Annual report pursuant to Section 13 and 15(d)

Fair Value Measurements (Tables)

v3.3.1.900
Fair Value Measurements (Tables)
12 Months Ended
Dec. 31, 2015
Schedule of Derivative Liabilities at Fair Value
($ in thousands)
 
Fair Value of
Derivative
Warrant
Liability
 
Beginning balance at January 1, 2015
 
$
-
 
Recognition of derivative warrant liability
 
 
114
 
Fair value adjustment of derivative warrant liability
 
 
-
 
Ending balance at December 31, 2015
 
$
114
 
Fair Value for Checkpoint's 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
 
Fair value at the beginning of period:
 
$
-
 
Additions
 
 
175
 
Change in fair value
 
 
438
 
Issuance of Warrants (October 30, 2015)
 
 
(613)
 
Fair value at end of period:
 
$
—
 
Schedule of Fair Value, Assets and Liabilities Measured on Recurring Basis
 The following tables classify into the fair value hierarchy financial instruments measured at fair value on a recurring basis on the Consolidated Balance Sheets as of December 31, 2015 and 2014:
 
 
 
Fair Value Measurement as of December 31, 2015
 
($ in thousands)
 
Level 1
 
Level 2
 
Level 3
 
Total
 
Assets
 
 
 
 
 
 
 
 
 
 
 
 
 
Long-term investments, at fair value
 
$
-
 
$
-
 
$
2,485
 
$
2,485
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Liabilities
 
 
 
 
 
 
 
 
 
 
 
 
 
Derivative warrant liability
 
$
-
 
$
-
 
$
114
 
$
114
 
   
 
 
Fair Value Measurement as of December 31, 2014
 
($ in thousands)
 
Level 1
 
Level 2
 
Level 3
 
Total
 
Assets
 
 
 
 
 
 
 
 
 
 
 
 
 
Marketable securities, at fair value:
 
 
 
 
 
 
 
 
 
 
 
 
 
U.S. treasury bills
 
$
19,998
 
$
-
 
$
-
 
$
19,998
 
Mutual funds
 
 
4
 
 
-
 
 
 
 
 
4
 
Total marketable securities, at fair value
 
 
20,002
 
 
-
 
 
-
 
 
20,002
 
Long-term investments, at fair value
 
 
-
 
 
-
 
 
4,160
 
 
4,160
 
Total
 
$
20,002
 
$
-
 
$
4,160
 
$
24,162
 
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 years ended December 31, 2014 and 2015: 
 
 
 
Fair Value of Investment
 
 
 
Short-term
 
Long-term
 
 
 
 
($ in thousands)
 
Other
 
Other
 
CB Pharma
 
Total
 
Balance at December 31, 2013
 
$
-
 
$
-
 
$
-
 
$
-
 
Purchases
 
 
293
 
 
250
 
 
2,675
 
 
3,218
 
Change in fair value of investments
 
 
(293)
 
 
 
 
 
1,235
 
 
942
 
Balance at December 31, 2014
 
$
-
 
$
250
 
$
3,910
 
$
4,160
 
Change in fair value of investments
 
 
-
 
 
-
 
 
(1,675)
 
 
(1,675)
 
Balance at December 31, 2015
 
$
-
 
$
250
 
$
2,235
 
$
2,485
 
Avenue [Member]  
Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques
The fair value of the Avenue’s Contingently Issuable Warrants was determined 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:
 
 
 
February 17,
2015
 
December 31,
2015
 
Risk-free interest rate
 
 
1.97
%
 
2.27
%
Expected dividend yield
 
 
-
%
 
-
%
Expected term in years
 
 
10.00
 
 
9.84
 
Expected volatility
 
 
83.00
%
 
83.00
%
Probability of issuance of the warrant
 
 
25.00
%
 
25.00
%
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
%