Fair Value Measurements (Tables)
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9 Months Ended |
Sep. 30, 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 | | | Conversion into common shares | | | (750) | | | Change in fair value | | | 448 | | | Ending balance at September 30, 2017 | | $ | - | |
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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 September 30, 2017 and December 31, 2016: | | | Fair Value Measurement as of September 30, 2017 | | | ($ in thousands) | | Level 1 | | Level 2 | | Level 3 | | Total | | | Assets | | | | | | | | | | | | | | | Long-term investments, at fair value | | $ | - | | $ | - | | $ | 923 | | $ | 923 | | | Total | | $ | - | | $ | - | | $ | 923 | | $ | 923 | | | | | | | | | | | | | | | | | | Liabilities | | | | | | | | | | | | | | | Warrant liabilities | | $ | - | | $ | - | | $ | 313 | | $ | 313 | | | Caelum Convertible Note, at fair value | | | - | | | - | | | 9,928 | | | 9,928 | | | Helocyte Convertible Note, at fair value | | | - | | | - | | | 4,733 | | | 4,733 | | | Total | | $ | - | | $ | - | | $ | 14,974 | | $ | 14,974 | | | | | Fair Value Measurement as of December 31, 2016 | | | ($ in thousands) | | Level 1 | | Level 2 | | Level 3 | | Total | | | Assets | | | | | | | | | | | | | | | Long-term investments, at fair value | | $ | - | | $ | - | | $ | 1,414 | | $ | 1,414 | | | Total | | $ | - | | $ | - | | $ | 1,414 | | $ | 1,414 | | | | | | | | | | | | | | | | | | Liabilities | | | | | | | | | | | | | | | Contingently Issuable Warrants | | $ | - | | $ | - | | $ | 302 | | $ | 302 | | | Warrant liabilities | | | - | | | - | | | 179 | | | 179 | | | Helocyte Convertible Note, at fair value | | | - | | | - | | | 4,487 | | | 4,487 | | | Avenue Convertible Note, at fair value | | | - | | | - | | | 200 | | | 200 | | | Total | | $ | - | | $ | - | | $ | 5,168 | | $ | 5,168 | |
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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 nine months ended September 30, 2017: | | | | | | | | | | | | | | | | | | | | | | | | | | Convertible Note, at fair value | | Contingently | | | | | | | | | Investment in | | Investment in | | | | | | | | | Issuable | | Warrant | | | | | ($ in thousands) | | Origo | | laser device | | Helocyte | | Avenue | | Caelum | | Warrants | | liabilities | | Total | | | Balance at December 31, 2016 | | $ | 1,164 | | $ | 250 | | $ | 4,487 | | $ | 200 | | $ | - | | $ | 14,661 | | $ | 179 | | $ | 20,941 | | | Additions during the period | | | - | | | - | | | - | | | - | | | 9,914 | | | - | | | 225 | | | 10,139 | | | Conversion into common shares | | | - | | | - | | | - | | | (299) | | | - | | | (750) | | | (15) | | | (1,064) | | | Issuance of warrants | | | - | | | - | | | - | | | - | | | - | | | (8,190) | | | 8,190 | | | - | | | Loss on write off investment | | | - | | | (250) | | | - | | | - | | | - | | | - | | | - | | | (250) | | | Change in fair value of investments | | | (241) | | | - | | | - | | | - | | | - | | | - | | | - | | | (241) | | | Change in fair value of convertible notes | | | - | | | - | | | 246 | | | 99 | | | 14 | | | - | | | - | | | 359 | | | Change in fair value of derivative liabilities | | | - | | | - | | | - | | | - | | | - | | | (5,079) | | | (76) | | | (5,155) | | | Balance at September 30, 2017 | | $ | 923 | | $ | - | | $ | 4,733 | | $ | - | | $ | 9,928 | | $ | 642 | | $ | 8,503 | | $ | 24,729 | |
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| Warrants Issuable [Member] |
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| Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques |
| | | June 30, | | | | | 2017 | | | Dividend yield | | | - | % | | Expected volatility | | | 91 | % | | Risk-free interest rate | | | 1.890 | % | | Life (in years) | | | 4.20 | |
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| Fair Value for Derivative Contingently Issuable Warrant Liabilities |
| | | National’s | | | ($ in thousands) | | Warrants | | | Beginning balance at December 31, 2016 | | $ | 14,359 | | | Change in fair value of derivative liability | | | (5,527) | | | Ending balance at June 30, 2017 | | $ | 8,832 | |
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| Avenue [Member] | Warrant [Member] |
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| Fair Value for Derivative Contingently Issuable Warrant Liabilities |
| | | Avenue’s | | | | | Warrant | | | ($ in thousands) | | Liability | | | Beginning balance at January 1, 2017 | | $ | 12 | | | Conversion into common shares | | | (15) | | | Change in fair value | | | 3 | | | Ending balance at September 30, 2017 | | $ | - | |
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| Helocyte [Member] | Convertible Debt [Member] |
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| Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques |
| | | September 30, | | | | | 2017 | | | Risk-free interest rate | | | 1.199% 1.336 | % | | Expected dividend yield | | | - | % | | Expected term in years | | | 0.50 1.16 | | | Expected volatility | | | 59.5 | % |
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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, 2017 | | $ | 4,487 | | | Change in fair value of convertible notes | | | 246 | | | Ending balance at September 30, 2017 | | $ | 4,733 | |
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| Helocyte [Member] | Warrant [Member] |
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| Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques |
| | | September 30, | | | | | 2017 | | | Risk-free interest rate | | | 1.733% 1.795 | % | | Expected dividend yield | | | - | % | | Expected term in years | | | 3.75 4.17 | | | Expected volatility | | | 70.0 | % | | Strike price | | $ | 0.44 | |
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| Caelum Convertible Notes [Member] | Convertible Debt [Member] |
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| Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques |
| | | September 30, | | | | | 2017 | | | Risk-free interest rate | | | 1.246% 1.463 | % | | Expected dividend yield | | | - | % | | Expected term in years | | | 0.71 1.95 | | | Expected volatility | | | 70.0 | % |
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| Fair Value for Derivative Contingently Issuable Warrant Liabilities |
| | | Caelum | | | | | Convertible | | | | | Note, at fair | | | ($ in thousands) | | value | | | Beginning balance at January 1, 2017 | | $ | - | | | Additions | | | 9,914 | | | Change in fair value of convertible notes | | | 14 | | | Ending balance at September 30, 2017 | | $ | 9,928 | |
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| Caelum Warrant Liabilities [Member] | Warrant [Member] |
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| Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques |
| | | September 30, | | | | | 2017 | | | Risk-free interest rate | | | 1.895% 1.914 | % | | Expected dividend yield | | | - | % | | Expected term in years | | | 4.84 4.96 | | | Expected volatility | | | 70.0 | % | | Strike price | | $ | 1.43 | |
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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, 2017 | | $ | - | | | Change in fair value of derivative liabilities | | | 225 | | | Ending balance at September 30, 2017 | | $ | 225 | |
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| Avenue Convertible Notes [Member] | Convertible Debt [Member] |
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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 | | | Conversion into common shares | | | (299) | | | Change in fair value of convertible notes | | | 99 | | | Ending balance at September 30, 2017 | | $ | - | |
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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 June 30, 2017: | | | Fair Value Measurement as of June 30, 2017 | | | ($ in thousands) | | Level 1 | | Level 2 | | Level 3 | | Total | | | Assets | | | | | | | | | | | | | | | National | | | | | | | | | | | | | | | Securities owned, at fair value | | | | | | | | | | | | | | | Corporate stocks | | $ | 70 | | $ | - | | $ | - | | $ | 70 | | | Municipal bonds | | | 816 | | | 517 | | | - | | | 1,333 | | | Restricted stock | | | - | | | 192 | | | - | | | 192 | | | Total | | $ | 886 | | $ | 709 | | $ | - | | $ | 1,595 | | | | | | | | | | | | | | | | | | Liabilities | | | | | | | | | | | | | | | National | | | | | | | | | | | | | | | Securities sold, but not yet purchased at fair value | | | | | | | | | | | | | | | Contingent consideration | | $ | - | | $ | - | | $ | 637 | | $ | 637 | | | Warrants - National | | | - | | | | | | 8,832 | | | 8,832 | | | Total | | $ | - | | $ | - | | $ | 9,469 | | $ | 9,469 | |
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