Quarterly report pursuant to Section 13 or 15(d)

Fair Value Measurements (Tables)

v3.21.2
Fair Value Measurements (Tables)
6 Months Ended
Jun. 30, 2021
Schedule of Fair Value Hedging Instruments, Statements of Financial Performance and Financial Position, Location

The table below provides a roll-forward of the changes in fair value of Level 3 financial instruments as of June 30, 2021:

Investment in

($ in thousands)

    

Caelum

Balance at December 31, 2020

$

17,566

Change in fair value of investments

30,918

Balance at June 30, 2021

$

48,484

Schedule of Financial Instruments, Measured at Fair Value on a Recurring Basis

The following tables classify into the fair value hierarchy of Fortress’ financial instruments, measured at fair value as of June 30, 2021 and December 31, 2020:

Fair Value Measurement as of  June 30, 2021

($ in thousands)

    

Level 1

    

Level 2

    

Level 3

    

Total

Assets

 

  

 

  

 

  

 

  

Fair value of investment in Caelum

$

$

$

48,484

$

48,484

Total

$

$

$

48,484

$

48,484

Fair Value Measurement as of  June 30, 2021

($ in thousands)

    

Level 1

    

Level 2

    

Level 3

    

Total

Liabilities

 

  

 

  

 

  

 

  

Partner company derivative warrant liabilities

 

$

 

$

 

$

4,287

 

$

4,287

Total

 

$

 

$

 

$

4,287

 

$

4,287

Fair Value Measurement as of  December 31, 2020

($ in thousands)

    

Level 1

    

Level 2

    

Level 3

    

Total

Assets

 

  

 

  

 

  

 

  

Fair value of investment in Caelum

$

$

$

17,566

$

17,566

Total

$

$

$

17,566

$

17,566

Warrants [Member] | Journey [Member]  
Fair Value of Liabilities Measured on Recurring Basis

Warrants

($ in thousands)

liabilities

Balance at December 31, 2020

$

Additions:

 

Journey contingent payment warrant

3,743

Journey placement agent warrant

544

Balance at June 30, 2021

$

4,287

Placement Agent Warrants [Member] | Journey [Member]  
Summary of the Weighted average Significant Unobservable Inputs

The fair value of Journey’s Contingently Issuable Warrants in connection with Journey’s convertible preferred offering (see Note 10), 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 Journey’s warrant liability that are categorized within Level 3 of the fair value hierarchy as of June 30, 2021 was as follows:

    

June 30, 2021

Risk-free interest rate

 

0.87

%

Expected dividend yield

 

Expected term in years

 

1.3

Expected volatility

 

50

%

Probability of issuance of the warrant

 

70

%

Contingent Payment Warrant [Member] | Journey [Member]  
Summary of the Weighted average Significant Unobservable Inputs

Journey valued this contingent payment utilizing a Probability Weighted Expected Return Method (PWERM) model. A summary of the weighted average (in aggregate) significant unobservable inputs (Level 3 inputs) used in measuring Journey’s derivative liability that are categorized within Level 3 of the fair value hierarchy as of June 30, 2021 was as follows:

    

June 30, 2021

Discount rate

 

30

%

Expected dividend yield

 

Expected term

 

3 months to 5 years

Probability of outcomes

 

3% to 70

%