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FAIR VALUE | 9 Months Ended
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Sep. 30, 2018
FAIR VALUE [Abstract] |
FAIR VALUE | 9. FAIR VALUE ﻿ FASB guidance on fair value measurements, which defines fair value, establishes a framework for measuring fair value and expands disclosures about fair value measurements for our financial assets and liabilities, as well as for other assets and liabilities that are carried at fair value on a recurring basis in our condensed consolidated financial statements. FASB guidance establishes a three-level fair value hierarchy based upon the assumptions (inputs) used to price assets or liabilities. The three levels of inputs used to measure fair value are as follows: Level 1—Unadjusted quoted prices in active markets for identical assets or liabilities; Level 2—Observable inputs other than those included in Level 1, such as quoted prices for similar assets and liabilities in active markets or quoted prices for identical assets or liabilities in inactive markets; and Level 3—Unobservable inputs reflecting our own assumptions and best estimate of what inputs market participants would use in pricing the asset or liability. ﻿ Common Stock Warrant Liabilities. ﻿ Certain of our issued and outstanding warrants to purchase shares of common stock do not qualify to be treated as equity and, accordingly, are recorded as a liability. We are required to record these instruments at fair value at each reporting date and changes are recorded as a non-cash adjustment to earnings. The gains or losses included in earnings are reported in other income (expense) in our condensed consolidated statement of operations. ﻿ 2016 Warrant Liability The Company assumed the 2016 Warrant Liability in the Merger and it represents the fair value of Transgenomic warrants issued in January 2016, of which, 5,368 warrants remain outstanding as of September 30, 2018. In March 2018, a portion of the 2016 Warrant Liability was part of a settlement agreement pursuant to a lawsuit that was filed against the Company by one of the warrant holders. As such, approximately $0.4 million of the warrant liability, representing 20,216 warrants, was canceled on the date of the settlement agreement and replaced by and amounts now recorded as other current liabilities or other long-term liabilities. For further detail, see discussion of the Crede Agreement in Note 5 – Other Current Liabilities. The 2016 Warrant Liability is considered a Level 3 financial instrument and was valued using the Monte Carlo methodology. As of September 30, 2018, assumptions and inputs used in the valuation of the 2016 Warrant Liability include: remaining life to maturity of 2.25 years; annual volatility of 188%; and a risk-free interest rate of 2.81%. ﻿ 2018 Warrant Liabilities In April 2018, the Company issued 3,648,352 of April 2018 Warrants and 232,000 of Advisor Warrants and in the third quarter of 2018, the Company issued 2,945,055 of Q3 2018 Warrants. All of these warrants issuances were classified as warrant liabilities (the “2018 Warrant Liabilities”). See Note 4 Long-Term Debt And Convertible Notes for further discussion of each warrant. The 2018 Warrant Liabilities are considered Level 3 financial instruments and were valued using the Black Scholes model. As of September 30, 2018, assumptions used in the valuation of the 2018 Warrant Liabilities include: remaining life to maturity of 0.55 to 4.97 years; annual volatility of 96% to 155%; and risk free rate of 2.36% to 2.94% During the three and nine months ended September 30, 2018, the change in the fair value of the warrant liabilities measured using significant unobservable inputs (Level 3) were comprised of the following: ﻿ ﻿
﻿ |  |  |  |  |  |  |  |  |
﻿Dollars in Thousands |  |  |  |  |  |  |  |  |
﻿ |  | Three Months Ended September 30, 2018
﻿ |  |  | 2016 Warrant Liability |  |  | 2018 Warrant Liabilities |  |  | Total Warrant Liabilities
﻿Beginning balance at July 1 |  | $ | 124 |  | $ | 882 |  | $ | 1,006
﻿Additions: |  |  | - |  |  | 720 |  |  | 720
﻿Total (gain) loss: |  |  |  |  |  |  |  |  |
﻿Revaluation recognized in earnings |  |  | - |  |  | (176) |  |  | (176)
﻿Modification recognized in earnings |  |  | - |  |  | 143 |  |  | 143
﻿Deductions – warrant liability settlement |  |  | - |  |  | - |  |  | -
﻿Balance at September 30 |  | $ | 124 |  | $ | 1,569 |  | $ | 1,693
﻿ ﻿ ﻿
﻿ |  |  |  |  |  |  |  |  |
﻿Dollars in Thousands |  |  |  |  |  |  |  |  |
﻿ |  | Nine Months Ended September 30, 2018
﻿ |  |  | 2016 Warrant Liability |  |  | 2018 Warrant Liabilities |  |  | Total Warrant Liabilities
﻿Beginning balance at January 1 |  | $ | 841 |  | $ | - |  | $ | 841
﻿Additions: |  |  | - |  |  | 1,925 |  |  | 1,925
﻿Total (gain) loss: |  |  |  |  |  |  |  |  |
﻿Revaluation recognized in earnings |  |  | (261) |  |  | (499) |  |  | (760)
﻿Modification recognized in earnings |  |  | - |  |  | 143 |  |  | 143
﻿Deductions – warrant liability settlement |  |  | (456) |  |  | - |  |  | (456)
﻿Balance at September 30 |  | $ | 124 |  | $ | 1,569 |  | $ | 1,693
﻿ ﻿ ﻿ ﻿ ﻿ Derivative Liabilit ies. Certain of our issued and outstanding convertible notes contain features that are considered derivative instruments and are required to bifurcated from the debt host and accounted for separately as derivative liabilities. The estimated fair value of the derivatives will be remeasured at each reporting date and any change in estimated fair value of the derivatives will be recorded as non-cash adjustments to earnings. The gains or losses included in earnings are reported in other income (expense) in our condensed consolidated statement of operations. Bridge Notes Redemption Feature At the time of the April 2018 Bridge Note issuance, the Company recorded a derivative instrument as a liability with an initial fair value of approximately $0.1 million. At the time of the Q3 2018 Bridge Note issuances, the Company recorded additional derivative instruments as liabilities with initial fair values totaling $0.1 million. The valuations were performed using the “with and without” approach, whereby the Bridge Notes were valued both with the embedded derivative and without, and the difference in values was recorded as the derivative liability. See Note 4 Long-Term Debt And Convertible Notes for further discussion. Conversion Option The Company recorded derivative liabilities related to the Conversion Option of the Exchange Notes issued in September 2018 with an initial fair value of approximately $0.2 The valuations were performed using the Monte Carlo methodology. See Note 4 Long-Term Debt And Convertible Notes for further discussion. During the three and nine months ended September 30, 2018, the change in the fair value of the derivative liabilities were comprised of the following: ﻿ ﻿
﻿ |  |  |  |  |  |  |  |  |
﻿ |  | Three Months Ended September 30, 2018
﻿ |  |  | Bridge Notes Redemption Feature |  |  | Conversion Option |  |  | Total Derivative Liabilities
﻿Beginning balance at July 1 |  | $ | 143 |  | $ | - |  | $ | 143
﻿Additions: |  |  | 69 |  |  | 241 |  |  | 310
﻿Total (gain) loss: |  |  |  |  |  |  |  |  |
﻿Revaluation recognized in earnings |  |  | (96) |  |  | (20) |  |  | (116)
﻿Balance at September 30 |  | $ | 116 |  | $ | 221 |  | $ | 337
﻿ ﻿
﻿ |  |  |  |  |  |  |  |  |
﻿ |  | Nine Months Ended September 30, 2018
﻿ |  |  | Bridge Notes Redemption Feature |  |  | Conversion Option |  |  | Total Derivative Liabilities
﻿Beginning balance at January 1 |  | $ | - |  | $ | - |  | $ | -
﻿Additions: |  |  | 212 |  |  | 241 |  |  | 453
﻿Total (gain) loss: |  |  |  |  |  |  |  |  |
﻿Revaluation recognized in earnings |  |  | (96) |  |  | (20) |  |  | (116)
﻿Balance at September 30 |  | $ | 116 |  | $ | 221 |  | $ | 337
﻿

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- Definition The entire disclosure for financial instruments. This disclosure includes, but is not limited to, fair value measurements of short and long term marketable securities, international currencies forward contracts, and auction rate securities. Financial instruments may include hedging and non-hedging currency exchange instruments, derivatives, securitizations and securities available for sale at fair value. Also included are investment results, realized and unrealized gains and losses as well as impairments and risk management disclosures. + References No definition available. + Details
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