Convertible Notes (Tables)

6 Months Ended

Jun. 30, 2019

Debt Disclosure [Abstract]

Convertible Promissory Notes

Convertible promissory notes outstanding were as follows:

($ in thousands)	June 30, 2019			December 31, 2018
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)	June 30, 2019			December 31, 2018
Calculated aggregate value	$	2,557		$	1,474
Closing price per share of common stock	$	1.90		$	1.50
Contractual remaining term	7 years, 2 months			7 years, 8 months
Contractual interest rate	4.0		%	4.0		%
Volume-weighted average conversion rate	$	17.04667		$	17.04667
Risk-free interest rate (term structure)	1.71% - 2.18%			2.44% - 2.69%
Dividend yield	—			—
Credit Rating	CC			CC
Credit Spread	28.01		%	31.77		%
Volatility	89.2		%	87.5		%