| Schedule of Fair Value of Liabilities on Recurring Basis |
The following table classifies the Company’s
liabilities measured at fair value on a recurring basis into the fair value hierarchy as of December 31, 2019 and 2018:
| |
|
December 31, 2019 |
|
| |
|
Fair value at
December 31,
2019 |
|
|
Quoted
prices in
active
markets
(Level 1) |
|
|
Significant
other
observable
inputs
(Level 2) |
|
|
Significant
unobservable
inputs
(Level 3) |
|
| Secured promissory notes |
|
$ |
85,507 |
|
|
$ |
— |
|
|
$ |
85,507 |
|
|
$ |
— |
|
| Secured promissory notes, related party |
|
|
1,230 |
|
|
|
— |
|
|
|
1,230 |
|
|
|
— |
|
| Warrant derivative liability |
|
|
6,689 |
|
|
|
— |
|
|
|
— |
|
|
|
6,689 |
|
| Debt derivative liability |
|
|
4,169 |
|
|
|
— |
|
|
|
— |
|
|
|
4,169 |
|
| Total fair value |
|
$ |
97,595 |
|
|
$ |
— |
|
|
$ |
86,737 |
|
|
$ |
10,858 |
|
| |
|
December 31, 2018 |
|
| |
|
Fair value at
December 31,
2018 |
|
|
Quoted
prices in
active
markets
(Level 1) |
|
|
Significant
other
observable
inputs
(Level 2) |
|
|
Significant
unobservable
inputs
(Level 3) |
|
| Warrant derivative liability |
|
$ |
3,558 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
3,558 |
|
| Debt derivative liability |
|
|
8,038 |
|
|
|
— |
|
|
|
— |
|
|
|
8,038 |
|
| Total fair value |
|
$ |
11,596 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
11,596 |
|
|
| Schedule of Changes in Fair Value Liabilities |
The following table presents changes in Level
3 liabilities measured at fair value for the years ended December 31, 2019 and 2018. Both observable and unobservable inputs were
used to determine the fair value of positions that the Company has classified within the Level 3 category. Unrealized gains and
losses associated with liabilities within the Level 3 category include changes in fair value that were attributable to both observable
(e.g., changes in market interest rates) and unobservable (e.g., changes in unobservable long- dated volatilities) inputs.
| |
|
Warrant
Liability |
|
|
Debt
Derivative
Liability |
|
|
Total |
|
| Balance – December 31, 2017 |
|
$ |
16,492 |
|
|
$ |
48,195 |
|
|
$ |
64,687 |
|
| Additional derivative liability from issuance of convertible notes |
|
|
— |
|
|
|
17,882 |
|
|
|
17,882 |
|
| Extinguishment of warrant liabilities related to warrants exercise |
|
|
(1,256 |
) |
|
|
— |
|
|
|
(1,256 |
) |
| Extinguishment of derivative liabilities related to debt conversion and repayment |
|
|
— |
|
|
|
(40,862 |
) |
|
|
(40,862 |
) |
| Change in fair value |
|
|
(11,678 |
) |
|
|
(17,177 |
) |
|
|
(28,855 |
) |
| Balance – December 31, 2018 |
|
|
3,558 |
|
|
|
8,038 |
|
|
|
11,596 |
|
| Additional derivative liability from issuance of convertible notes |
|
|
— |
|
|
|
523 |
|
|
|
523 |
|
| Extension of derivative liability |
|
|
— |
|
|
|
1,955 |
|
|
|
1,955 |
|
| Additional derivative warrant liabilities related to issuance of warrants |
|
|
2,705 |
|
|
|
— |
|
|
|
2,705 |
|
| Extinguishment of derivative liabilities related to debt conversion and repayment |
|
|
— |
|
|
|
(2,932 |
) |
|
|
(2,2,932 |
) |
| Gain on troubled debt restructuring |
|
|
— |
|
|
|
(5,016 |
) |
|
|
5,016 |
|
| Change in fair value |
|
|
426 |
|
|
|
1,601 |
|
|
|
2,027 |
|
| Balance – December 31, 2019 |
|
|
6,689 |
|
|
|
4,169 |
|
|
|
10,858 |
|
|
| Summary of Weighted Average Unobservable Inputs |
A summary of the weighted average (in aggregate)
significant unobservable inputs (Level 3 inputs) used in measuring the Company’s warrant liabilities and embedded conversion
feature that are categorized within Level 3 of the fair value hierarchy as of December 31, 2019 and 2018 is as follows:
| |
|
As of December 31, 2019 |
|
|
As of December 31, 2018 |
|
| |
|
|
|
|
Embedded |
|
|
|
|
|
Embedded |
|
| |
|
Warrant
Liability
|
|
|
Conversion Feature |
|
|
Warrant
Liability
|
|
|
Conversion Feature |
|
| Strike price |
|
$ |
4.76 |
|
|
$ |
2.85 |
|
|
$ |
7.80 |
|
|
$ |
2.61 |
|
| Contractual term (years) |
|
|
3.3 |
|
|
|
1.5 |
|
|
|
2.7 |
|
|
|
0.6 |
|
| Volatility (annual) |
|
|
152.2 |
% |
|
|
127.7 |
% |
|
|
91.2 |
% |
|
|
91.2 |
% |
| Risk-free rate |
|
|
1.6 |
% |
|
|
1.5 |
% |
|
|
2.24 |
% |
|
|
2.36 |
% |
| Dividend yield (per share) |
|
|
0 |
% |
|
|
0 |
% |
|
|
0 |
% |
|
|
0 |
% |
|