Annual report pursuant to Section 13 and 15(d)

Fair Value Measurements

Fair Value Measurements

12 Months Ended

Dec. 31, 2020

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, 2020 and December 31, 2019:


	Fair Value Measurement As of December 31, 2020
	Quoted Prices in Active Markets for Identical Assets (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)
Cash equivalents	$	12,921,359	$	—	$	—
Marketable securities		27,005,388		—		—
Warrant liabilities		—		—		29,404,089

Total	$	39,926,747	$	—	$	29,404,089


	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

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 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 December 31, 2020		As of December 31, 2019
Expected volatility		59.7%		121.4%
Remaining contractual term (in years)		0.58		1.58
Risk-free interest rate		0.09%		1.59%
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 are

re-measured


	As of December 31, 2020		As of December 31, 2019
Expected volatility		100.1%		104.2%
Remaining contractual term (in years)		1.58		2.58
Risk-free interest rate		0.12%		1.60%
Expected dividend yield		— %		— %

The Company issued warrants to the purchasers of its 2020 Offering (the “2020 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 2020 Warrants are

re-measured


	As of December 31, 2020		At Issuance May 27, 2020
Expected volatility		111.9%		106.4%
Remaining contractual term (in years)		2.42		3.00
Risk-free interest rate		0.15%		0.22%
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, 2020, 2019 and 2018:

Warrant liabilities


	Year Ended December 31,
	2020			2019			2018
Balance at beginning of period	$	6,068,978		$	20,781,663		$	13,549,437
Issuance of 2020 Warrants		31,391,369			—			—
Change in fair value		(8,056,258	)		(14,712,685	)		7,232,226

Balance at end of period	$	29,404,089		$	6,068,978		$	20,781,663

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.