Quarterly report pursuant to Section 13 or 15(d)

Fair Value

v3.21.2
Fair Value
9 Months Ended
Jun. 30, 2021
Fair Value  
Fair Value

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.