Financial Instruments Fair Value Measurements

12 Months Ended

Dec. 31, 2020

Fair Value Disclosures [Abstract]

Financial Instruments Fair Value Measurements

Note 8 — Financial Instruments Fair Value Measurements

Recurring Fair Value Measurements

The fair value hierarchy table for the periods indicated 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
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
December 31, 2019
Senior Secured Convertible Note - December 2018	$	—	$	—	$	1,700	$	1,700
Senior Secured Convertible Note - November 2019	$	—	$	—	$	6,439	$	6,439
Totals	$	—	$	—	$	8,139	$	8,139

⁽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. There were no transfers between the respective Levels during the years ended December 31, 2020 and 2019.

The August 2020 Senior Secured Convertible Note, the April 2020 Senior Convertible Note, the November 2019 Senior Secured Convertible Note (Series-A and Series-B), and the December 2018 Senior Secured Convertible Note are each accounted for under the ASC 825-10-15-4 fair value option (“FVO”) election. Under the FVO election the financial instrument is initially measured at its 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 consolidated statement of operations. In this regard, as provided for by ASC 825-10-50-30(b), the estimated fair value adjustment is presented as a single line item within other income (expense) in the accompanying consolidated statement of operations.

The estimated fair value of financial instruments classified within the Level 3 category 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. Additional information with respect to the changes in Level 3 liabilities measured at fair value for the years ended December 31, 2020 and 2019, is presented in Note 9 – “Outstanding Debt.”

The estimated fair value of each of the convertible notes as of December 31, 2020 and 2019, 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, using the following assumptions:

Senior Secured Convertible Notes and Senior Convertible Note - Fair Value and Fair Value Assumptions – December 31, 2020:

	November 2019 Senior Secured Convertible Notes			April 2020 Senior Convertible Note			August 2020 Senior Secured Convertible Note
Fair Value	$	1,270		$	4,600		$	8,790
Face value principal payable	$	956		$	4,111		$	7,750
Required rate of return		0.09	%		50.2	%		27.2	%
Conversion Price	$	1.60		$	5.00		$	5.00
Value of common stock	$	2.12		$	2.12		$	2.12
Expected term (years)		0.25			1.33			1.59
Volatility		70	%		70	%		70	%
Risk free rate		0.09	%		0.11	%		0.12	%
Dividend yield		0	%		0	%		0	%

Senior Secured Convertible Notes Fair Value and Fair Value Assumptions – December 31, 2019:

	December 2018 Senior Secured Convertible Note			November 2019 Senior Secured Convertible Note
Fair Value	$	1,700		$	6,439
Face value principal payable	$	1,692		$	7,000
Required rate of return		11.4	%		11.5	%
Conversion Price	$	1.60		$	1.60
Value of common stock	$	1.20		$	1.20
Expected term (years)		0.21			1.78
Volatility		49	%		55	%
Risk free rate		1.52	%		1.58	%
Dividend yield		0	%		0	%

The estimated fair values reported utilize the Company’s common stock price along with certain Level 3 inputs, as discussed below, 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.