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Fair Value Measurements (Tables)
6 Months Ended
Jun. 30, 2019
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]  
Assets and Liabilities Carried at Fair Value Measured on Recurring Basis

The following tables summarize the Company’s assets carried at fair value measured on a recurring basis at June 30, 2019 and December 31, 2018 by valuation hierarchy (in thousands):

 

 

 

June 30, 2019

 

 

 

 

 

 

 

Quoted

prices in

 

 

Significant

other

 

 

Significant

 

 

 

Total

Carrying

 

 

active

markets

 

 

observable

inputs

 

 

unobservable

inputs

 

Description

 

Value

 

 

(Level 1)

 

 

(Level 2)

 

 

(Level 3)

 

Assets:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Cash equivalents

 

$

43,202

 

 

$

43,202

 

 

$

 

 

$

 

 

 

$

43,202

 

 

$

43,202

 

 

$

 

 

$

 

 

 

 

December 31, 2018

 

 

 

 

 

 

 

Quoted

prices in

 

 

Significant

other

 

 

Significant

 

 

 

Total

Carrying

 

 

active

markets

 

 

observable

inputs

 

 

unobservable

inputs

 

Description

 

Value

 

 

(Level 1)

 

 

(Level 2)

 

 

(Level 3)

 

Assets:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Cash equivalents

 

$

43,194

 

 

$

43,194

 

 

$

 

 

$

 

 

 

$

43,194

 

 

$

43,194

 

 

$

 

 

$

 

Summary of Changes in the Fair Value of the Company's Derivative Liability

The following table sets forth a summary of changes in the fair value of the Company’s derivative liability for which fair value was determined by Level 3 inputs (in thousands):

 

 

 

Second

Tranche

Liability

 

 

Additional

Advance

Warrant

Liability

 

 

Second

Tranche

Warrants

 

 

Total

 

Balance at January 1, 2018

 

$

 

 

$

 

 

$

 

 

$

 

Initial fair value of derivative liability

 

 

4,734

 

 

 

69

 

 

 

18,165

 

 

 

22,968

 

Change in fair value

 

 

24,319

 

 

 

18

 

 

 

1,615

 

 

 

25,952

 

Reclassification to equity

 

 

 

 

 

(87

)

 

 

 

 

 

(87

)

Settlement

 

 

(29,053

)

 

 

 

 

 

 

 

 

(29,053

)

Balance at June 30, 2018

 

$

 

 

$

 

 

$

19,780

 

 

$

19,780

 

Additional Advance Warrant Liability [Member]  
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]  
Schedule of Assumptions Used to Value Liability

 

 

 

March 28, 2018

(Date of Issuance)

 

 

June 25, 2018

(Date of

Reclassification

to Equity)

 

Volatility

 

 

55.20

%

 

 

55.10

%

Risk free interest rate

 

 

1.70

%

 

 

2.80

%

Term (in years)

 

7

 

 

7

 

Dividend rate

 

 

0

%

 

 

0

%

Valuation date stock price

 

$

1.07

 

 

$

1.93

 

Probability of issuance

 

 

80

%

 

 

100

%

 

Second Tranche Transaction Liability [Member]  
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]  
Schedule of Assumptions Used to Value Liability Significant assumptions used to value this liability were as follows:

 

 

 

March 28, 2018

(Date of Issuance)

 

 

June 25, 2018

(Date of Settlement)

 

Volatility

 

 

54.20

%

 

N/A

 

Risk free interest rate

 

 

1.70

%

 

N/A

 

Estimated date of stockholder

   approval

 

June 2018

 

 

N/A

 

Estimated number of units issuable

 

 

26,900,000

 

 

 

20,184,224

 

Valuation date stock price

 

$

1.07

 

 

$

1.93

 

 

Second Tranche Warrants [Member]  
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]  
Schedule of Assumptions Used to Value Liability   Significant assumptions used to value this liability prior to exercise in September 2018 were as follows:

 

 

 

June 25, 2018

(Date of issuance)

 

 

June 30, 2018

 

Volatility

 

 

81.00

%

 

 

85.40

%

Risk free interest rate

 

 

2.10

%

 

 

2.10

%

Term (in years)

 

0.5

 

 

0.5

 

Dividend rate

 

 

0

%

 

 

0

%

Valuation date stock price

 

$

2.00

 

 

$

2.08

 

Probability of issuance

 

 

100

%

 

 

100

%