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Fair Value Measurements (Tables)
 3 Months Ended
Mar. 31, 2020
Fair Value Disclosures [Abstract]  
Schedule of financial liabilities measured at fair value on recurring basis
The following tables provide a summary of the liabilities measured at fair value on a recurring basis (in thousands): 
 
March 31, 2020
 
(Level 1)
 
(Level 2)
 
(Level 3)
 
Total
 Balance
Compound embedded derivative with the 2013 8.00% Notes
$
—

 
$
—

 
$
(275
)
 
$
(275
)
Compound embedded derivative with the Second Lien Term Loan Facility
—

 
—

 
(3,280
)
 
(3,280
)
Total liabilities measured at fair value
$
—

 
$
—

 
$
(3,555
)
 
$
(3,555
)
 
 
December 31, 2019
 
(Level 1)
 
(Level 2)
 
(Level 3)
 
Total
 Balance
Compound embedded derivative with the 2013 8.00% Notes
$
—

 
$
—

 
$
(522
)
 
$
(522
)
Compound embedded derivative with the Loan Agreement with Thermo
—

 
—

 
(1,270
)
 
(1,270
)
Compound embedded derivative with the Second Lien Term Loan Facility
—

 
—

 
(2,000
)
 
(2,000
)
Total liabilities measured at fair value
$
—

 
$
—

 
$
(3,792
)
 
$
(3,792
)
Schedule of significant quantitative Level 3 inputs utilized
The significant quantitative Level 3 inputs utilized in the valuation models are shown in the tables below:
 
March 31, 2020
 
Stock Price
Volatility
 
Risk-Free
Interest
Rate
 
Note
Conversion
Price
 
Discount Rate
 
Market Price of Common Stock
Compound embedded derivative with the 2013 8.00% Notes
80% - 118%
 
0.3
%
 
$0.69
 
33
%
 
$0.29
 
 
December 31, 2019
 
Stock Price
Volatility
 
Risk-Free
Interest
Rate
 
Note
Conversion
Price
 
Discount Rate
 
Market Price of Common Stock
Compound embedded derivative with the 2013 8.00% Notes
70% - 130%
 
1.6
%
 
$0.69
 
27
%
 
$0.52
Compound embedded derivative with the Loan Agreement with Thermo
70% - 130%
 
1.6
%
 
$0.69
 
27
%
 
$0.52

The significant quantitative Level 3 inputs utilized in the valuation models as of the conversion date are shown in the table below:

 
February 19, 2020
 
Stock Price
 Volatility
 
Risk-Free Interest Rate
 
Note Conversion Price
 
Discount Rate
 
Market Price of Common Stock
Compound embedded derivative with the Loan Agreement with Thermo
70% - 130%
 
1.4
%
 
$0.69
 
27
%
 
$0.42
Schedule of rollforward of liabilities measured at fair value
The following table presents a rollforward for all liabilities measured at fair value on a recurring basis using significant unobservable inputs (Level 3) (in thousands):
Balance at beginning of period, January 1, 2020 and 2019, respectively
$
(3,792
)
 
$
(146,865
)
Issuance of compound embedded derivative with the Second Lien Term Loan Facility
—

 
(2,000
)
Derivative adjustment related to conversions and exercises
1,058

 
—

Unrealized (loss) gain, included in derivative (loss) gain
(821
)
 
145,073

Balance at end of period, March 31, 2020 and December 31, 2019, respectively
$
(3,555
)
 
$
(3,792
)
Schedule of carrying values and estimated fair values of debt instruments
The following table sets forth the carrying values and estimated fair values of the Company's other debt instruments, which are classified as Level 3 financial instruments (in thousands):
 
March 31, 2020
 
December 31, 2019
 
Carrying Value
 
Estimated Fair Value
 
Carrying Value
 
Estimated Fair Value
Loan Agreement with Thermo
$
—

 
$
—

 
$
116,543

 
$
88,886

2013 8.00% Notes
1,410

 
796

 
1,410

 
875