Fair Value Measurements (Tables)
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3 Months Ended |
Mar. 31, 2017 |
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| Fair Value for Derivative Contingently Issuable Warrant Liabilities |
| | | Avenue’s | | | | | Contingently | | | | | Issuable | | | ($ in thousands) | | Warrants | | | Beginning balance at January 1, 2017 | | $ | 302 | | | Change in fair value | | | (4) | | | Ending balance at March 31, 2017 | | $ | 298 | |
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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, 2017 and December 31, 2016: | | | Fair Value Measurement as of March 31, 2017 | | | ($ in thousands) | | Level 1 | | Level 2 | | Level 3 | | Total | | | Assets | | | | | | | | | | | | | | | Long-term investments, at fair value | | $ | - | | $ | - | | $ | 746 | | $ | 746 | | | Total | | $ | - | | $ | - | | $ | 746 | | $ | 746 | | | | | | | | | | | | | | | | | | Liabilities | | | | | | | | | | | | | | | Contingently Issuable Warrants | | $ | - | | $ | - | | $ | 298 | | $ | 298 | | | Warrant liabilities | | | - | | | - | | | 104 | | | 104 | | | Helocyte Convertible Note, at fair value | | | - | | | - | | | 4,580 | | | 4,580 | | | Avenue Convertible Note, at fair value | | | - | | | - | | | 204 | | | 204 | | | Total | | $ | - | | $ | - | | $ | 5,186 | | $ | 5,186 | |
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| Schedule of changes in fair value of financial instruments |
The table below provides a rollforward of the changes in fair value of Level 3 financial instruments for the three months ended March 31, 2017: | | | | | | | Helocyte | | Avenue | | | | | | | | | | | | | | | Convertible | | Convertible | | Contingently | | | | | | | | | Investment in | | Investment in | | Note, at fair | | Note, at fair | | Issuable | | Warrant | | | | | ($ in thousands) | | Origo | | laser device | | value | | value | | Warrants | | liabilities | | Total | | | Balance at December 31, 2016 | | $ | 1,164 | | $ | 250 | | $ | 4,487 | | $ | 200 | | $ | 14,661 | | $ | 179 | | $ | 20,941 | | | Change in fair value of investments | | | (668) | | | - | | | - | | | - | | | - | | | - | | | (668) | | | Change in fair value of convertible notes | | | - | | | - | | | 93 | | | 4 | | | - | | | - | | | 97 | | | Change in fair value of derivative liabilities | | | - | | | - | | | - | | | - | | | (4,267) | | | (75) | | | (4,342) | | | Balance at March 31, 2017 | | $ | 496 | | $ | 250 | | $ | 4,580 | | $ | 204 | | $ | 10,394 | | $ | 104 | | $ | 16,028 | |
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| Warrants Issuable [Member] |
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| Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques |
| | | December 31, | | | | | 2016 | | | Dividend yield | | | - | % | | Expected volatility | | | 98.23 | % | | Risk-free interest rate | | | 1.93 | % | | Life (in years) | | | 4.7 | |
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| Fair Value for Derivative Contingently Issuable Warrant Liabilities |
| | | National’s | | | ($ in thousands) | | Warrants | | | Beginning balance at October 1, 2016 | | $ | 14,359 | | | Change in fair value of derivative liability | | | (4,263) | | | Ending balance at December 31, 2016 | | $ | 10,096 | |
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| Avenue [Member] |
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| Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques |
The fair value of Avenue’s contingently issuable warrants 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: | | | March 31, | | | | | 2017 | | | Risk-free interest rate | | | 2.40 | % | | Expected dividend yield | | | - | | | Expected term in years | | | 8.59 | | | Expected volatility | | | 83 | % | | Probability of issuance of the warrant | | | 50 | % | |
| Avenue [Member] | Convertible Debt [Member] |
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| Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques |
| | | March 31, | | | | | 2017 | | | Risk-free interest rate | | | 0.91% - 1.21 | % | | Expected dividend yield | | | - | % | | Expected term in years | | | 0.50 - 1.75 | | | Expected volatility | | | 61.7 | % |
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| Fair Value for Derivative Contingently Issuable Warrant Liabilities |
| | | Avenue | | | | | Convertible | | | | | Note, at fair | | | ($ in thousands) | | value | | | Beginning balance at January 1, 2017 | | $ | 200 | | | Change in fair value of convertible notes | | | 4 | | | Ending balance at March 31, 2017 | | $ | 204 | |
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| Avenue [Member] | Warrant [Member] |
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| Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques |
| | | March 31, | | | | | 2017 | | | Risk-free interest rate | | | 2.39 | % | | Expected dividend yield | | | - | | | Expected term in years | | | 9.76 | | | Expected volatility | | | 86 | % |
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| Helocyte [Member] | Convertible Debt [Member] |
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| Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques |
| | | March 31, | | | | | 2017 | | | Risk-free interest rate | | | 0.910% - 1.189 | % | | Expected dividend yield | | | - | % | | Expected term in years | | | 0.50 - 1.66 | | | Expected volatility | | | 61.7 | % |
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| Fair Value for Derivative Contingently Issuable Warrant Liabilities |
| | | Helocyte | | | | | Convertible | | | | | Note, at fair | | | ($ in thousands) | | value | | | Beginning balance at January 1, 2017 | | $ | 4,487 | | | Change in fair value of convertible notes | | | 93 | | | Ending balance at March 31, 2017 | | $ | 4,580 | |
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| Helocyte [Member] | Warrant [Member] |
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| Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques |
| | | March 31, | | | | | 2017 | | | Risk-free interest rate | | | 1.769% 1.859 | % | | Expected dividend yield | | | - | % | | Expected term in years | | | 4.25 - 4.67 | | | Expected volatility | | | 70.0 | % | | Strike price | | $ | 0.44 | |
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| Fair Value for Derivative Contingently Issuable Warrant Liabilities |
| | | Fair Value of | | | | | Derivative | | | | | Warrant | | | ($ in thousands) | | Liability | | | Beginning balance at January 1, 2017 | | $ | 167 | | | Change in fair value of derivative liabilities | | | (75) | | | Ending balance at March 31, 2017 | | $ | 92 | |
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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, 2016: | | | Fair Value Measurement as of December 31, 2016 | | | | | Level 1 | | Level 2 | | Level 3 | | Total | | | Assets | | | | | | | | | | | | | | | National | | | | | | | | | | | | | | | Securities owned, at fair value | | | | | | | | | | | | | | | Corporate stocks | | $ | 172 | | $ | - | | $ | - | | $ | 172 | | | Municipal bonds | | | 930 | | | - | | | - | | | 930 | | | Restricted stock | | | - | | | 104 | | | - | | | 104 | | | Total | | $ | 1,102 | | $ | 104 | | $ | - | | $ | 1,206 | | | | | | | | | | | | | | | | | | Liabilities | | | | | | | | | | | | | | | National | | | | | | | | | | | | | | | Securities sold, but not yet purchased at fair value | | | | | | | | | | | | | | | Corporate stocks | | $ | 1 | | $ | - | | $ | - | | $ | 1 | | | Warrants issuable - National | | | | | | | | | 10,096 | | | 10,096 | | | Total | | $ | 1 | | $ | - | | $ | 10,096 | | $ | 10,097 | |
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