, and the stock market volatility as of the valuation date.
(2) | Represents the estimated probability of a future down-round event during the remaining term of the warrants.
Schedule of Recurring Measurements of Fair Value of Assets and Liabilities | Recurring measurements of the fair value of assets and liabilities as of June 30, 2020 and December 31, 2019 are as follows:
|  | June 30, 2020 |  |  | December 31, 2019 |
|  | Level 1 |  |  | Level 2 |  |  | Level 3 |  |  | Total |  |  | Level 1 |  |  | Level 2 |  |  | Level 3 |  |  | Total |
|  | (in thousands) |
Current Assets: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Marketable Equity Securities |  | $ | 186 |  |  | $ | - |  |  | $ | - |  |  | $ | 186 |  |  | $ | 307 |  |  | $ | - |  |  | $ | - |  |  | $ | 307 |
Non-current Liabilities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Warrants |  | $ | - |  |  | $ | - |  |  | $ | 193 |  |  | $ | 193 |  |  | $ | - |  |  | $ | - |  |  | $ | 73 |  |  | $ | 73 |
Schedule of Reconciliation of Changes in Liabilities Measured at Fair Value on a Recurring Basis | The following table presents a reconciliation of our Level 3 warrants measured at fair value
|  | Six Months Ended June 30, 2020 |  |  | Year Ended December 31, 2019 |
|  | (in thousands) |
Fair value liabilities of Level 3 instruments beginning of period |  | $ | 73 |  |  | $ | 425 |
Net loss (gain) on warrant valuation |  |  | 120 |  |  |  | (352 | )
|  |  | - |  |  |  |  |
Fair value liabilities of Level 3 instruments end of period |  | $ | 193 |  |  | $ | 73 |

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- Definition Tabular disclosure of the fair value measurement of liabilities using significant unobservable inputs (Level 3), a reconciliation of the beginning and ending balances, separately presenting changes attributable to the following: (1) total gains or losses for the period (realized and unrealized), segregating those gains or losses included in earnings (or changes in net assets), and gains or losses recognized in other comprehensive income (loss) and a description of where those gains or losses included in earnings (or changes in net assets) are reported in the statement of income (or activities); (2) purchases, sales, issues, and settlements (each type disclosed separately); and (3) transfers in and transfers out of Level 3 (for example, transfers due to changes in the observability of significant inputs) by class of liability. + References Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 2 -Subparagraph (c) -URI http://asc.fasb.org/extlink&oid=117815213&loc=d3e19207-110258 Reference 2: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 3 -URI http://asc.fasb.org/extlink&oid=117815213&loc=d3e19279-110258 + Details
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- Definition Tabular disclosure of assumption used to determine benefit obligation and net periodic benefit cost of defined benefit plan. Includes, but is not limited to, discount rate, rate of compensation increase, expected long-term rate of return on plan assets and interest crediting rate. + References Reference 1: http://www.xbrl.org/2003/role/disclosureRef -Publisher FASB -Name Accounting Standards Codification -Topic 715 -SubTopic 20 -Section 50 -Paragraph 1 -Subparagraph (k) -URI http://asc.fasb.org/extlink&oid=118255775&loc=d3e1928-114920 + Details
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- Definition Tabular disclosure of assets and liabilities, including [financial] instruments measured at fair value that are classified in stockholders' equity, if any, that are measured at fair value on a recurring basis. The disclosures contemplated herein include the fair value measurements at the reporting date by the level within the fair value hierarchy in which the fair value measurements in their entirety fall, segregating fair value measurements using quoted prices in active markets for identical assets (Level 1), significant other observable inputs (Level 2), and significant unobservable inputs (Level 3). + References Reference 1: http://www.xbrl.org/2003/role/disclosureRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 2 -Subparagraph (b) -URI http://asc.fasb.org/extlink&oid=117815213&loc=d3e19207-110258 Reference 2: http://www.xbrl.org/2003/role/disclosureRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 2 -Subparagraph (a) -URI http://asc.fasb.org/extlink&oid=117815213&loc=d3e19207-110258 + Details
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