Quarterly report pursuant to Section 13 or 15(d)

Fair Value Measurements (Tables)

v3.19.2
Fair Value Measurements (Tables)
6 Months Ended
Jun. 30, 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 as of June 30, 2019 and December 31, 2018:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Fair Value Measurement as of  June 30, 2019

($ in thousands)

    

Level 1

    

Level 2

    

Level 3

    

Total

Assets

 

 

  

 

 

  

 

 

  

 

 

  

Fair value of investment in Caelum

 

$

 —

 

$

 —

 

$

11,193

 

$

11,193

Total

 

$

 —

 

$

 —

 

$

11,193

 

$

11,193

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Fair Value Measurement as of  December 31, 2018

($ in thousands)

    

Level 1

    

Level 2

    

Level 3

    

Total

Liabilities

 

 

  

 

 

  

 

 

  

 

 

  

Caelum warrant liability

 

$

 —

 

$

 —

 

$

991

 

$

991

Caelum convertible notes, 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 as of June 30, 2019:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Caelum

 

 

 

 

 

 

 

 

Investment in

 

Convertible 

 

 

 

 

 

 

($ in thousands)

    

Caelum

    

Note

    

Warrant 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)

Fair value of investment

 

 

11,193

 

 

 —

 

 

 —

 

 

11,193

Balance at June 30, 2019

 

$

11,193

 

$

 —

 

$

 —

 

$

11,193

 

Caelum [Member] | Convertible Debt [Member]  
Schedule of weighted average (in aggregate) significant unobservable inputs

A summary of the weighted average (in aggregate) significant unobservable inputs (Level 3 inputs) used in measuring Caelum’s convertible notes that are categorized within Level 3 of the fair value hierarchy as of December 31, 2018 is as follows:

 

 

 

 

 

 

December

 

 

    

31, 2018

 

Risk-free interest rate

 

2.302

%

Expected dividend yield

 

 —

%

Expected term in years

 

0.32

 

Expected volatility

 

67

%

 

Schedule of fair value of derivative warrant liability

 

 

 

 

 

    

Caelum

 

 

Convertible

 

 

Notes, at fair

($ in thousands)

 

value

Beginning balance at January 1, 2019

 

$

9,914

Conversion of the convertible notes

 

 

(9,914)

Ending balance at June 30, 2019

 

$

 —

 

Warrants to Purchase Common Stock [Member] | Caelum [Member]  
Schedule of weighted average (in aggregate) significant unobservable inputs

The Caelum warrant liability and convertible notes did not exist as of June 30, 2019. A summary of the weighted average (in aggregate) significant unobservable inputs (Level 3 inputs) used in measuring Caelum’s warrant liability that are categorized within Level 3 of the fair value hierarchy as of December 31, 2018 is 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

%

 

Schedule of fair value of derivative warrant liability

 

 

 

 

 

 

Fair Value of

 

 

Derivative

 

 

Warrant

($ in thousands)

    

Liability

Beginning balance at January 1, 2019

 

$

991

Issuance of warrant due to conversion of note

 

 

(991)

Ending balance at June 30, 2019

 

$

 —