Fair Value Measurements (Tables)
|
12 Months Ended |
Dec. 31, 2017 |
|---|
| Fair Value for Derivative Contingently Issuable Warrant Liabilities |
| ($ in thousands) | | Avenue’s
Contingently
Issuable
Warrants | | | Beginning balance at January 1, 2016 | | $ | 114 | | | Additions | | | - | | | Change in fair value | | | 188 | | | Ending balance at December 31, 2016 | | | 302 | | | Conversion into common shares | | | (750) | | | Change in fair value | | | 448 | | | Ending balance at December 31, 2017 | | $ | - | |
|
| Schedule of Fair Value, Assets and Liabilities Measured on Recurring Basis |
The following tables classify into the fair value hierarchy of Fortress’ financial instruments, exclusive of National’s financial instruments, measured at fair value on a recurring basis on the Consolidated Balance Sheets as of December 31, 2017 and 2016: | | | 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 | | | | | 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 | |
|
| 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, 2017 and 2016: | | | | | | | | | Convertible Notes, at fair value | | | | | | | | | | | ($ in thousands) | | Investment in
Origo | | Investment in
laser device | | Helocyte | | Avenue | | Caelum | | Issued
Warrants | | Warrant
liabilities | | Total | | | Balance at December 31, 2016 | | $ | 1,164 | | $ | 250 | | $ | 4,487 | | $ | 200 | | $ | - | | $ | 14,661 | | $ | 179 | | $ | 20,941 | | | Additions during the period | | | - | | | - | | | - | | | - | | | 9,914 | | | - | | | - | | | 9,914 | | | Conversion into common shares | | | - | | | - | | | - | | | (299) | | | - | | | (750) | | | (15) | | | (1,064) | | | Loss on write off investment | | | - | | | (250) | | | - | | | - | | | - | | | - | | | - | | | (250) | | | Change in fair value of investments | | | 226 | | | - | | | - | | | - | | | - | | | - | | | - | | | 226 | | | Change in fair value of convertible notes | | | - | | | - | | | 213 | | | 99 | | | 145 | | | - | | | - | | | 457 | | | Change in fair value of derivative liabilities | | | - | | | - | | | - | | | - | | | - | | | 448 | | | (8,839) | | | (8,391) | | | Balance at December 30, 2017 | | $ | 1,390 | | $ | - | | $ | 4,700 | | $ | - | | $ | 10,059 | | $ | 14,359 | | $ | (8,675) | | $ | 21,833 | | | | | | | | | | | | | | Convertible Notes, at Fair Value | | | | | | | | | ($ in thousands) | | Investment in
Origo | | Investment in
laser device | | Contingently
Issuable
Warrants | | Helocyte | | Avenue | | Warrant
liabilities | | Total | | | Balance at December 31, 2015 | | $ | 2,235 | | $ | 250 | | $ | 114 | | $ | - | | $ | - | | $ | - | | $ | 2,599 | | | Additions during the period | | | - | | | - | | | 14,040 | | | 4,409 | | | 200 | | | 440 | | | 19,089 | | | Issuance of warrants | | | - | | | - | | | (793) | | | - | | | - | | | - | | | (793) | | | Change in fair value of investments | | | (1,071) | | | - | | | - | | | - | | | - | | | - | | | (1,071) | | | Change in fair value of convertible notes | | | - | | | - | | | - | | | 78 | | | | | | - | | | 78 | | | Change in fair value of derivative liabilities | | | - | | | - | | | 1,300 | | | - | | | | | | (261) | | | 1,039 | | | Balance at December 31, 2016 | | $ | 1,164 | | $ | 250 | | $ | 14,661 | | $ | 4,487 | | $ | 200 | | $ | 179 | | $ | 20,941 | |
|
| Warrants Issuable [Member] |
|
| Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques |
Such valuation (using level 3 inputs) was determined by use of the Black-Scholes option pricing model using the following assumptions: | | | September 30 | | | | | 2017 | | 2016 | | | Dividend yield | | | - | % | | - | % | | Expected volatility | | | 91.0 | % | | 118.85 | % | | Risk-free interest rate | | | 1.890 | % | | 1.14 | % | | Life (in years) | | | 4.20 | | | 5 | | |
| Checkpoint [Member] |
|
| Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques |
The fair value of Checkpoint’s Contingently Issuable Warrants was determined at various issuance dates from March 19, 2015 to August 31, 2015 (“Issuance Dates”) for $ 0.2 million and on October 30, 2015 for $ 0.6 million by applying management’s estimate of the probability of issuance of the Contingently Issuable Warrants together with the option pricing model with the following key assumptions: | | | Issuance
Dates | | October 30,
2015 | | | Risk-free interest rate | | | 2.26 | % | | 2.16 | % | | Expected dividend yield | | | - | | | - | | | Expected term in years | | | 10.00 | | | 10.00 | | | Expected volatility | | | 83 | % | | 100.86 | % | | Probability of issuance of the warrant | | | 25 | % | | 100 | % | |
| Fair Value for Derivative Contingently Issuable Warrant Liabilities |
The following table sets forth the changes in the estimated fair value for Checkpoint’s Level 3 classified derivative Contingently Issuable Warrant liabilities:
| ($ in thousands) | | Checkpoint’s
Contingently
Issuable
Warrants | | | Beginning balance at January 1, 2015 | | $ | - | | | Additions | | | 175 | | | Change in fair value | | | 438 | | | Issuance of Warrants (October 30, 2015) | | | (613) | | | Ending balance at December 31, 2015 | | $ | - | |
|
| Avenue [Member] |
|
| 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: | | | December 31, | | | | | 2017 | | 2016 | | | Risk-free interest rate | | | - | % | | 2.45 | % | | Expected dividend yield | | | - | | | - | | | Expected term in years | | | - | | | 10.00 | | | Expected volatility | | | - | % | | 87 | % | | Probability of issuance of the warrant | | | - | | | 50 | % | |
| Avenue [Member] | Convertible Debt [Member] |
|
| 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 the convertible debt that is categorized within Level 3 of the fair value hierarchy for the year ended December 31, 2016 is as follows:
| | | December 31, 2016 | | | Risk-free interest rate | | | 0.62% - 1.20 | % | | Expected dividend yield | | | - | % | | Expected term in years | | | 0.50 - 2.00 | | | Expected volatility | | | 63.1 | % |
|
| Fair Value for Derivative Contingently Issuable Warrant Liabilities |
| ($ in thousands) | | Convertible
Note, at fair
value | | | Beginning balance at January 1, 2016 | | $ | - | | | Additions | | | 200 | | | Ending balance at December 31, 2016 | | | 200 | | | Conversion into common shares | | | (299) | | | Change in fair value of convertible notes | | | 99 | | | Ending balance at December 31, 2017 | | $ | - | |
|
| Avenue [Member] | Warrant [Member] |
|
| 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 the Company’s warrant liabilities that are categorized within Level 3 of the fair value hierarchy for the year ended December 31, 2016 is as follows:
| | | December 31,
2016 | | | Risk-free interest rate | | | 2.45 | % | | Expected dividend yield | | | - | % | | Expected term in years | | | 10.00 | | | Expected volatility | | | 87 | % |
|
| Mustang [Member] |
|
| Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques |
The fair value of Mustang’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: | | | Issuance
Dates | | | Risk-free interest rate | | | 1.37 | % | | Expected dividend yield | | | - | | | Expected term in years | | | 10.00 | | | Expected volatility | | | 76.70 | % | | Probability of issuance of the warrant | | | 100 | % | |
| Fair Value for Derivative Contingently Issuable Warrant Liabilities |
| ($ in thousands) | | Mustang’s
Contingently
Issuable
Warrants | | | Beginning balance at January 1, 2016 | | $ | - | | | Additions | | | 634 | | | Change in fair value | | | 159 | | | Issuance of Warrants (October 25, 2016) | | | (793) | | | Ending balance at December 31, 2016 | | $ | - | |
|
| Mustang [Member] | Warrant [Member] |
|
| Fair Value for Derivative Contingently Issuable Warrant Liabilities |
| ($ in thousands) | | Fair Value of
Derivative Warrant
Liability | | | Beginning balance at January 1, 2016 | | $ | - | | | Additions | | | 12 | | | Change in fair value of derivative liabilities | | | - | | | Ending balance at December 31, 2016 | | $ | 12 | | | Conversion into common shares | | | (15) | | | Change in fair value | | | 3 | | | Ending balance at December 31, 2017 | | $ | - | |
|
| Helocyte [Member] | Convertible Debt [Member] |
|
| 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 the convertible debt that is categorized within Level 3 of the fair value hierarchy for the year ended December 31, 2017 and 2016 is as follows:
| | | December 31 | | | | | 2017 | | 2016 | | | Risk-free interest rate | | | 1.53% - 1.72 | % | | 0.74% - 1.17 | % | | Expected dividend yield | | | - | % | | - | % | | Expected term in years | | | 0.50 0.911 | | | 0.75 - 1.91 | | | Expected volatility | | | 52.4 | % | | 61.7 | % |
|
| Fair Value for Derivative Contingently Issuable Warrant Liabilities |
| | | Convertible Note | | | ($ in thousands) | | At Fair Value | | | Beginning balance at January 1, 2016 | | $ | - | | | Additions | | | 4,409 | | | Change in fair value of convertible notes | | | 78 | | | Ending balance at December 31, 2016 | | | 4,487 | | | Change in fair value of convertible notes | | | 213 | | | Ending balance at December 31, 2017 | | $ | 4,700 | |
|
| Helocyte [Member] | Warrant [Member] |
|
| 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 the Company’s warrant liabilities that are categorized within Level 3 of the fair value hierarchy for the year ended December 31, 2017 and 2016 are as follows:
| | | December 31 | | | | | 2017 | | | 2016 | | | Risk-free interest rate | | | 2.04% - 2.08 | % | | | 1.82% - 1.91 | % | | Expected dividend yield | | | - | % | | | - | % | | Expected term in years | | | 3.50 3.92 | | | | 4.50 - 4.92 | | | Expected volatility | | | 70.0 | % | | | 70.0 | % | | Strike price | | $ | 0.46 | | | $ | 0.44 | |
|
| Fair Value for Derivative Contingently Issuable Warrant Liabilities |
| ($ in thousands) | | Fair Value of
Derivative Warrant
Liability | | | Beginning balance at January 1, 2016 | | $ | - | | | Additions | | | 428 | | | Change in fair value of derivative liabilities | | | (261) | | | Ending balance at December 31, 2016 | | $ | 167 | | | Change in fair value of derivative liabilities | | | (80) | | | Ending balance at December 31, 2017 | | $ | 87 | |
|
| Caelum [Member] | Convertible Debt [Member] |
|
| 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 Caelum’s convertible debt that is categorized within Level 3 of the fair value hierarchy as of December 31, 2017 is as follows:
| | | December 31,
2017 | | | Risk-free interest rate | | | 1.506%- 1.851 | % | | Expected dividend yield | | | - | % | | Expected term in years | | | 0.46 - 1.70 | | | Expected volatility | | | 70.0 | % |
|
| Fair Value for Derivative Contingently Issuable Warrant Liabilities |
| ($ in thousands) | | Convertible
Note, at fair value | | | Beginning balance at January 1, 2017 | | $ | - | | | Additions | | | 9,914 | | | Change in fair value of convertible notes | | | 145 | | | Ending balance at December 31, 2017 | | $ | 10,059 | |
|
| Caelum [Member] | Warrant [Member] |
|
| 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 Caelum’s warrant liabilities that are categorized within Level 3 of the fair value hierarchy as of December 31, 2017 is as follows:
| | | December 31,
2017 | | | Risk-free interest rate | | | 2.154% - 2.168 | % | | Expected dividend yield | | | - | % | | Expected term in years | | | 4.58 - 4.71 | | | Expected volatility | | | 70.0 | % | | Strike price | | $ | 1.01 | |
|
| Fair Value for Derivative Contingently Issuable Warrant Liabilities |
| ($ in thousands) | | Fair Value of Derivative
Warrant Liability | | | Beginning balance at January 1, 2017 | | $ | - | | | Additions | | | 226 | | | Change in fair value of derivative liabilities | | | (3) | | | Ending balance at December 31, 2017 | | $ | 223 | |
|
| National Holdings Corporation [Member] |
|
| Schedule of Fair Value, Assets and Liabilities Measured on Recurring Basis |
The following tables show the fair values hierarchy of National’s financial instruments measured at fair value on a recurring basis on the Consolidated Balance Sheets as of September 30, 2017 and 2016: | | | Fair Value Measurement as of September 30, 2017 | | | ($ in thousands) | | Level 1 | | Level 2 | | Level 3 | | Total | | | Assets | | | | | | | | | | | | | | | Securities owned, at fair value | | | | | | | | | | | | | | | Corporate stock | | $ | 116 | | $ | - | | $ | - | | $ | 116 | | | Municipal bonds | | | - | | | 1,239 | | | - | | | 1,239 | | | Restricted stock | | | - | | | 82 | | | - | | | 82 | | | Warrants | | | - | | | - | | | 5,665 | | | 5,665 | | | Total | | $ | 116 | | $ | 1,321 | | $ | 5,665 | | $ | 7,102 | | | | | | | | | | | | | | | | | | Liabilities | | | | | | | | | | | | | | | Securities sold, but not yet purchased at fair value | | | | | | | | | | | | | | | Contingent consideration | | $ | - | | $ | - | | $ | 311 | | $ | 311 | | | Municipal bonds | | | - | | | 151 | | | - | | | 151 | | | Warrants issued | | | - | | | - | | | 5,597 | | | 5,597 | | | Total | | $ | - | | $ | 151 | | $ | 5,908 | | $ | 6,059 | | | | | Fair Value Measurement as of September 30, 2016 | | | ($ in thousands) | | Level 1 | | Level 2 | | Level 3 | | Total | | | Assets | | | | | | | | | | | | | | | Corporate stock | | | 101 | | | | | | - | | | 101 | | | Municipal bonds | | | - | | | 2,111 | | | - | | | 2,111 | | | Restricted stock | | | - | | | 145 | | | - | | | 145 | | | Total | | $ | 101 | | $ | 2,256 | | $ | - | | $ | 2,357 | | | | | | | | | | | | | | | | | | Liabilities | | | | | | | | | | | | | | | Corporate stock | | | 298 | | | - | | | - | | | 298 | | | Warrants issuable | | | | | | | | | 14,359 | | | 14,359 | | | Total | | $ | 298 | | $ | - | | $ | 14,359 | | $ | 14,657 | |
|