Quarterly report pursuant to Section 13 or 15(d)

Fair Value Measurements (Tables)

v3.20.2
Fair Value Measurements (Tables)
9 Months Ended
Sep. 30, 2020
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 September 30, 2020 and December 31, 2019:

Fair Value Measurement as of  September 30, 2020

($ in thousands)

    

Level 1

    

Level 2

    

Level 3

    

Total

Assets

 

  

 

  

 

  

 

  

Fair value of investment in Caelum

$

$

$

11,723

$

11,723

Total

$

$

$

11,723

$

11,723

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

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 September 30, 2020:

Investment in

Warrant

($ in thousands)

    

Caelum

    

 Liabilities

    

Total

Balance at December 31, 2019

$

11,148

$

27

$

11,175

Change in fair value

1,189

1,189

Reclass partner company's warrants from liability to equity

(1,216)

(1,216)

Change in fair value of investments

575

575

Balance at September 30, 2020

$

11,723

$

$

11,723

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

    

September 30, 2020

December 31, 2019

 

Risk-free interest rate

 

0.69

%

1.92

%

Expected dividend yield

 

Expected term in years

 

10.0

10.0

Expected volatility

 

85

%

93

%

Probability of issuance of the warrant

 

100

%

5

%

Schedule of fair value of derivative warrant liability

Cyprium

Contingently

Issuable Warrant

($ in thousands)

Liability

Beginning balance at January 1, 2020

$

27

Change in fair value

1,189

Reclass partner company's warrants from liability to equity

(1,216)

Ending balance at September 30, 2020

$

-