Quarterly report pursuant to Section 13 or 15(d)

Fair Value Measurements

v3.19.3
Fair Value Measurements
9 Months Ended
Sep. 30, 2019
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 September 30, 2019 and December 31, 2018:
 
    
Fair Value Measurement as of September 30, 2019
 
    
Quoted Prices
in Active
Markets for
Identical Assets
(Level 1)
    
Significant
Other
Observable
Inputs
(Level 2)
    
Significant
Unobservable
Inputs
(Level 3)
 
Cash equivalents
   $ 8,688,134      $
 
 
     $
 
 
 
Warrant liabilities
    
 
 
      
 
 
       2,159,192  
    
 
 
    
 
 
    
 
 
 
Total
   $ 8,688,134      $
 
 
     $ 2,159,192  
    
 
 
    
 
 
    
 
 
 
   
    
Fair Value Measurement as of December 31, 2018
 
    
Quoted Prices
in Active
Markets for
Identical Assets
(Level 1)
    
Significant
Other
Observable
Inputs
(Level 2)
    
Significant
Unobservable
Inputs
(Level 3)
 
Cash equivalents
   $ 6,850,772      $ —        $ —    
Marketable securities
     22,131,936        —          —    
Warrant liabilities
     —          —          20,781,663  
    
 
 
    
 
 
    
 
 
 
Total
   $ 28,982,708      $ —        $ 20,781,663  
    
 
 
    
 
 
    
 
 
 
 
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 considered it as a Level 3 financial instrument (see also Note 8, “Capital Structure”). The Representative’s Warrant was
re-measured
at each subsequent reporting period and changes in fair value were recognized in the consolidated statement of operations. The Representative’s Warrant expired in accordance with its terms on July 28, 2019. The following assumptions were used in a Black- Scholes option-pricing model to determine the fair value of the warrant liability:
 
    
As of
December 31,
2018
 
Expected volatility
     70.9
Remaining contractual term (in years)
     0.67  
Risk-free interest rate
     2.63
Expected dividend yield
     —  
The Company issued warrants to the purchasers of its 2016 Offering (the “2016 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 2016 Warrants are
re-measured
at each subsequent reporting period and changes in fair value are 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
September 30,
2019
   
As of
December 31,
2018
 
Expected volatility
     102.8     72.6
Remaining contractual term (in years)
     1.83       2.58  
Risk-free interest rate
     1.63     2.46
Expected dividend yield
    
 
 
    —  
The Company issued warrants to the purchasers of its 2017 Offering (the “2017 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 2017 Warrants are
re-measured
at each subsequent reporting period and changes in fair value are 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
September 30,
2019
   
As of
December 31,
2018
 
Expected volatility
     97.6     87.3
Remaining contractual term (in years)
     2.83       3.58  
Risk-free interest rate
     1.56     2.49
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 nine months ended September 30, 2019 and 2018:
Warrant liabilities
 
    
Three Months Ended
September 30,
    
Nine Months Ended
September 30,
 
    
2019
    
2018
    
2019
    
2018
 
Balance at beginning of period
   $ 4,345,902      $ 38,626,579      $ 20,781,663      $ 13,549,437  
(
D
ecrease)
increase 
in fair value (1)
     (2,186,710      (3,246,765      (18,622,471      21,830,377  
    
 
 
    
 
 
    
 
 
    
 
 
 
Balance at end of period
   $ 2,159,192      $ 35,379,814      $ 2,159,192      $ 35,379,814  
    
 
 
    
 
 
    
 
 
    
 
 
 
 
(1)
The change in fair values of the warrant liabilities is recorded in other income (expense) in the consolidated statement of operations.
 
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.