Fair Value Measurements (Tables)
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12 Months Ended |
Dec. 31, 2019 |
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| Schedule of financial instruments, measured at fair value |
The following tables classify into the fair value hierarchy of Fortress’ financial instruments, measured at fair value on a recurring basis on the Consolidated Balance Sheets as of December 31, 2019 and 2018:
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Fair Value Measurement as of December 31, 2019
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($ in thousands)
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Level 1
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Level 2
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Level 3
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Total
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Assets
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Fair value of investment in Caelum
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$
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—
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$
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—
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$
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11,148
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$
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11,148
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Total
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$
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—
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$
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—
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$
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11,148
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$
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11,148
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Fair Value Measurement as of December 31, 2019
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($ in thousands)
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Level 1
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Level 2
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Level 3
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Total
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Liabilities
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Warrant liabilities
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$
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—
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$
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—
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$
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27
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$
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27
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Total
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$
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—
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$
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—
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$
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27
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$
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27
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Fair Value Measurement as of December 31, 2018
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($ in thousands)
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Level 1
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Level 2
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Level 3
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Total
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Liabilities
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Warrant liabilities
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$
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—
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$
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—
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$
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991
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$
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991
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Caelum Convertible Note, at fair value
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—
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—
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9,914
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9,914
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Total
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$
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—
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$
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—
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$
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10,905
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$
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10,905
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| Schedule of changes in fair value of financial instruments |
The table below provides a roll forward of the changes in fair value of Level 3 financial instruments for the years ended December 31, 2019 and 2018:
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Investment in
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Caelum Convertible
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Warrant
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($ in thousands)
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Caelum
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Note
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Liabilities
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Total
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Balance at December 31, 2018
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$
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—
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$
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9,914
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$
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991
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$
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10,905
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Conversion of convertible notes
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—
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(9,914)
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—
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(9,914)
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Issuance of warrant
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—
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—
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(991)
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(991)
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Contingent warrant liability
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27
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27
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Fair value of investment
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11,148
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—
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—
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11,148
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Balance at December 31, 2019
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$
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11,148
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$
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—
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$
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27
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$
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11,175
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Investment
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Convertible Notes at fair value
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Warrants
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Warrant
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($ in thousands)
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in Origo
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Helocyte
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Caelum
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National
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liabilities
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Total
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Balance at December 31, 2017
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$
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1,390
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$
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4,700
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$
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10,059
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$
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5,597
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$
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87
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$
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21,833
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Payment of convertible note
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—
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(4,408)
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—
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—
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—
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(4,408)
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Disposal of National
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—
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—
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—
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(5,597)
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222
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(5,375)
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Change in fair value of investments
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(1,390)
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—
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—
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—
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—
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(1,390)
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Change in fair value of convertible notes
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—
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(292)
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(145)
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—
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—
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(437)
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Change in fair value of derivative liabilities
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—
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—
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—
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—
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682
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682
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Balance at December 31, 2018
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$
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—
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$
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—
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$
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9,914
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$
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—
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$
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991
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$
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10,905
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| Caelum [Member] | Convertible Debt [Member] |
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| Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques |
Caelum’s convertible debt was measured at fair value using the Monte Carlo simulation valuation methodology. A summary of the weighted average (in aggregate) significant unobservable inputs (Level 3 inputs) used in measuring Caelum’s convertible debt that is categorized within Level 3. As of December 31, 2018, conversion of the Caelum Convertible Notes was probable and as such the fair value approximated cost. The Caelum Convertible Notes were converted during 2019. For the year ended December 31, 2018 the following inputs were utilized to derive the notes’ fair value:
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December 31,
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2018
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Risk-free interest rate
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2.302
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%
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Expected dividend yield
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—
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%
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Expected term in years
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0.32
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Expected volatility
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67
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%
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| Fair Value for Derivative Contingently Issuable Warrant Liabilities |
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Caelum
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Convertible
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Notes, at fair
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($ in thousands)
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value
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Ending balance at December 31, 2017
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$
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10,059
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Change in fair value of convertible notes
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(145)
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Ending balance at December 31, 2018
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$
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9,914
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Conversion of the convertible notes
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(9,914)
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Ending balance at December 31, 2019
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$
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—
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| Warrants [Member] | Caelum [Member] |
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| Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques |
The fair value at December 31, 2018 was measured using a Monte Carlo simulation valuation methodology. A summary of the weighted average (in aggregate) significant unobservable inputs (Level 3 inputs) used in measuring Caelum’s warrant liabilities that are categorized within Level 3 of the fair value hierarchy as of December 31, 2018 are as follows:
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December 31,2018
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Risk-free interest rate
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2.905 % - 2.909
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%
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Expected dividend yield
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—
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%
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Expected term in years
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3.84 - 3.96
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Expected volatility
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70
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%
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| Fair Value for Derivative Contingently Issuable Warrant Liabilities |
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Fair Value of
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Derivative
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Warrant
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($ in thousands)
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Liability
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Ending balance at January 1, 2018
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$
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222
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Change in fair value of derivative liability
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769
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Ending balance at December 31, 2018
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$
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991
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Issuance of warrant due to conversion of note
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(991)
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Ending balance at December 31, 2019
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$
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—
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| Warrants [Member] | Cyprium [Member] |
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| Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques |
The fair value of the Cyprium Contingently Issuable Warrants in connection with the 2018 Venture Debt was determined by applying management’s estimate of the probability of issuance of the Contingently Issuable Warrants together with an option-pricing model, with the following key assumptions:
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December 31,
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2019
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2018
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Risk-free interest rate
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1.92
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%
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—
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%
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Expected dividend yield
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—
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—
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Expected term in years
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10.0
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—
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Expected volatility
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93
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%
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—
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%
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Probability of issuance of the warrant
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5
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%
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—
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%
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| Fair Value for Derivative Contingently Issuable Warrant Liabilities |
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Cyprium Contingently
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($ in thousands)
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Issuable Warrant Liability
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Ending balance at January 1, 2019
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$
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—
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Issuance of warrant due to probability of financing
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27
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Ending balance at December 31, 2019
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$
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27
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