Annual report pursuant to Section 13 and 15(d)

Fair Value Measurements (Tables)

v3.20.1
Fair Value Measurements (Tables)
12 Months Ended
Dec. 31, 2019
Schedule of financial instruments, measured at fair value

The following tables classify into the fair value hierarchy of Fortress’ financial instruments, measured at fair value on a recurring basis on the Consolidated Balance Sheets as of December 31, 2019 and 2018:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Fair Value Measurement as of December 31, 2019

($ in thousands)

     

Level 1

     

Level 2

     

Level 3

     

Total

Assets

 

 

 

 

 

 

 

 

 

 

 

 

Fair value of investment in Caelum

 

$

 —

 

$

 —

 

$

11,148

 

$

11,148

Total

 

$

 —

 

$

 —

 

$

11,148

 

$

11,148

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Fair Value Measurement as of December 31, 2019

($ in thousands)

    

Level 1

    

Level 2

    

Level 3

    

Total

Liabilities

 

 

  

 

 

  

 

 

  

 

 

  

Warrant liabilities

 

$

 —

 

$

 —

 

$

27

 

$

27

Total

 

$

 —

 

$

 —

 

$

27

 

$

27

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Fair Value Measurement as of December 31, 2018

($ in thousands)

    

Level 1

    

Level 2

    

Level 3

    

Total

Liabilities

 

 

  

 

 

  

 

 

  

 

 

  

Warrant liabilities

 

$

 —

 

$

 —

 

$

991

 

$

991

Caelum Convertible Note, at fair value

 

 

 —

 

 

 —

 

 

9,914

 

 

9,914

Total

 

$

 —

 

$

 —

 

$

10,905

 

$

10,905

 

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, 2019 and 2018:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Investment in

 

Caelum Convertible

 

Warrant

 

 

 

($ in thousands)

    

Caelum

    

Note

    

Liabilities

    

Total

Balance at December 31, 2018

 

$

 —

 

$

9,914

 

$

991

 

$

10,905

Conversion of convertible notes

 

 

 —

 

 

(9,914)

 

 

 —

 

 

(9,914)

Issuance of warrant

 

 

 —

 

 

 —

 

 

(991)

 

 

(991)

Contingent warrant liability

 

 

 

 

 

 

 

 

27

 

 

27

Fair value of investment

 

 

11,148

 

 

 —

 

 

 —

 

 

11,148

Balance at December 31, 2019

 

$

11,148

 

$

 —

 

$

27

 

$

11,175

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

    

Investment

 

Convertible Notes at fair value

    

Warrants

    

Warrant

    

 

 

($ in thousands)

 

in Origo

 

Helocyte

 

Caelum

 

 National

 

liabilities

 

Total

Balance at December 31, 2017

 

$

1,390

 

$

4,700

 

$

10,059

 

$

5,597

 

$

87

 

$

21,833

Payment of convertible note

 

 

 —

 

 

(4,408)

 

 

 —

 

 

 —

 

 

 —

 

 

(4,408)

Disposal of National

 

 

 —

 

 

 —

 

 

 —

 

 

(5,597)

 

 

222

 

 

(5,375)

Change in fair value of investments

 

 

(1,390)

 

 

 —

 

 

 —

 

 

 —

 

 

 —

 

 

(1,390)

Change in fair value of convertible notes

 

 

 —

 

 

(292)

 

 

(145)

 

 

 —

 

 

 —

 

 

(437)

Change in fair value of derivative liabilities

 

 

 —

 

 

 —

 

 

 —

 

 

 —

 

 

682

 

 

682

Balance at December 31, 2018

 

$

 —

 

$

 —

 

$

9,914

 

$

 —

 

$

991

 

$

10,905

 

Caelum [Member] | Convertible Debt [Member]  
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques

Caelum’s convertible debt was measured at fair value using the Monte Carlo simulation valuation methodology. 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. As of December 31, 2018, conversion of the Caelum Convertible Notes was probable and as such the fair value approximated cost. The Caelum Convertible Notes were converted during 2019. For the year ended December 31, 2018 the following inputs were utilized to derive the notes’ fair value:

 

 

 

 

 

 

 

December 31,

 

 

    

2018

 

Risk-free interest rate

 

2.302

%

Expected dividend yield

 

 —

%

Expected term in years

 

0.32

 

Expected volatility

 

67

%

 

Fair Value for Derivative Contingently Issuable Warrant Liabilities

 

 

 

 

 

    

Caelum

 

 

Convertible

 

 

Notes, at fair

($ in thousands)

 

value

Ending balance at December 31, 2017

 

$

10,059

Change in fair value of convertible notes

 

 

(145)

Ending balance at December 31, 2018

 

$

9,914

Conversion of the convertible notes

 

 

(9,914)

Ending balance at December 31, 2019

 

$

 —

 

Warrants [Member] | Caelum [Member]  
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques

The fair value at December 31, 2018 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 Caelum’s warrant liabilities that are categorized within Level 3 of the fair value hierarchy as of December 31, 2018 are as follows:

 

 

 

 

 

 

 

 

 

 

    

December 31,2018

 

Risk-free interest rate

 

2.905 % - 2.909

%

Expected dividend yield

 

 —

%

Expected term in years

 

3.84 - 3.96

 

Expected volatility

 

70

%

 

Fair Value for Derivative Contingently Issuable Warrant Liabilities

 

 

 

 

 

    

Fair Value of

 

 

Derivative

 

 

Warrant

($ in thousands)

 

Liability

Ending balance at January 1, 2018

 

$

222

Change in fair value of derivative liability

 

 

769

Ending balance at December 31, 2018

 

$

991

Issuance of warrant due to conversion of note

 

 

(991)

Ending balance at December 31, 2019

 

$

 —

 

Warrants [Member] | Cyprium [Member]  
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques

The fair value of the Cyprium Contingently Issuable Warrants in connection with the 2018 Venture Debt 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,

 

 

    

2019

    

2018

 

Risk-free interest rate

 

1.92

%  

 —

%

Expected dividend yield

 

 —

 

 —

 

Expected term in years

 

10.0

 

 —

 

Expected volatility

 

93

%  

 —

%

Probability of issuance of the warrant

 

 5

%  

 —

%

 

Fair Value for Derivative Contingently Issuable Warrant Liabilities

 

 

 

 

 

 

Cyprium Contingently

($ in thousands)

 

Issuable Warrant Liability

Ending balance at January 1, 2019

 

$

 —

Issuance of warrant due to probability of financing

 

 

27

Ending balance at December 31, 2019

 

$

27