Annual report pursuant to Section 13 and 15(d)

Fair Value Measurements (Tables)

v3.20.1
Fair Value Measurements (Tables)
 12 Months Ended
Dec. 31, 2019
Fair Value Disclosures [Abstract]  
Schedule of Weighted Average Unobservable Inputs

A summary of weighted average (in aggregate) significant unobservable inputs (Level 3 inputs) used in measuring the Company’s Notes and Warrants at the issuance date of January 28, 2019 and during the conversion of the Notes as of June 27, 2019, are as follows:

 

Senior Secured Promissory Notes

 

  January 28, 2019   As of June 27, 2019
Dividend yield 0%   0%
Expected price volatility 119.5%   122.2%-127.1%
Risk free interest rate 2.60%   2.07%-2.44%
Expected term 1 year   -

 

Warrants

 

  January 28, 2019   As of June 27, 2019
Dividend yield 0%   0%
Expected price volatility 111.6%   119.9%-120.5%
Risk free interest rate 2.58%   2.23%-2.58%
Expected term 5 years   4 years, 10 months
Schedule of Changes in Level 3 Liabilities Measured at Fair Value

The following table presents changes in Level 3 liabilities measured at fair value for the year ended December 31, 2019 (in thousands):

 

    Convertible Notes   Warrant Liability
Issuance of senior secured convertible notes   $ 6,330     $ —    
Issuance of warrants in connection with convertible notes     —         2,570  
Balance at January 28, 2019     6,330       2,570  
Change in fair value     3,896       2,869  
Conversion of convertible notes to common stock     (10,226 )     —    
Reclassification of warrant liability to equity     —         (5,439 )
Balance at December 31, 2019   $ —       $ —