Fair Value (Tables)

9 Months Ended

Sep. 30, 2020

Fair Value Disclosures [Abstract]

Schedule of Assumptions to Estimate Fair Value of Warrants

The Company utilized the following assumptions to estimate the fair value of the August 2016 Warrants:

	September 30, 2020			December 31, 2019
Underlying price per share	$	2.15		$	0.54
Exercise price per share	$	82.50		$	82.50
Risk-free interest rate		0.12	%		1.58	%
Expected holding period		0.92			1.67
Expected volatility		125	%		96	%
Expected dividend yield		-			-

The Company utilized the following assumptions to estimate the fair value of the February 2017 Warrants:

	September 30, 2020			December 31, 2019
Underlying price per share	$	2.15		$	0.54
Exercise price per share	$	30.25 – 33.00		$	30.25-33.00
Risk-free interest rate		0.13	%		1.60	%
Expected holding period		1.84 – 1.85			2.59-2.60
Expected volatility		125	%		89	%
Expected dividend yield		-			-

The Company utilized the following assumptions to estimate the fair value of the June 2017 Warrants:

	September 30, 2020			December 31, 2019
Underlying price per share	$	2.15		$	0.54
Exercise price per share	$	27.50		$	27.50
Risk-free interest rate		0.13	%		1.60	%
Expected holding period		1.67			2.42
Expected volatility		130	%		91	%
Expected dividend yield		-			-

The Company utilized the following assumptions to estimate the fair value of the August 2017 Warrants:

	September 30, 2020			December 31, 2019
Underlying price per share	$	2.15		$	0.54
Exercise price per share		19.80		$	19.80
Risk-free interest rate		0.12	%		1.59	%
Expected holding period		1.43			2.18
Expected volatility		140	%		94	%
Expected dividend yield		-			-

 The Company utilized the following assumptions to estimate the fair value of the April 2018 Warrants:

	September 30, 2020			December 31, 2019
Underlying price per share	$	2.15		$	0.54
Exercise price per share	$	17.16		$	17.16
Risk-free interest rate		0.06 – 0.16	%		1.59%-1.65	%
Expected holding period		0.07 – 3.07			0.82-3.82
Expected volatility		100% - 105	%		86%-124	%
Expected dividend yield		-			-

The Company utilized the following assumptions to estimate the fair value of the March 2019 Warrants:

	September 30, 2020			December 31, 2019
Underlying price per share	$	2.15		$	0.54
Exercise price per share	$	8.80		$	8.80
Risk-free interest rate		0.19	%		1.66	%
Expected holding period		3.44			4.19
Expected volatility		100	%		87	%
Expected dividend yield		-			-

Schedule of Range of Probabilities

With the above factors utilized in analysis of the likelihood of the Put’s potential Liability, the Company estimated the range of probabilities related to a Put right being triggered as:

Range of Probability	Probability
Low		0.5	%
Medium		1.0	%
High		5.0	%

Schedule of Assets and Liabilities Measured at Fair Value on a Recurring Basis

The table below presents the balances of assets and liabilities measured at fair value on a recurring basis by level within the hierarchy as:

	(in thousands) As of September 30, 2020
	Total		Level 1		Level 2		Level 3
Assets:
U. S. Treasury notes	$	5,618	$	5,618	$	—	$	—
U.S. Government mortgage backed Securities		4,721		4,721		—		—
Corporate bonds		5,641		5,641		—		—
Marketable Securities	$	15,980	$	15,980	$	—	$	—
Liabilities:
Redeemable warrants	$	177	$	—	$	—	$	177

	(in thousands) As of December 31, 2019
	Total		Level 1		Level 2		Level 3
Assets:
Mutual Fund	$	7,308	$	7,308	$	—	$	—
Liabilities:
Redeemable warrants	$	57	$	—	$	—	$	57

Schedule of Changes in Level 3 Liabilities Measured at Fair Value on a Recurring Basis

The changes in Level 3 Liabilities measured at fair value on a recurring basis are summarized as follows (in thousands):

Redeemable warrants:
Balance at December 31, 2019	$	57
Fair value adjustment		120
Balance at September 30, 2020	$	177