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Fair Value Measurements (Tables)

9 Months Ended

Sep. 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 September 30, 2020 and December 31, 2019 using a Lattice model, with the following observable and unobservable inputs:

		September 30, 2020				December 31, 2019
Number of warrants outstanding			50,000				100,000
Expiration date			June 21, 2022				June 21, 2022
Exercise price		$	5.25			$	11.30
Beginning share price		$	5.00			$	3.00
Dividend yield			0	%			0	%
Average volatility rate (1)			115	%			80	%
Probability of down-round event (2)			50	%			25	%
Risk free interest rate			0.13	%			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 September 30, 2020 and December 31, 2019 are as follows:

		September 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		$	109			$	-			$	-			$	109			$	307			$	-			$	-			$	307
Non-current Liabilities:
Warrants		$	-			$	-			$	137			$	137			$	-			$	-			$	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

		Nine Months Ended September 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			64				(352	)
			-
Fair value liabilities of Level 3 instruments end of period		$	137			$	73

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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.

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-Publisher FASB
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-Topic 820
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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
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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).

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Reference 1: http://www.xbrl.org/2003/role/disclosureRef
-Publisher FASB
-Name Accounting Standards Codification
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