XML 27 R15.htm IDEA: XBRL DOCUMENT
v3.19.3

FAIR VALUE | 9 Months Ended
--- | ---
Sep. 30, 2019
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 In the Merger, the Company assumed a warrant liability related to warrants issued in January 2016 (the “2016 Warrant Liability”) and it represents the fair value of such warrants, of which, 357 warrants remain outstanding as of September 30, 2019. 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 1,347 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 – Accrued Expenses And 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, 2019, assumptions and inputs used in the valuation of the 2016 Warrant Liability include: remaining life to maturity of 1.3 years; annual volatility of 141%; and a risk-free interest rate of 1.74%. As of December 31, 2018, assumptions and inputs used in the valuation of the 2016 Warrant Liability include: remaining life to maturity of two years; annual volatility of 176%; and a risk-free interest rate of 2.48%. Bridge Note Warrant Liabilities During 2018 and 2019, the Company issued 243,224 of April 2018 Warrants, 15,466 of Advisor Warrants, 196,340 of Q3 2018 Warrants, 300,115 of Q4 2018 Warrants, 147,472 of April 2019 Warrants and 154,343 of May 2019 Warrants. All of these warrants issuances were classified as warrant liabilities (the “Bridge Note Warrant Liabilities”). See Note 4 - Convertible Notes for further discussion of each warrant. The Bridge Note Warrant Liabilities are considered Level 3 financial instruments and were valued using the Black Scholes model. As of September 30, 2019, assumptions used in the valuation of the Bridge Note Warrant Liabilities include: remaining life to maturity of 2.56 to 4.62 years; annual volatility of 149% to 158%; and risk free rate of 1.56% to 1.61%. During the three and nine months ended September 30, 2019 and 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, 2019
|  | 2016 Warrant |  | Bridge Note |  | Total Warrant
|  | Liability |  | Warrant Liabilities |  | Liabilities
Beginning balance at July 1 |  | $ | 86 |  | $ | 2,250 |  | $ | 2,336
Additions: |  |  | – |  |  | – |  |  | –
Total (gains) losses: |  |  |  |  |  |  |  |  |
Revaluation recognized in earnings |  |  | (7) |  |  | (556) |  |  | (563)
Modification recognized in earnings |  |  | – |  |  | – |  |  | –
Deductions – warrant exercises |  |  | – |  |  | – |  |  | –
Balance at September 30 |  | $ | 79 |  | $ | 1,694 |  | $ | 1,773
|  | Three Months Ended September 30, 2018
|  | 2016 Warrant |  | Bridge Note |  | Total Warrant
|  | Liability |  | Warrant Liabilities |  | Liabilities
Beginning balance at July 1 |  | $ | 124 |  | $ | 882 |  | $ | 1,006
Additions: |  |  | – |  |  | 720 |  |  | 720
Total (gains) losses: |  |  |  |  |  |  |  |  |
Revaluation recognized in earnings |  |  | – |  |  | (176) |  |  | (176)
Modification recognized in earnings |  |  | – |  |  | 143 |  |  | 143
Balance at September 30 |  | $ | 124 |  | $ | 1,569 |  | $ | 1,693
Dollars in Thousands |  |  |
|  | Nine Months Ended September 30, 2019 |
|  | 2016 Warrant |  | Bridge Note |  | Total Warrant |
|  | Liability |  | Warrant Liabilities |  | Liabilities |
Beginning balance at January 1 |  | $ | 116 |  | $ | 1,016 |  | $ | 1,132 |
Additions: |  |  | – |  |  | 1,858 |  |  | 1,858 |
Total (gains) losses: |  |  |  |  |  |  |  |  |  |
Revaluation recognized in earnings |  |  | (37) |  |  | 56 |  |  | 19 |
Modification recognized in earnings |  |  | – |  |  | 1,128 |  |  | 1,128 |
Deductions – warrant exercises |  |  | – |  |  | (2,364) |  |  | (2,364) |
Balance at September 30 |  | $ | 79 |  | $ | 1,694 |  | $ | 1,773 |
|  | Nine Months Ended September 30, 2018 |
|  | 2016 Warrant |  | Bridge Note |  | Total Warrant |
|  | Liability |  | Warrant Liabilities |  | Liabilities |
Beginning balance at January 1 |  | $ | 841 |  | $ | – |  | $ | 841 |
Additions: |  |  | – |  |  | 1,925 |  |  | 1,925 |
Total (gains) losses: |  |  |  |  |  |  |  |  |  |
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 Liabilities. 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 Bridge Note issuances, the Company recorded derivative instruments as liabilities with an initial fair value of approximately $0.3 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 - Convertible Notes for further discussion. Conversion Option The Company recorded derivative liabilities related to the Conversion Option of the Exchange Notes issued during 2018 with an initial fair value of approximately $0.4 million. The valuations were performed using the Monte Carlo methodology. See Note 4 - Convertible Notes for further discussion. During the three months ended September 30, 2019, the change in the fair value of the derivative liabilities was zero. During the three months ended September 30, 2018 and the nine months ended September 30, 2019 and 2018, the change in the fair value of the derivative liabilities measured using significant unobservable inputs (Level 3) was comprised of the following:
(Dollars in thousands) |  |  |  |  |  |  |  |  |
|  | Three Months Ended September 30, 2018
|  | Bridge Notes |  |  |  |  |  |
|  | Redemption |  | Conversion |  | Total Derivative
|  | Feature |  | Option |  | Liabilities
Beginning balance at July 1 |  | $ | 143 |  | $ | — |  | $ | 143
Additions: |  |  | 69 |  |  | 241 |  |  | 310
Total loss: |  |  |  |  |  |  |  |  |
Revaluation recognized in earnings |  |  | (96) |  |  | (20) |  |  | (116)
Balance at September 30 |  | $ | 116 |  | $ | 221 |  | $ | 337
|  | Nine Months Ended September 30, 2019
|  | Bridge Notes |  |  |  |  |  |
|  | Redemption |  | Conversion |  | Total Derivative
|  | Feature |  | Option |  | Liabilities
Beginning balance at January 1 |  | $ | 30 |  | $ | 32 |  | $ | 62
Deductions: |  |  | (438) |  |  | (39) |  |  | (477)
Total loss: |  |  |  |  |  |  |  |  |
Revaluation recognized in earnings |  |  | 408 |  |  | 7 |  |  | 415
Balance at September 30 |  | $ | — |  | $ | — |  | $ | —
|  | Nine Months Ended September 30, 2018
|  | Bridge Notes |  |  |  |  |  |
|  | Redemption |  | Conversion |  | Total Derivative
|  | Feature |  | Option |  | Liabilities
Beginning balance at January 1 |  | $ | — |  | $ | — |  | $ | —
Additions: |  |  | 212 |  |  | 241 |  |  | 453
Total loss: |  |  |  |  |  |  |  |  |
Revaluation recognized in earnings |  |  | (96) |  |  | (20) |  |  | (116)
Balance at September 30 |  | $ | 116 |  | $ | 221 |  | $ | 337

X
- References No definition available. + Details
Name: | us-gaap_FairValueDisclosuresAbstract
Namespace Prefix: | us-gaap_
Data Type: | xbrli:stringItemType
Balance Type: | na
Period Type: | duration

X
- 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
Name: | us-gaap_FinancialInstrumentsDisclosureTextBlock
Namespace Prefix: | us-gaap_
Data Type: | nonnum:textBlockItemType
Balance Type: | na
Period Type: | duration