Fair Value Measurements

12 Months Ended

Dec. 31, 2019

Fair Value Disclosures [Abstract]

Fair Value Disclosures [Text Block]

5. Fair Value Measurements

The tables below present information about the Company’s assets and liabilities that are measured at fair value on a recurring basis as of December 31, 2019 and 2018 and indicates the fair value hierarchy of the valuation techniques the Company used to determine such fair value. In general, fair values determined by Level 1 inputs utilize observable inputs such as quoted prices in active markets for identical assets or liabilities. Fair values determined by Level 2 inputs utilize data points that are either directly or indirectly observable, such as quoted prices, interest rates and yield curves. Fair values determined by Level 3 inputs utilize unobservable data points in which there is little or no market data, requiring the Company to develop its own assumptions for the asset or liability.

The following tables present the assets and liabilities the Company has measured at fair value on a recurring basis (in thousands):

			Fair Value Measurements at
			Reporting Date Using
			Quoted Prices		Significant
			in Active  Markets for		Other Observable		Significant Unobservable
	December 31,		Identical Assets		Inputs		Inputs
Description	2019		(Level 1)		(Level 2)		(Level 3)
Liabilities
Warrant liability	$	10	$	—	$	—	$	10
Total liabilities	$	10	$	—	$	—	$	10

			Fair Value Measurements at
			Reporting Date Using
			Quoted Prices		Significant
			in Active  Markets for		Other Observable		Significant Unobservable
	December 31,		Identical Assets		Inputs		Inputs
Description	2018		(Level 1)		(Level 2)		(Level 3)
Assets
Money market funds (included in cash and cash equivalents)	$	1,097	$	1,097	$	—	$	—
Total assets	$	1,097	$	1,097	$	—	$	—
Liabilities
Warrant liability	$	51	$	—	$	—	$	51
Total liabilities	$	51	$	—	$	—	$	51

The assumptions used in the Black-Scholes option pricing model to determine the fair value of the Derivative Warrant Liabilities at December 31, 2019 and 2018 were as follows:

	December 31,
	2019			2018
Expected volatility		130.0	%		134.0	%
Expected term (in years)		1.35			2.35
Risk-free interest rate		1.59	%		2.48	%
Expected dividend yield		—%			—%

The assumptions used in the Black-Scholes option pricing model to determine the fair value of the Derivative Warrant Liabilities related to the 2019 derivative warrants at each measurement period:

	March 2019 Warrants									May 2019 Warrants
	March 15,			March 31,			June 28,			May 8,			June 28,
	2019			2019			2019			2019			2019
Expected volatility		130.7	%		131.2	%		134.0	%		134.0	%		137.3	%
Expected term (in years)		5.00			4.97			2.35			5.00			4.87
Risk-free interest rate		2.44	%		2.34	%		1.74	%		2.28	%		1.74	%
Expected dividend yield		—%			—%			—%			—%			—%

The following table rolls forward the fair value of the derivative liabilities, where fair value is determined by Level 3 inputs (in thousands):

Balance at December 31, 2017	$	493
Decrease in fair value of 2017 Note-related conversion feature upon re-measurement		(464	)
Decrease in fair value of warrants upon re-measurement		(18	)
Fair value of beneficial conversion feature discount associated with 2017 Note modification		40
Balance at December 31, 2018	$	51
Increase in fair value of warrants upon re-measurement		1,683
Fair value of warrants issued with notes to related party		4,061
Reclassification of warrants to additional paid-in capital		(5,785	)
Balance at December 31, 2019	$	10

Cash, cash equivalents, restricted cash, accounts receivable, prepaid expenses and other current assets, accounts payable, accrued expenses, short-term debt to related party and other current liabilities at December 31, 2019 and 2018 are carried at amounts that approximate fair value due to their short-term maturities and highly liquid nature of these instruments.