Annual report pursuant to Section 13 and 15(d)

Fair Value Measurements

v3.20.1
Fair Value Measurements
 12 Months Ended
Dec. 31, 2019
Fair Value Disclosures [Abstract]  
Fair Value Measurements

Note 6. Fair Value Measurements

 

On January 28, 2019 the Company issued the notes and warrants which were classified as liabilities and measured at fair value on the issuance date, with changes in fair value recognized as other expense on the consolidated statements of operations and disclosed in the unaudited condensed interim consolidated financial statements. As of June 27, 2019, in accordance with their original terms, all of the Notes were converted into a total of 1,813,500 shares of the Company’s common stock by their holders. See Note 10.

 

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

 

 

There were no assets or liabilities measured at fair value during the year ended December 31, 2018.

 

Unobservable inputs were used to determine the fair value of positions that the Company has classified within the Level 3 category.

 

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   $ —       $ —