Quarterly report pursuant to Section 13 or 15(d)

Fair Value

v3.20.4
Fair Value
3 Months Ended
Dec. 31, 2020
Fair Value  
Fair Value

8. Fair Value

The following tables present the Company’s fair value hierarchy for its warrant liabilities measured at fair value on a recurring basis at December  31, 2020 and September 30, 2020:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

    

Fair Value Measurements 

 

 

as of December 31, 2020

 

    

(Level 1)

    

(Level 2)

    

(Level 3)

    

Total

Liabilities

 

 

  

 

 

  

 

 

  

 

 

  

Warrant liabilities

 

$

 —

 

 

 —

 

 

320,039

 

$

320,039

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Fair Value Measurements 

 

 

as of September 30, 2020

 

    

(Level 1)

    

(Level 2)

    

(Level 3)

    

 Total  

Liabilities

 

 

  

 

 

  

 

 

  

 

 

 

Warrant liabilities

 

$

 —

 

 

 —

 

 

950,151

 

$

950,151

 

The fair value of the warrant liabilities were determined using the Black-Scholes option pricing model. The following assumptions were used in determining the fair value of the warrant liabilities :

 

 

 

 

 

 

 

 

As of December 31, 

 

    

2020

    

2019

Remaining contractual term (years)

 

 1 - 1.3

 

 2.0-  2.3

Common stock price volatility

 

73.9%

 

 84.9% - 86.2% 

Risk-free interest rate

 

0.1%

 

1.58% - 1.63%

 

The Company was historically a private company and lacked company-specific historical and implied volatility information, therefore the Company estimated its expected stock volatility based on the historical volatility of a set of publicly traded peer companies. During the three months ended December 31, 2020, the Company utilized its historical volatility in the valuation of warrant liabilities as it had sufficient trading history.

The change in fair value of the warrant liabilities for the three months ended December  31,2020 and 2019 is as follows:

 

 

 

 

 

Fair value as of September 30, 2020

    

$

950,151

Change in fair value

 

 

(630,112)

Fair value as of December 31, 2020

 

$

320,039

 

 

 

 

Fair value as of September 30, 2019

 

$

496,343

Change in fair value

 

 

694,134

Fair value as of December 31, 2019

 

$

1,190,477

 

As of December  31, 2020 and September 30, 2020, the recorded values of cash and cash equivalents, accounts payable and the insurance note payable approximate fair value due to the short-term nature of these instruments.