Quarterly report pursuant to Section 13 or 15(d)

Financial Instruments Fair Value Measurements

v3.21.1
Financial Instruments Fair Value Measurements
3 Months Ended
Mar. 31, 2021
Fair Value Disclosures [Abstract]  
Financial Instruments Fair Value Measurements

Note 5 — Financial Instruments Fair Value Measurements

 

Recurring Fair Value Measurements

 

The fair value hierarchy table for the reporting dates noted 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  
March 31, 2021                                
Senior Secured Convertible Note - November 2019   $     $     $     $  
Senior Convertible Note - April 2020   $     $     $     $  
Senior Secured Convertible Note – August 2020   $     $     $     $  
Totals   $     $     $     $  
                                 
December 31, 2020                                
Senior Secured Convertible Note - November 2019   $     $     $ 1,270     $ 1,270  
Senior Convertible Note - April 2020   $     $     $ 4,600     $ 4,600  
Senior Secured Convertible Note – August 2020   $     $     $ 8,790     $ 8,790  
Totals   $     $     $ 14,660     $ 14,660  

 

(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.

 

The Senior Secured Convertible Note dated August 6, 2020, the Senior Convertible Note dated April 30, 2020, the Senior Secured Convertible Note (Series-A and Series-B), dated November 19, 2019, and the Senior Secured Convertible Note dated December 27, 2018, were each accounted for under the fair value option (“FVO”) election, wherein, each of the convertible notes were initially measured at their respective issue-date estimated fair value and subsequently remeasured at estimated fair value on a recurring basis at each reporting period date, with the resulting fair value adjustment recognized as other income (expense) in the unaudited condensed consolidated statement of operations.

 

There were no fair value measurements as of March 31, 2021 as each of the convertible notes were repaid-in-full as of March 31, 2020 (as discussed herein below in Note 6, Debt). The estimated fair value of each of the convertible notes as of December 31, 2020, were 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, and were therefore classified within the Level 3 category, as the fair value was determined using both observable inputs and unobservable inputs. 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.

 

The estimated fair values reported utilized the Company’s common stock price along with certain Level 3 inputs, as discussed above, in the development of Monte Carlo simulation models, discounted cash flow analyses, and /or Black-Scholes valuation models. The estimated fair values are subjective and are affected by changes in inputs to the valuation models /analyses, including the Company’s common stock price, the Company’s dividend yield, the risk-free rates based on U.S. Treasury security yields, and certain other Level-3 inputs including, assumptions regarding the estimated volatility in the value of the Company’s common stock price. Changes in these assumptions can materially affect the estimated fair values.