Fair Value Measurements (Tables)
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6 Months Ended |
Jun. 30, 2017 |
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| Fair Value for Derivative Contingently Issuable Warrant Liabilities |
| | | Avenue’s | | | | | Contingently | | | | | Issuable | | | ($ in thousands) | | Warrants | | | Beginning balance at January 1, 2017 | | $ | 302 | | | Conversion into common shares | | | (750) | | | Change in fair value | | | 448 | | | Ending balance at June 30, 2017 | | $ | - | |
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| Schedule of Fair Value, Assets and Liabilities Measured on Recurring Basis |
The following tables classify the fair value hierarchy of Fortress's financial instruments, exclusive of National's financial instruments, measured at fair value as of June 30, 2017 and December 31, 2016: | | | Fair Value Measurement as of June 30, 2017 | | | ($ in thousands) | | Level 1 | | Level 2 | | Level 3 | | Total | | | Assets | | | | | | | | | | | | | | | Long-term investments, at fair value | | $ | - | | $ | - | | $ | 903 | | $ | 903 | | | Total | | $ | - | | $ | - | | $ | 903 | | $ | 903 | | | | | | | | | | | | | | | | | | Liabilities | | | | | | | | | | | | | | | Warrant liabilities | | $ | - | | $ | - | | $ | 91 | | $ | 91 | | | Helocyte Convertible Note, at fair value | | | - | | | - | | | 4,673 | | | 4,673 | | | Total | | $ | - | | $ | - | | $ | 4,764 | | $ | 4,764 | |
| | | 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 | |
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| 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 six months ended June 30, 2017:
| | | | | | | Helocyte | | Avenue | | | | | | | | | | | | | | | Convertible | | Convertible | | Warrants | | | | | | | | | Investment in | | Investment in | | Note, at fair | | Note, at fair | | issued and | | Warrant | | | | | ($ in thousands) | | Origo | | laser device | | value | | value | | issuable | | liabilities | | Total | | | Balance at December 31, 2016 | | $ | 1,164 | | $ | 250 | | $ | 4,487 | | $ | 200 | | $ | 14,661 | | $ | 179 | | $ | 20,941 | | | Conversion into common shares | | | - | | | - | | | - | | | (299) | | | (750) | | | (15) | | | (1,064) | | | Issuance of warrants | | | - | | | - | | | - | | | - | | | (8,190) | | | 8,190 | | | - | | | Change in fair value of investments | | | (511) | | | - | | | - | | | - | | | - | | | - | | | (511) | | | Change in fair value of convertible notes | | | - | | | - | | | 186 | | | 99 | | | - | | | - | | | 285 | | | Change in fair value of derivative liabilities | | | - | | | - | | | - | | | - | | | (5,721) | | | (73) | | | (5,794) | | | Balance at June 30, 2017 | | $ | 653 | | $ | 250 | | $ | 4,673 | | $ | - | | $ | - | | $ | 8,281 | | $ | 13,857 | |
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| Warrants Issuable [Member] |
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| Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques |
| | | March 31, | | | | | 2017 | | | Dividend yield | | | - | % | | Expected volatility | | | 97.76 | % | | Risk-free interest rate | | | 1.93 | % | | Life (in years) | | | 4.5 | |
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| Fair Value for Derivative Contingently Issuable Warrant Liabilities |
| | | National’s | | | ($ in thousands) | | Warrants | | | Beginning balance at December 31, 2016 | | $ | 14,359 | | | Change in fair value of derivative liability | | | (6,169) | | | Ending balance at March 31, 2017 | | $ | 8,190 | |
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| Avenue [Member] | Convertible Debt [Member] |
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| Fair Value for Derivative Contingently Issuable Warrant Liabilities |
| | | Avenue | | | | | Convertible | | | | | Note, at fair | | | ($ in thousands) | | value | | | Beginning balance at January 1, 2017 | | $ | 200 | | | Conversion into common shares | | | (299) | | | Change in fair value of convertible notes | | | 99 | | | Ending balance at June 30, 2017 | | $ | - | |
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| Avenue [Member] | Warrant [Member] |
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| Fair Value for Derivative Contingently Issuable Warrant Liabilities |
| | | Avenue’s | | | | | Warrant | | | ($ in thousands) | | Liability | | | Beginning balance at January 1, 2017 | | $ | 12 | | | Conversion into common shares | | | (15) | | | Change in fair value | | | 3 | | | Ending balance at June 30, 2017 | | $ | - | |
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| Helocyte [Member] | Convertible Debt [Member] |
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| Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques |
| | | June 30, | | | | | 2017 | | | Risk-free interest rate | | | 1.140% - 1.298 | % | | Expected dividend yield | | | - | % | | Expected term in years | | | 0.50 - 1.41 | | | Expected volatility | | | 59.1 | % |
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| Fair Value for Derivative Contingently Issuable Warrant Liabilities |
| | | Helocyte | | | | | Convertible | | | | | Note, at fair | | | ($ in thousands) | | value | | | Beginning balance at January 1, 2017 | | $ | 4,487 | | | Change in fair value of convertible notes | | | 186 | | | Ending balance at June 30, 2017 | | $ | 4,673 | |
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| Helocyte [Member] | Warrant [Member] |
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| Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques |
| | | June 30, | | | | | 2017 | | | Risk-free interest rate | | | 1.720% -1.792 | % | | Expected dividend yield | | | - | % | | Expected term in years | | | 4.00 - 4.42 | | | Expected volatility | | | 70.0 | % | | Strike price | | $ | 0.44 | |
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| Fair Value for Derivative Contingently Issuable Warrant Liabilities |
| | | Fair Value of | | | | | Derivative | | | | | Warrant | | | ($ in thousands) | | Liability | | | Beginning balance at January 1, 2017 | | $ | 167 | | | Change in fair value of derivative liabilities | | | (76) | | | Ending balance at June 30, 2017 | | $ | 91 | |
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| National Holdings Corporation [Member] |
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| Schedule of Fair Value, Assets and Liabilities Measured on Recurring Basis |
The following table shows the fair values hierarchy of National's financial instruments measured at fair value on a recurring basis on the Condensed Consolidated Balance Sheets as of March 31, 2017: | | | Fair Value Measurement as of March 31, 2017 | | | ($ in thousands) | | Level 1 | | Level 2 | | Level 3 | | Total | | | Assets | | | | | | | | | | | | | | | National | | | | | | | | | | | | | | | Securities owned, at fair value | | | | | | | | | | | | | | | Corporate stocks | | $ | 272 | | $ | - | | $ | - | | $ | 272 | | | Municipal bonds | | | 2,928 | | | - | | | - | | | 2,928 | | | Restricted stock | | | - | | | 206 | | | - | | | 206 | | | Total | | $ | 3,200 | | $ | 206 | | $ | - | | $ | 3,406 | | | | | | | | | | | | | | | | | | Liabilities | | | | | | | | | | | | | | | National | | | | | | | | | | | | | | | Securities sold, but not yet purchased at fair value | | | | | | | | | | | | | | | Contingent consideration | | $ | - | | $ | - | | $ | 630 | | $ | 630 | | | Corporate stocks | | | 77 | | | - | | | - | | | 77 | | | Warrants - National | | | - | | | | | | 8,190 | | | 8,190 | | | Total | | $ | 77 | | $ | - | | $ | 8,820 | | $ | 8,897 | |
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