Note 13 - Fair Value Measurements

12 Months Ended

Dec. 31, 2020

Notes to Financial Statements

Fair Value Disclosures [Text Block]

NOTE 13 – FAIR VALUE MEASUREMENTS

The following table presents information about warrant derivative liabilities and indicates the fair value hierarchy of the valuation techniques we utilized to determine such fair value. In general, fair values determined by Level 1 inputs utilize quoted prices (unadjusted) in active markets for identical assets or liabilities. We consider a security that trades at least weekly to have an active market. Fair values determined by Level 2 inputs utilize data points that are observable, such as quoted prices, interest rates and yield curves. Fair values determined by Level 3 inputs are unobservable data points for the asset or liability, and include situations where there is little, if any, market activity for the asset or liability.  

On March 5, 2020, the Company entered into an amendment to a warrant agreement with its senior lender which, among other provisions, repriced 362,500 warrants held by the senior lender to $6.75 (the “Warrant”) (see Note 6 – “Long-Term Debt”, above). As a result, the Company reclassified the carrying value of the Warrant prior to the modification from additional paid-in capital in the amount of $865 thousand to a warrant liability, as the Warrant met the definition of a derivative. In addition, the Company recorded debt issuance costs in the amount of $1.1 million, which was the increase in fair value of the warrant at the time of the modification. The fair value of the warrant liability is remeasured each reporting period using an option pricing model, and the change in fair value is recorded as an adjustment to the warrant liability with the unrealized gains or losses reflect in interest expense. The Company recognized an unrealized gain of $139 thousand related to the remeasurement of the warrant derivative liability at fair value during the year ended December 31, 2020.

	Derivatives at Fair Value as of December 31, 2020
(in thousands)	Level 1		Level 2		Level 3		Total
Warrant liabilities		-		-		1,847		1,847
Total warrant liabilities	$	-	$	-	$	1,847	$	1,847

The following table presents a reconciliation of Level 3 activity for the years ended December 31, 2019 and 2020:

	Level 3 Liabilities
(in thousands)	Warrant Liabilities
Balance at January 1, 2019	$	(865	)
Reclassification of warrant liability to additional paid-in capital upon adoption of ASU 2017-11		865
Balance at December 31, 2019		-
Reclassification of warrant liability		1,986
Unrealized gains, net		(139	)
Balance at December 31 ,2020	$	1,847