Financial Instruments Fair Value Measurements (Tables)
|
12 Months Ended |
Dec. 31, 2019 |
|---|
| Schedule of Financial Liabilities Measured at Fair Value on Recurring Basis |
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
Inputs |
|
|
Level - 2
Inputs |
|
|
Level - 3
Inputs |
|
|
Total |
|
| December 31, 2019 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Senior Secured Convertible Note - issued December 27, 2018 |
|
$ |
- |
|
|
$ |
- |
|
|
$ |
1,700,000 |
|
|
$ |
1,700,000 |
|
| Senior Secured Convertible Note - Series A - issued November 4, 2019 |
|
|
- |
|
|
|
- |
|
|
$ |
6,439,000 |
|
|
$ |
6,439,000 |
|
| Totals |
|
$ |
- |
|
|
$ |
- |
|
|
$ |
8,139,000 |
|
|
$ |
8,139,000 |
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| December 31, 2018 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Senior Secured Convertible Note - issued December 27, 2018 |
|
$ |
- |
|
|
$ |
- |
|
|
$ |
7,903,000 |
|
|
$ |
7,903,000 |
|
| Totals |
|
$ |
- |
|
|
$ |
- |
|
|
$ |
7,903,000 |
|
|
$ |
7,903,000 |
|
| (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. |
|
| Schedule of Senior Convertible Note Estimated Fair Value |
As discussed above, under
the ASC-825 FVO election the Series A November 2019 Senior Convertible Note was initially measured at its estimated fair value
on its issue date of November 4, 2019, summarized as follows:
| Series A November 2019 Senior Secured Convertible Note - Issue Date November 4, 2019 |
|
Fair Value |
|
| Face value principal - Series A November 2019 Senior Convertible Note |
|
$ |
7,000,000 |
|
| Less: lender fees |
|
|
(700,000 |
) |
| Cash proceeds - Series A November 2019 Senior Convertible Note |
|
$ |
6,300,000 |
|
| Loss-upon-issue - lender fees |
|
|
700,000 |
|
| Fair value adjustment |
|
|
(648,000 |
) |
| Fair value - Series A November 2019 Senior Convertible Note - issue date November 4, 2019 |
|
$ |
6,352,000 |
|
|
| Schedule of Senior Convertible Note Estimated Fair Value and Changes in Face Value Principal Payable |
The Series A November 2019
Senior Convertible Note estimated fair value and face value principal, and the corresponding changes in estimated fair value and
face value principal payable, as of each of the respective dates noted, are as follows:
| |
|
Fair Value |
|
|
Face Value
Principal Payable
|
|
| Fair Value /Face Value principal - issue date November 4, 2019 |
|
$ |
6,352,000 |
|
|
$ |
7,000,000 |
|
| Less: repayment - bi-monthly Installment Amount - common stock |
|
|
— |
|
|
|
— |
|
| Less: repayment - Accelerated Installment Amount - common stock |
|
|
— |
|
|
|
— |
|
| Less: non-installment payments - cash |
|
|
(85,750 |
) |
|
|
— |
|
| Less: non-installment payments - common stock |
|
|
— |
|
|
|
— |
|
| Fair value adjustment |
|
|
172,750 |
|
|
|
— |
|
| Fair Value /Face Value principal - December 31, 2019 |
|
$ |
6,439,000 |
|
|
$ |
7,000,000 |
|
The December 2018 Senior
Convertible Note estimated fair value and face value principal, and the corresponding changes in estimated fair value and face
value principal payable, as of each of the respective dates noted, is summarized as follows:
| |
|
|
|
|
Face Value |
|
| |
|
|
|
|
Principal |
|
| |
|
Face Value |
|
|
Payable |
|
| Fair Value /Face Value principal payable - issue date December 27, 2018 |
|
$ |
7,750,000 |
|
|
$ |
7,750,000 |
|
| Less: repayment - bi-monthly Installment Amount - common stock |
|
|
— |
|
|
|
|
|
| Less: repayment - Accelerated Installment Amount - common stock |
|
|
— |
|
|
|
|
|
| Less: non-installment payments - cash |
|
|
— |
|
|
|
|
|
| Less: non-installment payments - common stock |
|
|
— |
|
|
|
|
|
| Fair value adjustment |
|
|
153,000 |
|
|
|
— |
|
| Fair Value /Face Value Principal Payable - December 31, 2018 |
|
$ |
7,903,000 |
|
|
|
7,750,000 |
|
| Less: repayment - bi-monthly Installment Amount - common stock |
|
|
1,727,500 |
|
|
|
1,727,500 |
|
| Less: repayment - Accelerated Installment Amount - common stock |
|
|
3,016,500 |
|
|
|
3,016,500 |
|
| Less: repayment - voluntary conversion price adjustments - common stock |
|
|
1,314,000 |
|
|
|
1,314,000 |
|
| Less: non-installment payments - cash |
|
|
279,002 |
|
|
|
— |
|
| Less: non-installment payments - common stock |
|
|
199,847 |
|
|
|
— |
|
| Fair value adjustment |
|
|
333,849 |
|
|
|
— |
|
| Fair Value /Face Value Principal Payable - December 31, 2019 |
|
$ |
1,700,000 |
|
|
$ |
1,692,000 |
|
|
| Schedule of Fair Value Assumption Used |
The estimated fair value
of the Senior Convertible Note Series A as of its November 4, 2019 issue date and as of December 31, 2019, was computed using a
Monte Carlo simulation of the present value of its cash flows using a synthetic credit rating analysis and a required rate of return,
using the following assumptions:
| |
|
December 31, 2019 |
|
|
Issue Date
November 4, 2019 |
|
| Face value principal payable |
|
$ |
7,000,000 |
|
|
$ |
7,000,000 |
|
| Original Conversion price |
|
$ |
1.60 |
|
|
$ |
1.60 |
|
| Value of common stock |
|
$ |
0.89 |
|
|
$ |
0.89 |
|
| Expected term (years) |
|
|
1.78 |
|
|
|
1.93 |
|
| Volatility |
|
|
55 |
% |
|
|
55 |
% |
| Risk free rate |
|
|
1.58 |
% |
|
|
1.6 |
% |
The estimated fair value
as of December 31, 2019, December 31, 2018 and on issue date of December 27, 2018 of the December 2018 Senior Secured Convertible
Note was computed using a combination of the present value of the Senior Secured Convertible Note cash flows using a synthetic
credit rating analysis’ required rate of return and the Black-Scholes option pricing model, using the following assumptions:
| Fair Value Assumptions |
|
Year Ended |
|
|
Issue Date |
|
| December 2018 Senior Secured Convertible Note |
|
December 31, 2019 |
|
|
December 31, 2018 |
|
|
December 27, 2018 |
|
| |
|
|
|
|
|
|
|
|
|
| Face value principal payable |
|
$ |
1,692,000 |
|
|
$ |
7,750,000 |
|
|
$ |
7,750,000 |
|
| Required rate of return |
|
|
11.1 |
% |
|
|
13.1 |
% |
|
|
13.2 |
% |
| Conversion price |
|
$ |
1.60 |
|
|
$ |
1.60 |
|
|
$ |
1.60 |
|
| Value of common stock |
|
$ |
1.20 |
|
|
$ |
0.96 |
|
|
$ |
0.92 |
|
| Expected term (years) |
|
|
0.21 |
|
|
|
2 |
|
|
|
2 |
|
| Volatility |
|
|
49 |
% |
|
|
50 |
% |
|
|
46 |
% |
| Risk free rate |
|
|
1.5 |
% |
|
|
2.5 |
% |
|
|
2.5 |
% |
| Dividend yield |
|
|
0 |
% |
|
|
0 |
% |
|
|
0 |
% |
|
| Schedule of Deemed Dividend Charged to Accumulated Deficit |
The March 15, 2018 Exchange
Date estimated fair value of the consideration given of $873,835 of the 499,334 shares of the equity-classified Series B Convertible
Preferred Stock issued-upon-exchange, as compared to the (temporary equity) carrying value of 249,667 shares of Series A Convertible
Preferred Stock and the estimated fair value of the corresponding conversion option derivative liability of $147,304, resulted
in incremental estimated fair value of $726,531 recognized as a deemed dividend charged to accumulated deficit on the March 15,
2018 Exchange Date, with such deemed dividend included as a component of “net loss attributable to PAVmed Inc. common stockholders”,
summarized as follows:
| Series B Convertible Preferred Stock Issued-Upon-Exchange |
|
Series A
Series A-1 |
|
Series A Convertible Preferred Stock and Conversion Option Derivative Liability
Extinguished-Upon-Exchange
Deemed Dividend Charged to Accumulated Deficit |
|
Exchange Offer
March 15, 2018
Exchange Date |
|
| Fair value - 499,334 shares of Series B Convertible Preferred Stock issued-upon-exchange |
|
$ |
873,835 |
|
| Less: Fair value - Series A Convertible Preferred Stock conversion option derivative liability extinguished-upon-exchange |
|
|
147,304 |
|
| Less: Carrying value - 249,667 shares of Series A Convertible Preferred Stock extinguished-upon-exchange |
|
|
- |
|
| Deemed dividend charged to accumulated deficit |
|
$ |
726,531 |
|
|
| Schedule of Estimated Fair Value Assumptions Used in Convertible Preferred Stock |
| |
|
Series A |
|
| |
|
Series A-1 |
|
Fair Value Assumptions
Series B Convertible Preferred Stock |
|
Exchange Offer
‘March 15,
2018 |
|
| |
|
|
|
| Aggregate fair value |
|
$ |
873,835 |
|
| Series B Convertible Preferred Stock shares |
|
|
499,334 |
|
| Required rate of return |
|
|
27.0 |
% |
| Common stock conversion factor numerator |
|
$ |
3.00 |
|
| Common stock conversion factor denominator |
|
$ |
3.00 |
|
| Value of Common Stock |
|
$ |
1.70 |
|
| Expected term (years) |
|
|
6.1 |
|
| Volatility |
|
|
59 |
% |
| Risk free rate |
|
|
2.7 |
% |
| Dividend yield |
|
|
0 |
% |
|
| Schedule of Series Z Warrants Issued-upon-exchange of Series A Warrants |
| |
|
|
|
|
Series Z Warrants |
|
|
Fair Values Change Series A Warrant |
|
| Series Z Warrants Issued Upon Exchange of Series A Warrants - March 15, 2018 |
|
Series A Warrants Derivative Liability |
|
|
Additional
Paid to
Capital
Equity
|
|
|
Derivative Liability Other Income (Expenses) |
|
| Series A Warrants derivative liability - December 31, 2017 |
|
$ |
761,123 |
|
|
$ |
- |
|
|
$ |
- |
|
| Series A Warrants derivative liability change in fair value - March 15, 2018 |
|
|
(246,561 |
) |
|
|
- |
|
|
|
246,561 |
|
| Sub-Total: Series A Warrants derivative liability - March 15, 2018 Exchange Date |
|
|
514,562 |
|
|
|
- |
|
|
|
246,561 |
|
| Series Z Warrants issued-upon-exchange of Series A Warrants - estimated fair value |
|
|
(514,562 |
) |
|
|
857,603 |
|
|
|
(343,041 |
) |
| Series Z Warrants issued-upon-exchange of Series A Warrants - March 15, 2018 |
|
$ |
- |
|
|
$ |
857,603 |
|
|
$ |
(96,480 |
) |
|
| Schedule of Equity Classified Series Z Warrants |
| |
|
Series A
Aeries A-1 |
|
| Series Z Warrants - issued-upon-exchange of Series A-1 Warrants - March 15, 2018 |
|
Exchange Offer
March 15, 2018
Exchange Date |
|
| Fair value - 1,399,185 Series Z Warrants issued-upon-exchange |
|
$ |
895,478 |
|
| Less: fair value - 279,837 Series A-1 Warrants extinguished-upon-exchange |
|
|
545,682 |
|
| Modification expense /increase to additional paid in capital |
|
|
349,796 |
|
| Carry value - 279,837 Series A-1 Warrants extinguished-upon-exchange - equity classified |
|
|
1,879,532 |
|
| Carry value - Series Z Warrants issued-upon-exchange of Series A-1 Warrants - equity classified |
|
$ |
2,229,328 |
|
|
| Series Z Convertible Preferred Stock [Member] |
|
| Schedule of Estimated Fair Value Assumptions Used in Convertible Preferred Stock |
| |
|
Series A |
|
| |
|
Series A-1 |
|
|
Fair Value Assumptions
Series Z Convertible Preferred Stock - issued upon exchange of Series
A-1 Convertible Preferred Stock
|
|
Exchange Offer
March 15, 2018 |
|
| |
|
|
|
| Aggregate fair value |
|
$ |
895,478 |
|
| Series Z Convertible Preferred Stock shares |
|
|
1,399,185 |
|
| Common stock conversion factor denominator |
|
$ |
3.00 |
|
| Value of Common Stock |
|
$ |
1.70 |
|
| Expected term (years) |
|
|
6.1 |
|
| Volatility |
|
|
59 |
% |
| Risk free rate |
|
|
2.7 |
% |
| Dividend yield |
|
|
0 |
% |
|
| Series A-1 Warrants [Member] |
|
| Schedule of Estimated Fair Value Assumptions Used in Convertible Preferred Stock |
| |
|
Series A |
|
| |
|
Series A-1 |
|
Fair Value Assumptions
Series Z Warrants issued upon exchange of Series A Warrants |
|
Exchange Offer
March 15, 2018 |
|
| |
|
|
|
| Aggregate fair value |
|
$ |
857,603 |
|
| Series Z Warrants issued upon exchange of Series A Warrants |
|
|
1,340,005 |
|
| Exercise price per share - Series Z Warrant |
|
$ |
3.00 |
|
| Value of Common Stock |
|
$ |
1.70 |
|
| Expected term (years) |
|
|
6.1 |
|
| Volatility |
|
|
59 |
% |
| Risk free rate |
|
|
2.7 |
% |
| Dividend yield |
|
|
0 |
% |
|
| Senior Secured Convertible Note [Member] |
|
| Schedule of Senior Convertible Note Estimated Fair Value |
As discussed above, under
the ASC-825 FVO election, the December 2018 Senior Convertible Note was initially measured at its estimated fair value on its issue
date of December 27, 2018, summarized as follows:
| |
|
Fair Value |
|
| Face Value principal payable - issue date December 27, 2018 |
|
$ |
7,750,000 |
|
| Less: lender fees |
|
|
(750,000 |
) |
| Cash proceeds |
|
|
7,000,000 |
|
| Loss-upon-issue - lender fees |
|
|
750,000 |
|
| Fair value adjustment |
|
|
— |
|
| Fair Value - December 2018 Senior Convertible Note - Issue Date December 27, 2018 |
|
$ |
7,750,000 |
|
|
| Series A and Series A-1 Exchange Offer [Member] |
|
| Schedule of Deemed Dividend Charged to Accumulated Deficit |
The March 15, 2018 Exchange
Date estimated fair value of the consideration given of $833,410 of the equity-classified 476,234 shares of Series B Convertible
Preferred Stock issued-upon-exchange, was less than the carrying value of $1,032,650 of the equity-classified 357,259 shares Series
A-1 Convertible Preferred Stock, resulting in an increase to additional paid in capital of $199,241 on the March 15, 2018 Exchange
Date, with such amount included as a component of “net loss attributable to PAVmed Inc. common stockholders”, summarized
as follows:
| |
|
Series A
Series A-1 |
|
|
Series B Convertible Preferred Stock Issued-Upon-Exchange
Series A-1 Convertible Preferred Stock Extinguished-Upon-Exchange
Increase - Additional Paid-In Capital
|
|
Exchange Offer
March 15, 2018
Exchange Date |
|
| Fair value - 476,234 shares of Series B Convertible Preferred Stock issued-upon-exchange |
|
$ |
833,410 |
|
| Less: Carry value - 357,259 shares - Series A-1 Convertible Preferred Stock extinguished-upon-exchange |
|
|
1,032,650 |
|
| Increase - additional paid-in capital |
|
$ |
199,240 |
|
|
| Series B Senior Secured Convertible Note [Member] |
|
| Schedule of Estimated Fair Value Assumptions Used in Convertible Preferred Stock |
| |
|
Series A |
|
| |
|
Series A-1 |
|
Fair Value Assumptions
Series B Convertible Preferred Stock - issued upon exchange of Series A-1 Convertible Preferred Stock |
|
Exchange Offer
March 15, 2018 |
|
| |
|
|
|
| Aggregate fair value |
|
$ |
833,410 |
|
| Series B Convertible Preferred Stock shares |
|
|
476,234 |
|
| Required rate of return |
|
|
27.0 |
% |
| Common stock conversion factor numerator |
|
$ |
3.00 |
|
| Common stock conversion factor denominator |
|
$ |
3.00 |
|
| Value of Common Stock |
|
$ |
1.70 |
|
| Expected term (years) |
|
|
6.1 |
|
| Volatility |
|
|
59 |
% |
| Risk free rate |
|
|
2.7 |
% |
| Dividend yield |
|
|
0 |
% |
|
| Series A 1 Secured Convertible Preferred Stock [Member] |
|
| Schedule of Estimated Fair Value Assumptions Used in Convertible Preferred Stock |
| |
|
Series A |
|
| |
|
Series A-1 |
|
|
Fair Value Assumptions
Series A-1 Convertible Preferred Stock - issued upon exchange of
Series Z Convertible Preferred Stock
|
|
Exchange Offer
March 15,2018 |
|
| |
|
|
|
| Aggregate fair value |
|
$ |
545,682 |
|
| Series A-1 Warrants exchanged for Series Z Warrants |
|
|
279,837 |
|
| Exercise price per share - Series A-1 Warrant |
|
$ |
6.67 |
|
| Series W Warrants |
|
|
1,399,185 |
|
| Exercise price per share - Series W Warrant |
|
|
5.00 |
|
| Value of Common Stock |
|
$ |
1.70 |
|
| Expected term (years) |
|
|
6.1 |
|
| Volatility |
|
|
67 |
% |
| Risk free rate |
|
|
2.5 |
% |
| Dividend yield |
|
|
0 |
% |
|