NeuBase Therapeutics, Inc. Quarterly report pursuant to Section 13 or 15(d)

Quarterly report pursuant to Section 13 or 15(d)

Fair Value

Fair Value

9 Months Ended

Jun. 30, 2021

11. Fair Value

The following tables present the Company’s fair value hierarchy for its warrant liabilities measured at fair value on a recurring basis as of June 30, 2021 and September 30, 2020:


	Fair Value Measurements
	as of June 30, 2021
	(Level 1)		(Level 2)		(Level 3)		Total
Liabilities
Warrant liabilities	$	—		—		13,895	$	13,895

	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 June 30,
	2021	2020
Remaining contractual term (years)	0.5 - 0.8	1.5 - 1.8
Common stock price volatility	69.3% - 72.3%	87.9% - 89.8%*
Risk-free interest rate	0.07%	0.16%
Expected dividend yield	—	—

* 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 and nine months ended June 30, 2021, 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 and nine months ended June 30,2021 and 2020 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
Change in fair value		(90,597)
Fair value as of March 31, 2021		229,442
Change in fair value		(215,547)
Fair value as of June 30, 2021	$	13,895

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
Change in fair value		(69,944)
Fair value as of March 31, 2020		1,120,533
Change in fair value		285,284
Fair value as of June 30, 2020	$	1,405,817

As of June 30, 2021 and September 30, 2020, the carrying value of cash and cash equivalents, accounts payable and the insurance note payable approximate fair value due to the short-term nature of these instruments.

- Definition

The entire disclosure for the fair value of financial instruments (as defined), including financial assets and financial liabilities (collectively, as defined), and the measurements of those instruments as well as disclosures related to the fair value of non-financial assets and liabilities. Such disclosures about the financial instruments, assets, and liabilities would include: (1) the fair value of the required items together with their carrying amounts (as appropriate); (2) for items for which it is not practicable to estimate fair value, disclosure would include: (a) information pertinent to estimating fair value (including, carrying amount, effective interest rate, and maturity, and (b) the reasons why it is not practicable to estimate fair value; (3) significant concentrations of credit risk including: (a) information about the activity, region, or economic characteristics identifying a concentration, (b) the maximum amount of loss the entity is exposed to based on the gross fair value of the related item, (c) policy for requiring collateral or other security and information as to accessing such collateral or security, and (d) the nature and brief description of such collateral or security; (4) quantitative information about market risks and how such risks are managed; (5) for items measured on both a recurring and nonrecurring basis information regarding the inputs used to develop the fair value measurement; and (6) for items presented in the financial statement for which fair value measurement is elected: (a) information necessary to understand the reasons for the election, (b) discussion of the effect of fair value changes on earnings, (c) a description of [similar groups] items for which the election is made and the relation thereof to the balance sheet, the aggregate carrying value of items included in the balance sheet that are not eligible for the election; (7) all other required (as defined) and desired information.

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