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Fair Value Measurements

12 Months Ended

Dec. 31, 2019

(12)	Fair Value Measurements

The table below presents the activity within Level 3 of the fair value hierarchy for the twelve months ended December 31, 2019:

Fair Value Measurements Using Significant Unobservable

Inputs (Level 3)

(in thousands)	Warrant Liability
Balance at January 1, 2018	$	560
Fair value of warrants issued		23,533
Total change in the liability included in earnings		(19,706	)
Reclass from liability to equity		(4,210	)
Fair value of warrants exchanged		(144	)
Balance at December 31, 2018		33
Total change in the liability included in earnings		(17,498	)
Reclass from liability to equity		(11	)
Fair value of warrants issued		20,844
Balance at December 31, 2019		3,368

At December 31, 2018, the Company had a total of 179 February 2018 Warrants outstanding, which were surrendered pursuant to a settlement agreement entered into between the Company and the holders of the February 2018 Warrants on April 18, 2019 and final payment under the settlement was made on July 16, 2019.

The fair value of the Warrants at December 31, 2019 was determined by using option pricing models assuming the following:

	December 31,		December 31,
	2019		2018
Expected life (in years)		4.6	1.1 - 5.1
Expected volatility	207.5%		145.7% - 265.3%
Risk-free interest rates	1.7%		2.5% - 2.6%

The table below presents the Company’s assets and liabilities measured at fair value on a recurring basis as of December 31, 2019 and 2018, aggregated by the level in the fair value hierarchy within which those measurements fall.

Assets and Liabilities Measured at Fair Value on a Recurring Basis

	Assets and Liabilities Measured at Fair Value on a Recurring Basis
	Level 1				Level 2				Level 3				Balance at December 31,
(in thousands)	2019		2018		2019		2018		2019		2018		2019		2018
Liabilities
Derivative instrument liabilities	$	—	$	—	$	—	$	—	$	3,368	$	33	$	3,368	$	33

For the twelve months ended December 31, 2019 and 2018 there were no transfers in or out of Level 1, 2 or 3 inputs.

- Definition

The entire disclosure for the fair value of financial instruments (as defined), including financial assets and financial liabilities (collectively, as defined), and the measurements of those instruments as well as disclosures related to the fair value of non-financial assets and liabilities. Such disclosures about the financial instruments, assets, and liabilities would include: (1) the fair value of the required items together with their carrying amounts (as appropriate); (2) for items for which it is not practicable to estimate fair value, disclosure would include: (a) information pertinent to estimating fair value (including, carrying amount, effective interest rate, and maturity, and (b) the reasons why it is not practicable to estimate fair value; (3) significant concentrations of credit risk including: (a) information about the activity, region, or economic characteristics identifying a concentration, (b) the maximum amount of loss the entity is exposed to based on the gross fair value of the related item, (c) policy for requiring collateral or other security and information as to accessing such collateral or security, and (d) the nature and brief description of such collateral or security; (4) quantitative information about market risks and how such risks are managed; (5) for items measured on both a recurring and nonrecurring basis information regarding the inputs used to develop the fair value measurement; and (6) for items presented in the financial statement for which fair value measurement is elected: (a) information necessary to understand the reasons for the election, (b) discussion of the effect of fair value changes on earnings, (c) a description of [similar groups] items for which the election is made and the relation thereof to the balance sheet, the aggregate carrying value of items included in the balance sheet that are not eligible for the election; (7) all other required (as defined) and desired information.

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