Derivative Liabilities and Fair Value Measurements (Tables)

3 Months Ended

Mar. 31, 2020

Derivative Liabilities and Fair Value Measurements.

Schedule of derivative liabilities measured at fair value on a recurring basis

The following table presents the placement in the fair value hierarchy of the Company’s derivative liabilities measured at fair value on a recurring basis as of March 31, 2020 and December 31, 2019:

			Quoted prices in
			active markets		Significant other		Significant
			for identical		observable		unobservable
As of March 31, 2020:	Balance		assets (Level 1)		inputs (Level 2)		inputs (Level 3)
May 2018 Class A Warrants	$	2,298	$	—	$	—	$	2,298
B3D Conversion Option		3,457		—		—		3,457
Calm Warrants		123		—		—		123
Calm Conversion Option		550		—		—		550
Total	$	6,428		—		—	$	6,428
As of December 31, 2019:
May 2018 Class A Warrants	$	778	$	—	$	—	$	778
B3D Conversion Option		382		—		—		382
Calm Warrants		216		—		—		216
Calm Conversion Option		1,761		—		—		1,761
Total	$	3,137	$	—	$	—	$	3,137

Schedule of derivative warrant liabilities measured at fair value using Level 3

The following table summarizes the changes in the Company’s derivative warrant liabilities measured at fair value using significant unobservable inputs (Level 3) during the three months ended March 31, 2020:

December 31, 2019	$	3,137
Increase due to the recording of new B3D Note based upon the Sixth Credit Agreement Amendment		1,643
Conversions of B3D Note		(599)
Settlement of derivative liability due to the exercise of Class A Warrants		(3,122)
Revaluation of derivative conversion options and warrants at March 31, 2020		5,369
March 31, 2020	$	6,428

Schedule of fair value measurements of the derivative warrant liabilities based upon sensitivity and nature of inputs

Fair value measurement of the derivative warrant liabilities falls within Level 3 of the fair value hierarchy. The fair value measurements are evaluated by management to ensure that changes are consistent with expectations of management based upon the sensitivity and nature of the inputs.

March 31, 2020:

Description	Valuation technique	Unobservable inputs	Range
May 2018 Class A Warrants	Monte Carlo Method	Volatility	80.50	%
		Risk-free interest rate	0.37	%
		Expected term, in years	3.13
		Dividend yield	0.00	%
Description	Valuation technique	Unobservable inputs	Range
Calm Warrants	Monte Carlo Method	Volatility	79.10	%
		Risk-free interest rate	0.44	%
		Expected term, in years	4.27
		Dividend yield	0.00	%
Description	Valuation technique	Unobservable inputs	Range
Calm Conversion option	Monte Carlo Method	Volatility	79.10	%
		Risk-free interest rate	0.28	%
		Expected term, in years	2.17
		Dividend yield	0.00	%
Description	Valuation technique	Unobservable inputs	Range
B3D Conversion option	Monte Carlo Method	Volatility	89.50	%
		Risk-free interest rate	0.22	%
		Expected term, in years	1.17
		Dividend yield	0.00	%

December 31, 2019:

Description	Valuation technique	Unobservable inputs	Range
May 2018 Class A Warrants	Monte Carlo Model	Volatility	65.20	%
		Risk-free interest rate	1.67	%
		Expected term, in years	3.38
		Dividend yield	0.00	%
Calm Warrants	Monte Carlo Model	Volatility	66.90	%
		Risk-free interest rate	1.62	%
		Expected term, in years	4.52
		Dividend yield	0.00	%
Calm Conversion option	Monte Carlo Model	Volatility	66.90	%
		Risk-free interest rate	1.75	%
		Expected term, in years	2.41
		Dividend yield	0.00	%
B3D Conversion option	Monte Carlo Model	Volatility	65.70	%
		Risk-free interest rate	1.62	%
		Expected term, in years	1.42
		Dividend yield	0.00	%