Fair Value of Financial Instruments

9 Months Ended

Sep. 30, 2018

Fair Value Disclosures [Abstract]

Fair Value of Financial Instruments

5. Fair Value of Financial Instruments

The tables below present information about the Company’s assets and liabilities that are measured at fair value on a recurring basis as of September 30, 2018 and December 31, 2017 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 Pricesin		Significant Other		Significant
			Active Markets for		Observable		Unobservable
			Identical Assets		Inputs		Inputs
Description	September 30, 2018		(Level 1)		(Level 2)		(Level 3)
Assets
Money market funds (included in cash and cash equivalents)	$	1,091	$	1,091	$	—	$	—
Total assets	$	1,091	$	1,091	$	—	$	—
Liabilities
Warrant liability	$	16	$	—	$	—	$	16
Total liabilities	$	16	$	—	$	—	$	16

			Fair Value Measurements at
			Reporting Date Using
			Quoted Prices in		Significant Other		Significant
			Active Markets for		Observable		Unobservable
			Identical Assets		Inputs		Inputs
Description	December 31, 2017		(Level 1)		(Level 2)		(Level 3)
Assets
Money market funds (included in cash and cash equivalents)	$	2,584	$	2,584	$	—	$	—
Total assets	$	2,584	$	2,584	$	—	$	—
Liabilities
Warrant liability	$	29	$	—	$	—	$	29
Total liabilities	$	29	$	—	$	—	$	29

The assumptions used in the Black-Scholes option pricing model to determine the fair value of the Consultant Warrant as of September 30, 2018, and December 31, 2017 were as follows:

	September 30,			December 31,
	2018			2017
Exercise price (A$55.00 at the then current exchange rate)	$	0.64		$	0.64
Fair value of common stock	$	0.72		$	0.60
Expected volatility		135.0	%		142.6	%
Expected term (in years)	2.61			3.34
Risk-free interest rate		2.9	%		2.0	%
Expected dividend yield		—	%		—	%

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

Balance at December 31, 2017	$	29
Decrease in fair value of warrants upon re-measurement included in    other income (expense), net		(13	)
Balance at September 30, 2018	$	16

Cash, cash equivalents, accounts receivable, prepaid expenses and other current assets, accounts payable, accrued expenses, deferred revenue and short-term debt to Crystal Amber Fund Limited, a related party, at September 30, 2018 and December 31, 2017 are carried at amounts that approximate fair value due to their short-term maturities and highly liquid nature of these instruments. The carrying value of the Company’s long-term debt to Crystal Amber Fund Limited, a related party, at September 30, 2018 approximates fair value based on certain industry studies obtained by the Company.