Fair Value Measurements (Tables)
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3 Months Ended |
Mar. 31, 2018 |
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| Schedule of Fair Value, Assets and Liabilities Measured on Recurring Basis |
The following tables classify the fair value hierarchy of Fortress's financial instruments, exclusive of National's financial instruments, measured at fair value as of March 31, 2018 and December 31, 2017: | | | Fair Value Measurement as of March 31, 2018 | | | ($in thousands) | | Level 1 | | Level 2 | | Level 3 | | Total | | | Assets | | | | | | | | | | | | | | | Long-term investments, at fair value | | $ | | | $ | | | $ | 1,272 | | $ | 1,272 | | | Total | | $ | | | $ | | | $ | 1,272 | | $ | 1,272 | | | | | | | | | | | | | | | | | | Liabilities | | | | | | | | | | | | | | | Warrant liabilities | | $ | | | $ | | | $ | 78 | | $ | 78 | | | Caelum Convertible Note, at fair value | | | | | | | | | 10,140 | | | 10,140 | | | Helocyte Convertible Note, at fair value | | | | | | | | | 2,511 | | | 2,511 | | | Total | | $ | | | $ | | | $ | 12,729 | | $ | 12,729 | | | | | Fair Value Measurement as of December 31, 2017 | | | ($in thousands) | | Level 1 | | Level 2 | | Level 3 | | Total | | | Assets | | | | | | | | | | | | | | | Long-term investments, at fair value | | $ | | | $ | | | $ | 1,390 | | $ | 1,390 | | | Total | | $ | | | $ | | | $ | 1,390 | | $ | 1,390 | | | | | | | | | | | | | | | | | | Liabilities | | | | | | | | | | | | | | | Warrant liabilities | | $ | | | $ | | | $ | 87 | | $ | 87 | | | Caelum Convertible Note, at fair value | | | | | | | | | 10,059 | | | 10,059 | | | Helocyte Convertible Note, at fair value | | | | | | | | | 4,700 | | | 4,700 | | | Total | | $ | | | $ | | | $ | 14,846 | | $ | 14,846 | |
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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 three months ended March 31, 2018: | ($ in thousands) | | Investment in
Origo | | Helocyte
Convertible
Note, at fair
value | | Caelum
Convertible
Note, at fair
value | | Warrants
issued and
issuable | | Warrant
liabilities | | Total | | | Balance at December 31, 2017 | | $ | 1,390 | | $ | 4,700 | | $ | 10,059 | | $ | 5,597 | | $ | 87 | | $ | 21,833 | | | Payment of convertible note | | | - | | | (1,858) | | | - | | | - | | | - | | | (1,858) | | | Change in fair value of investments | | | (118) | | | - | | | - | | | - | | | - | | | (118) | | | Change in fair value of convertible notes | | | - | | | (331) | | | 81 | | | - | | | - | | | (250) | | | Change in fair value of derivative liabilities | | | - | | | - | | | - | | | 1,074 | | | (9) | | | 1,065 | | | Balance at March 31, 2018 | | $ | 1,272 | | $ | 2,511 | | $ | 10,140 | | $ | 6,671 | | $ | 78 | | $ | 20,672 | |
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| Warrants Issuable [Member] |
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| Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques |
| | | December 31,
2017 | | | Dividend yield | | | | % | | Expected volatility | | | 46.13 | % | | Risk-free interest rate | | | 2.20 | % | | Life (in years) | | | 3.69 | |
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| Fair Value for Derivative Contingently Issuable Warrant Liabilities |
| ($ in thousands) | | National’s
Warrants | | | Beginning balance at September 30, 2017 | | $ | 5,597 | | | Change in fair value of derivative liability | | | 1,074 | | | Ending balance at December 31, 2017 | | $ | 6,671 | |
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| Helocyte [Member] |
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| Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques |
A summary of the weighted average (in aggregate) significant unobservable inputs (Level 3 inputs) used in measuring Helocyte’s warrant liabilities that are categorized within Level 3 of the fair value hierarchy as of March 31, 2018 is as follows: | | | March 31,
2018 | | | Risk-free interest rate | | | 2.411% - 2.447 | % | | Expected dividend yield | | | - | % | | Expected term in years | | | 3.25 3.67 | | | Expected volatility | | | 70.0 | % | | Strike price | | $ | 0.46 |
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| Fair Value for Derivative Contingently Issuable Warrant Liabilities |
| ($in thousands) | | Fair Value of
Derivative
Warrant
Liability | | | Beginning balance at January 1, 2018 | | $ | 87 | | | Change in fair value of derivative liabilities | | | (9) | | | Ending balance at March 31, 2018 | | $ | 78 |
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| Helocyte [Member] | Convertible Debt [Member] |
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| Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques |
| | | March 31, 2018 | | | Risk-free interest rate | | | 1.96%- 2.21 | % | | Expected dividend yield | | | - | % | | Expected term in years | | | 0.58 1.67 | | | Expected volatility | | | 53.1 | % |
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| Fair Value for Derivative Contingently Issuable Warrant Liabilities |
| ($in thousands) | | Helocyte
Convertible
Note, at fair
value | | | Beginning balance at January 1, 2018 | | $ | 4,700 | | | Payment of convertible notes | | | (1,858) | | | Change in fair value of convertible notes | | | (331) | | | Ending balance at March 31, 2018 | | $ | 2,511 | |
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| National Warrant Liabilities [Member] |
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| Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques |
| | | December 31,
2017 | | | Risk-free interest rate | | | 1.53% 2.2 | % | | Expected dividend yield | | | | % | | Expected term in years | | | .43 4.35 | | | Remaining volatility | | | 369.19% 59.69 | % | | Strike price | | | $0.01 $10.00 | |
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| Fair Value for Derivative Contingently Issuable Warrant Liabilities |
| ($in thousands) | | Fair Value of
Derivative
Warrants | | | Beginning balance at September 30, 2017 | | $ | 548 | | | Change in fair value of derivative liabilities | | | 138 | | | Ending balance at December 31, 2017 | | $ | 686 | |
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| Caelum [Member] | Convertible Debt [Member] |
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| Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques |
| | | March 31, 2018 | | | Risk-free interest rate | | | 1.71%- 2.17 | % | | Expected dividend yield | | | - | % | | Expected term in years | | | 0.21 1.46 | | | Expected volatility | | | 53.1 | % |
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| Fair Value for Derivative Contingently Issuable Warrant Liabilities |
| ($in thousands) | | Caelum
Convertible
Note, at fair
value | | | Beginning balance at January 1, 2018 | | $ | 10,059 | | | Change in fair value of convertible notes | | | 81 | | | Ending balance at March 31, 2018 | | $ | 10,140 | |
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| National Holdings Corporation [Member] |
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| Schedule of Fair Value, Assets and Liabilities Measured on Recurring Basis |
The following table shows the fair values hierarchy of National's financial instruments measured at fair value on a recurring basis on the Condensed Consolidated Balance Sheets as of December 31, 2017 and September 30, 2017: | | | Fair Value Measurement as of December 31, 2017 | | | | | Level 1 | | Level 2 | | Level 3 | | Total | | | Assets | | | | | | | | | | | | | | | National | | | | | | | | | | | | | | | Securities owned, at fair value | | | | | | | | | | | | | | | Corporate stocks | | $ | 65 | | $ | - | | $ | - | | $ | 65 | | | Municipal bonds | | | 3,452 | | | - | | | - | | | 3,452 | | | Restricted stock | | | - | | | 75 | | | - | | | 75 | | | Warrants | | | - | | | - | | | 686 | | | 686 | | | Total | | $ | 3,517 | | $ | 75 | | $ | 686 | | $ | 4,278 | | | | | | | | | | | | | | | | | | Liabilities | | | | | | | | | | | | | | | National | | | | | | | | | | | | | | | Securities sold, but not yet purchased at fair value | | | | | | | | | | | | | | | Contingent consideration | | | - | | | - | | | 717 | | | 717 | | | Warrants issued - National | | | - | | | - | | | 6,671 | | | 6,671 | | | Total | | $ | - | | $ | - | | $ | 7,388 | | $ | 7,388 | | | | | Fair Value Measurement as of September 30, 2017 | | | | | Level 1 | | Level 2 | | Level 3 | | Total | | | Assets | | | | | | | | | | | | | | | National | | | | | | | | | | | | | | | Securities owned, at fair value | | | | | | | | | | | | | | | Corporate stocks | | $ | 116 | | $ | - | | $ | - | | $ | 116 | | | Municipal bonds | | | 1,239 | | | - | | | - | | | 1,239 | | | Restricted stock | | | - | | | 82 | | | - | | | 82 | | | Warrants | | | - | | | - | | | 548 | | | 548 | | | Total | | $ | 1,355 | | $ | 82 | | $ | 548 | | $ | 1,985 | | | | | | | | | | | | | | | | | | Liabilities | | | | | | | | | | | | | | | National | | | | | | | | | | | | | | | Securities sold, but not yet purchased at fair value | | | | | | | | | | | | | | | Municipal bonds | | | 151 | | | - | | | - | | | 151 | | | Contingent consideration | | | - | | | - | | | 311 | | | 311 | | | Warrants issued - National | | | - | | | - | | | 5,597 | | | 5,597 | | | Total | | $ | 151 | | $ | - | | $ | 5,908 | | $ | 6,059 | |
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