Annual report pursuant to Section 13 and 15(d)

Fair Value Measurements

v3.20.1
Fair Value Measurements
12 Months Ended
Dec. 31, 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 December 31, 2019 and December 31, 2018:
 
    
Fair Value Measurement As of December 31, 2019
 
    
Quoted Prices
in Active
Markets for
Identical Assets
(Level 1)
    
Significant
Other Observable
Inputs
(Level 2)
    
Significant
Unobservable
Inputs
(Level 3)
 
Cash equivalents
   $ 21,433,639      $
 
 
   $
 
 
Warrant liabilities
    
 
 
      
 
 
       6,068,978  
  
 
 
    
 
 
    
 
 
 
Total
   $ 21,433,639      $
 
 
   $ 6,068,978  
  
 
 
    
 
 
    
 
 
 
 
    
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 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 9, “Capital Structure”). The 2016 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
December 31, 2019
 
As of
December 31, 2018
Expected volatility
    
 
121.4
%
   
 
72.6
%
 
Remaining contractual term (in years)
    
 
1.58
 
   
 
2.58
 
Risk-free interest rate
    
 
1.59
%
   
 
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 9, “Capital Structure”). The 2017 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
December 31, 2019
 
As of
December 31, 2018
Expected volatility
    
 
104.2    
 
87.3
Remaining contractual term (in years)
    
 
2.58      
 
3.58  
Risk-free interest rate
    
 
1.60    
 
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 years ended December 31, 2019, 2018 and 2017:
Warrant liabilities
 
    
Year Ended December 31,
 
    
2019
    
2018
    
2017
 
Balance at beginning of period
   $ 20,781,663      $ 13,549,437      $ 12,698,980  
Issuance of 2017 Warrants
                   12,383,435  
Change in fair value
     (14,712,685      7,232,226        (11,532,978
  
 
 
    
 
 
    
 
 
 
Balance at end of period
   $ 6,068,978      $ 20,781,663      $ 13,549,437  
  
 
 
    
 
 
    
 
 
 
The key inputs into the Black-Scholes option pricing model are the 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 liability.