XML 20 R11.htm IDEA: XBRL DOCUMENT v3.10.0.1
Fair Value Measurements
9 Months Ended
Sep. 30, 2018
Fair Value Disclosures [Abstract]  
Fair Value Disclosures [Text Block]
4. Fair Value Measurements
 
Derivative Warrants Granted in 2018
 
During the nine months ended September 30, 2018, the Company granted approximately 69.1 million warrants (the “Warrants”) to multiple investors (the “Holders”), including 11.7 million contingently issuable warrants to Linda F. Powers, the Company’s Chief Executive Officer. Since the Company’s adoption of a sequencing policy, the warrants were classified as liabilities and measured at fair value on the grant date, with changes in fair value recognized as other income on the statements of operations and disclosed in the financial statements.
 
A summary of weighted average (in aggregate) significant unobservable inputs (Level 3 inputs) used in measuring warrants granted during the nine months ended September 30, 2018 is as follows:
 
 
 
2018 Warrants Granted Associated with
 
 
 
Series A Convertible
 
 
Series B Convertible
 
 
 
 
 
Issuance of
 
 
Modification of
 
 
 
Preferred Stock
 
 
Preferred Stock
 
 
Common Stock
 
 
Debt
 
 
Warrant Liabilities
 
Strike price
 
$
0.22
 
 
$
0.30
 
 
$
0.30
 
 
$
0.31
 
 
$
0.26
 
Contractual term (years)
 
 
2.0
 
 
 
2.0
 
 
 
2.0
 
 
 
4.9
 
 
 
3.8
 
Volatility (annual)
 
 
116
%
 
 
115
%
 
 
114
%
 
 
94
%
 
 
99
%
Risk-free rate
 
 
2
%
 
 
2
%
 
 
3
%
 
 
3
%
 
 
3
%
Dividend yield (per share)
 
 
0
%
 
 
0
%
 
 
0
%
 
 
0
%
 
 
0
%
 
The following table classifies the Company’s liabilities measured at fair value on a recurring basis into the fair value hierarchy as of September 30, 2018 and December 31, 2017 (in thousands):
 
 
 
Fair value measured at September 30, 2018
 
 
 
 
 
 
Quoted prices
 
 
 
 
 
 
 
 
 
 
 
 
in active
 
 
Significant other
 
 
Significant
 
 
 
Fair value at
 
 
markets
 
 
observable inputs
 
 
unobservable inputs
 
 
 
September 30, 2018
 
 
(Level 1)
 
 
(Level 2)
 
 
(Level 3)
 
Warrant liability
 
$
29,552
 
 
$
-
 
 
$
-
 
 
$
29,552
 
Embedded conversion feature
 
 
1,690
 
 
 
-
 
 
 
-
 
 
 
1,690
 
Share-settled debt (in default)
 
 
855
 
 
 
-
 
 
 
-
 
 
 
855
 
Total fair value
 
$
32,097
 
 
$
-
 
 
$
-
 
 
$
32,097
 
 
 
 
Fair value measured at December 31, 2017
 
 
 
 
 
 
Quoted prices
 
 
 
 
 
 
 
 
 
 
 
 
in active
 
 
Significant other
 
 
Significant
 
 
 
Fair value at
 
 
markets
 
 
observable inputs
 
 
unobservable inputs
 
 
 
December 31, 2017
 
 
(Level 1)
 
 
(Level 2)
 
 
(Level 3)
 
Warrant liability
 
$
40,171
 
 
$
-
 
 
$
-
 
 
$
40,171
 
Embedded conversion feature
 
 
2,608
 
 
 
-
 
 
 
-
 
 
 
2,608
 
Share-settled debt (in default)
 
 
3,308
 
 
 
-
 
 
 
-
 
 
 
3,308
 
Total fair value
 
$
46,087
 
 
$
-
 
 
$
-
 
 
$
46,087
 
 
There were no transfers between Level 1, 2 or 3 during the nine-month period ended September 30, 2018.
 
The following table presents changes in Level 3 liabilities measured at fair value for the nine-month period ended September 30, 2018. 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 that were attributable to both observable (e.g., changes in market interest rates) and unobservable (e.g., changes in unobservable long- dated volatilities) inputs (in thousands).
 
     
Embedded
  
Share-settled
    
  
Warrant
  
Conversion
  
Debt
    
  
Liability
  
Feature
  
(in Default)
  
Total
 
Balance – January 1, 2018 $40,171  $2,608  $3,308  $46,087 
Warrants granted  9,509   -   -   9,509 
Bifurcated embedded derivative liability  -   351   -   351 
Extinguishment of warrant liabilities related to warrants exercised for cash  (2,177)  -   -   (2,177)
Conversion of share-settled debt  -   -   (2,453)  (2,453)
Change in fair value  (17,951)  (1,269)  -   (19,220)
Balance – September 30, 2018 $29,552  $1,690  $855  $32,097 
 
A summary of the weighted average (in aggregate) significant unobservable inputs (Level 3 inputs) used in measuring the Company’s warrant liabilities and embedded conversion feature that are categorized within Level 3 of the fair value hierarchy as of September 30, 2018 is as follows:
 
  
As of September 30, 2018
  
As of December 31, 2017
 
 
 
 
 
 
Embedded
 
 
 
 
 
Embedded
 
  
Warrant
  
 Conversion
  
Warrant
  
Conversion
 
  
Liability
  
Feature
  
Liability
  
Feature
 
Strike price $0.19  $0.44  $0.31  $0.50 
Contractual term (years)  2.2   1.5   2.6   2.5 
Volatility (annual)  92%  85%  110%  102%
Risk-free rate  3%  3%  2%  2%
Dividend yield (per share)  0%  0%  0%  0%