Quarterly report pursuant to Section 13 or 15(d)

Financial Instruments Fair Value Measurements

v3.20.2
Financial Instruments Fair Value Measurements
6 Months Ended
Jun. 30, 2020
Fair Value Disclosures [Abstract]  
Financial Instruments Fair Value Measurements

Note 9 — Financial Instruments Fair Value Measurements

 

Recurring Fair Value Measurements

 

The fair value hierarchy table for the periods indicated is as follows:

 

    Fair Value Measurement on a Recurring Basis at Reporting Date Using(1)
    Level-1     Level-2     Level-3        
    Inputs     Inputs     Inputs     Total  
June 30, 2020                                
Senior Secured Convertible Note - November 2019                   $ 12,300     $ 12,300  
Senior Secured Convertible Note - April 2020   $     $     $ 3,900     $ 3,900  
Totals   $     $     $ 16,200     $ 16,200  
                                 
December 31, 2019                                
Senior Secured Convertible Note - December 2018                   $ 1,700     $ 1,700  
Senior Secured Convertible Note - November 2019   $     $     $ 6,439     $ 6,439  
Totals   $     $     $ 8,139     $ 8,139  

 

(1) As noted above, as presented in the fair value hierarchy table, Level-1 represents quoted prices in active markets for identical items, Level-2 represents significant other observable inputs, and Level-3 represents significant unobservable inputs. There were no transfers between the respective Levels during the six-month period ended June 30, 2020.

 

The April 2020 Senior Convertible Note, the November 2019 Senior Secured Convertible Notes and the December 2018 Senior Secured Convertible Note are each accounted for under the ASC 825-10-15-4 fair value option (“FVO”) election. Under the FVO election the financial instrument is initially measured at its issue-date estimated fair value and subsequently remeasured at estimated fair value on a recurring basis at each reporting period date. As provided for by ASC 825-10-50-30(b), the estimated fair value adjustment is presented as a single line item within other income (expense) in the accompanying unaudited condensed consolidated statement of operations.

 

The following table presents changes in Level 3 liabilities measured at fair value for the six-month period ended June 30, 2020 and 2019. Both observable and unobservable inputs were used to determine the fair value of positions that the Company has classified within the Level 3 category. Unrealized gains and losses associated with liabilities within the Level 3 category include changes in fair value attributable to both observable (e.g., changes in market interest rates) and unobservable (e.g., changes in unobservable long- dated volatilities) inputs:

 

Fair Value Assumptions – June 30, 2020:

 

   

November 2019

Senior Secured

Convertible Note

Series A & Series B

   

April 2020

Senior

Convertible Note

 
Required rate of return     29 %     68 %
Conversion Price   $ 1.60     $ 5.00  
Expected term (years)     1.25       1.83  
Volatility     79 %     65 %
Risk free rate     0.16 %     0.16 %
Dividend yield     0 %     0 %

 

Fair Value Assumptions – June 30, 2019:

 

Required rate of return     11.1 %
Conversion Price   $ 1.60  
Expected term (years)     1.51  
Volatility     53 %
Risk free rate     1.8 %
Dividend yield     0 %