Quarterly report pursuant to Section 13 or 15(d)

Fair Value Measurements

v3.7.0.1
Fair Value Measurements
6 Months Ended
Jun. 30, 2017
Fair Value Disclosures [Abstract]  
Fair Value Measurements

4. Fair Value Measurements

The following fair value hierarchy table presents information about the Company’s financial assets and liabilities measured at fair value on a recurring basis as of June 30, 2017 and December 31, 2016:

 

     Fair Value Measurements at June 30, 2017  
     Quoted Prices in
Active Markets

using Identical
Assets

(Level 1)
     Significant
Other
Observable
Inputs

(Level 2)
     Significant
Unobservable
Inputs

(Level 3)
 

Cash equivalents

   $ 4,635,099      $ —        $ —    

Marketable securities

     16,829,854        —          —    

Warrant liabilities

     —          —          9,581,916  
  

 

 

    

 

 

    

 

 

 

Total

   $ 21,464,953      $ —        $ 9,581,916  
  

 

 

    

 

 

    

 

 

 

 

     Fair Value Measurements at December 31, 2016  
     Quoted Prices in
Active Markets

using Identical
Assets

(Level 1)
     Significant
Other
Observable
Inputs

(Level 2)
     Significant
Unobservable
Inputs

(Level 3)
 

Cash equivalents

   $ 3,411,058      $ —        $ —    

Marketable securities

     31,354,170        —          —    

Warrant liabilities

     —          —          12,698,980  
  

 

 

    

 

 

    

 

 

 

Total

   $ 34,765,228      $ —        $ 12,698,980  
  

 

 

    

 

 

    

 

 

 

 

The Company issued a warrant to the representative of the underwriter of its initial public offering (the “Representative’s Warrant”). The Company determined that this warrant should be classified as a liability and considers it as a Level 3 financial instrument (see also Note 8, “Capital Structure”). The Representative’s Warrant will be re-measured at each subsequent reporting period and changes in fair value will be recognized in the consolidated statement of operations. The following assumptions were used in a Black- Scholes option-pricing model to determine the fair value of the warrant liability:

 

     As of     As of  
   June 30, 2017     December 31, 2016  

Expected volatility

     91.4     73.9

Remaining contractual term (in years)

     2.17       2.67  

Risk-free interest rate

     1.38     1.47

Expected dividend yield

     —       —  

The Company issued warrants to the purchasers of its Follow-on Offering (the “CMPO Warrants”), The Company determined that these warrants should be classified as a liability and considered as a Level 3 financial instrument (see also Note 8, “Capital Structure”). The CMPO Warrants will be re-measured at each subsequent reporting period and changes in fair value will be recognized in the consolidated statement of operations. The following assumptions were used in a Black-Scholes option-pricing model to determine the fair value of the warrant liability:

 

     As of     As of  
   June 30, 2017     December 31, 2016  

Expected volatility

     84.1     79.9

Remaining contractual term (in years)

     4.08       4.58  

Risk-free interest rate

     1.72     1.93

Expected dividend yield

     —       —  

The following tables present a reconciliation of the Company’s financial liabilities measured at fair value on a recurring basis using significant unobservable inputs (Level 3) for the three and six months ended June 30, 2017 and 2016:

Warrant liabilities

 

     Three Months Ended June 30      Six Months Ended June 30,  
     2017      2016      2017      2016  

Balance at beginning of period

   $ 12,778,781      $ 256,054      $ 12,698,980      $ 444,324  

Increase (decrease) in fair value

     (3,196,865      (70,395      (3,117,064      (258,665
  

 

 

    

 

 

    

 

 

    

 

 

 

Balance at end of period

   $ 9,581,916      $ 185,659      $ 9,581,916      $ 185,659  
  

 

 

    

 

 

    

 

 

    

 

 

 

The key inputs into the Black-Scholes option pricing model are the current per-share value and the expected volatility of the Company’s common stock. Significant changes in these inputs will directly increase or decrease the estimated fair value of the Company’s warrant liabilities.