XML 37 R27.htm IDEA: XBRL DOCUMENT v3.19.2
Fair Value Measurements (Tables)
3 Months Ended
Mar. 31, 2019
Fair Value Disclosures [Abstract]  
Schedule of Fair Value of Liabilities Measured on Recurring Basis

The following table classifies the Company’s liabilities measured at fair value on a recurring basis into the fair value hierarchy as of March 31, 2019 and December 31,2018 (in thousands):

 

    Fair Value measured at March 31, 2019  
      Quoted prices in active markets (Level 1)       Significant other observable inputs (Level 2)       Significant unobservable inputs (Level 3)  
Derivative liability - convertible notes   $ -     $ -     $ 321  
Derivative liability - related party convertible notes     -       -       569  
Total Derivative Liability   $ -     $ -     $ 890  
Profits interest sold     -       -       212  
Warrant Liability     -       -       2,051  
Total Fair Value   $ -     $ -     $ 3,153  

 

    Fair Value measured at December 31, 2018  
   

Quoted prices in
active markets

(Level 1)

   

Significant other observable inputs

(Level 2)

   

Significant unobservable inputs

(Level 3)

 
Derivative liability - convertible notes   $    -     $      -     $ 469  
Derivative liability - related party convertible notes     -       -       549  
Total Derivative Liability   $ -     $ -     $ 1,018  
Warrant Liability     -       -       4,528  
Total Fair Value   $ -     $ -     $ 5,546  

Schedule of Liability for Derivatives and Warrants

The following table presents changes in Level 3 liabilities measured at fair value for the three months ended March 31, 2019. Unobservable inputs were used to determine the fair value of positions that the Company has classified within the Level 3 category.

 

    Derivative     Warrants (assumed from subsidiary)     Profits interest sold  
Fair value at December 31, 2018   $ 1,018     $ 4,528     $ -  
Change in fair value     (128 )     (2,477 )     -  
Additions     -       -       212  
Fair value at March 31, 2019   $ 890     $ 2,051     $ 212  

Schedule of Warrant Liabilities, Change In Using Black Scholes to Monte Carlo Simulation Assumptions

The Company used a Monte Carlo simulation model to estimate the fair value of the warrant liability with the following assumptions at March 31, 2019 and December 31, 2018:

 

    March 31, 2019     December 31, 2018  
Exercise price   $ 0.75     $ 0.75  
Stock price - subsidiary   $ 0.15     $ 0.22  
Discount applied     50 %     50 %
Fair value of stock price   $ 0.04     $ 0.09  
Risk free rate     2.22 %     2.49 %
Contractual term (years)     3.83       4.08  
Expected dividend yield     0 %     0 %
Expected volatility     85.8 %     86.5 %
Number of subsidiary warrants outstanding     48,904,037       48,904,037  
Term (years)   $ 2,051     $ 4,528