Platinum has the right to convert all or any portion of the unpaid principal or unpaid interest accrued on all draws under the Platinum credit facility, under certain circumstances. Platinum’s debt instrument, including the embedded option to convert such debt into common stock, is recorded at fair value on the consolidated balance sheets. The estimated fair value of the Platinum notes payable is $11.5 million at December 31, 2015, and will continue to be measured on a recurring basis. See Note 12.
MT issued warrants to purchase MT Common Stock with certain characteristics including a net settlement provision that require the warrants to be accounted for as a derivative liability at fair value on the consolidated balance sheets. The estimated fair value of the MT warrants is $63,000 at December 31, 2015, and will continue to be measured on a recurring basis. See Notes 1(m) and 9.
The following tables set forth, by level, financial liabilities measured at fair value on a recurring basis:
|
Liabilities Measured at Fair Value on a Recurring Basis as of December 31, 2015
|
|
|
|
|
Quoted Prices
in Active
Markets for
Identical
Assets and
Liabilities
|
|
|
Significant
Other
Observable
Inputs
|
|
|
Significant
Unobservable
Inputs (a)(b)
|
|
|
Balance as of
December 31,
|
|
|
Description
|
|
(Level 1)
|
|
|
(Level 2)
|
|
|
(Level 3)
|
|
|
2015
|
|
|
Platinum notes payable
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
11,491,253
|
|
|
$
|
11,491,253
|
|
|
Liability related to MT warrants
|
|
|
—
|
|
|
|
—
|
|
|
|
63,000
|
|
|
|
63,000
|
|
|
Liabilities Measured at Fair Value on a Recurring Basis as of December 31, 2014
|
|
|
|
|
Quoted Prices
in Active
Markets for
Identical
Assets and
Liabilities
|
|
|
Significant
Other
Observable
Inputs
|
|
|
Significant
Unobservable
Inputs (a)(b)
|
|
|
Balance as of
December 31,
|
|
|
Description
|
|
(Level 1)
|
|
|
(Level 2)
|
|
|
(Level 3)
|
|
|
2014
|
|
|
Platinum notes payable
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
5,615,764
|
|
|
$
|
5,615,764
|
|
|
|
a.
|
Valuation Processes-Level 3 Measurements: The Company utilizes third-party valuation services that use complex models such as Monte Carlo simulation to estimate the value of our financial liabilities. Each reporting period, the Company provides significant unobservable inputs to the third-party valuation experts based on current internal estimates and forecasts.
|
|
|
b.
|
Sensitivity Analysis-Level 3 Measurements: Changes in the Company’s current internal estimates and forecasts are likely to cause material changes in the fair value of certain liabilities. The significant unobservable inputs used in the fair value measurement of the liabilities include the amount and timing of future draws expected to be taken under the Platinum Loan Agreement based on current internal forecasts and management’s estimate of the likelihood of actually making those draws as opposed to obtaining other sources of financing. Significant increases (decreases) in any of the significant unobservable inputs would result in a higher (lower) fair value measurement. A change in one of the inputs would not necessarily result in a directionally similar change in the others.
|
There were no Level 1 liabilities outstanding at any time during the years ended December 31, 2015 and 2014. There were no transfers in or out of our Level 2 liabilities during the years ended December 31, 2015 and 2014. Changes in the estimated fair value of our Level 3 liabilities relating to unrealized gains (losses) are recorded as changes in the fair value of financial instruments in the consolidated statements of operations. The change in the estimated fair value of our Level 3 liabilities during the years ended December 31, 2015 and 2014 was an increase of $615,000 and $1.3 million, respectively.
|