Convertible Notes (Tables)

3 Months Ended

Mar. 31, 2018

Debt Disclosure [Abstract]

Convertible Promissory Notes

Convertible promissory notes outstanding were as follows:

($ in thousands)	March 31, 2018			December 31, 2017
Convertible promissory notes	$	18,003		$	18,003
Debt discount - warrants	(9,598		)	(9,598		)
Debt discount - compound bifurcated derivatives	(1,267		)	(1,267		)
Debt discount - beneficial conversion feature	(7,138		)	(7,138		)
Convertible promissory notes, net	$	—		$	—

Fair Value of Compounded Bifurcated Derivatives

Significant inputs and assumptions used in the binomial lattice model for the derivative liability are as follows:

($ in thousands except per share data)	March 31, 2018			December 31, 2017
Calculated aggregate value	$	3,193		$	3,136
Closing price per share of common stock	$	0.59		$	0.64
Contractual remaining term	8 years, 5 months			8 years, 8 months
Contractual interest rate	4.0		%	4.0		%
Volume-weighted average conversion rate	$	3.40933		$	3.40933
Risk-free interest rate (term structure)	1.63% - 2.74%			1.28% - 2.40%
Dividend yield	—			—
Credit Rating	CC			CC
Credit Spread	35.50		%	36.98		%
Volatility	98.1		%	99.0		%