Quarterly report pursuant to Section 13 or 15(d)

Fair Value of Financial Instruments (Tables)

v3.20.2
Fair Value of Financial Instruments (Tables)
9 Months Ended
Sep. 30, 2020
Basis of Presentation and Significant Accounting Policies  
Schedule of fair value inputs

 

 

 

 

 

 

 

January 21, 2020

Current stock price

 

$

0.33

 

Estimated volatility of future stock price

 

 

124

%

Risk free interest rate

 

 

1.53

%

Expected term

 

 

3.7

years

 


The following table presents quantitative information about the inputs and valuation methodologies used for the Company’s fair value measurements of contingent consideration classified as Level 3 as of September 30, 2020:

 

 

 

 

 

 

 

 

 

 

 

 

 

As of September 30, 2020

 

 

 

Valuation 

 

Significant 

 

Weighted Average 

 

    

 

 Methodology

    

 Unobservable Input

    

 (range, if applicable)

 

 

 

 

 

 

 

 

Contingent Consideration

 

 

Probability weighted   income approach

 

Milestone dates

 

2022-2031

 

 

 

 

 

Discount rate

 

8.56%

 

 

 

  

 

Probability of occurrence

 

2.7% to 68%

 


The following table presents quantitative information about the inputs used in the valuation for the Company’s fair value measurement of the warrant liability classified as Level 3 as of September 30, 2020:

 

 

 

 

 

 

 

 

September 30, 2020

Current stock price

 

$

1.24

 

Estimated volatility of future stock price

 

 

137.77

%

Risk free interest rate

 

 

0.22

%

Contractual term

 

 

3.16

years

 

Schedule of fair value of financial instruments measured on a recurring basis

The fair value of financial instruments measured on a recurring basis is as follows:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

As of September 30, 2020

Description

    

Total

    

Level 1

    

Level 2

    

Level 3

Assets:

 

 

 

 

 

 

 

 

 

 

 

Short-term investments

 

$

92,501,019

 

$

92,501,019

 

 —

 

 

 —

Liabilities:

 

 

  

 

 

  

 

  

 

 

  

Contingent consideration

 

$

2,758,515

 

 

 —

 

 —

 

$

2,758,515

Warrant liability

 

$

60,915

 

 

 —

 

 —

 

$

60,915

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

As of December 31, 2019

Description

    

Total

    

 

Level 1

    

Level 2

    

Level 3

Assets:

 

 

 

 

 

 

 

 

 

 

 

Short-term investments

 

$

5,713,922

 

$

5,713,922

 

 —

 

 

 —

Liabilities:

 

 

  

 

 

  

 

  

 

 

  

Contingent consideration

 

$

3,718,515

 

 

 —

 

 —

 

$

3,718,515

 

Schedule of change in fair value, as determined by Level 3 inputs, for all assets and liabilities using unobservable Level 3 inputs

 

The following table summarizes the change in fair value, as determined by Level 3 inputs, for all assets and liabilities using unobservable Level 3 inputs for the nine months ended September 30, 2020:

 

 

 

 

 

 

 

 

 

 

Contingent 

 

Warrant

 

    

Consideration

 

Liability

Balance at December 31, 2019

 

$

3,718,515

 

$

 —

Fair value at issuance

 

 

 —

 

 

2,494,823

Reclassification of warrants from equity to liability due to modification

 

 

 —

 

 

869,078

Reclassification of warrant liability to equity upon cashless exercise of warrants

 

 

 —

 

 

(2,766,647)

Reclassification of warrant liability to equity upon exchange of warrants

 

 

 —

 

 

(1,575,642)

Payout of contingent consideration

 

 

(2,005,000)

 

 

 —

Change in fair value

 

 

1,045,000

 

 

1,039,303

Balance at September 30, 2020

 

$

2,758,515

 

$

60,915