Quarterly report pursuant to Section 13 or 15(d)

Fair value measurements (Tables)

v3.19.1
Fair value measurements (Tables)
 3 Months Ended
Mar. 31, 2019
Fair Value Disclosures [Abstract]  
Schedule of Weighted Average Unobservable Inputs
A summary of weighted average (in aggregate) significant unobservable inputs (Level 3 inputs) used in measuring the Company’s senior secured promissory notes and warrants at the issuance date of January 28, 2019 and at March 31, 2019 is as follows:
 
Senior Secured Promissory Notes:
 
 
January 28, 2019
  
March 31, 2019
 
(Unaudited)
  
(Unaudited)
Dividend yield
0%
  
0%
Expected price volatility
119.5%
  
118.0%
Risk free interest rate
2.60%
  
2.41%
Expected term
1 year
  
10 months

Warrants:
 
 
January 28, 2019
  
March 31, 2019
 
(Unaudited)
  
(Unaudited)
Dividend yield
0%
  
0%
Expected price volatility
111.6%
  
113.7%
Risk free interest rate
2.58%
  
2.23%
Expected term
5 years
  
4 years, 10 months
Schedule of Liabilities Measured at Fair Value Recurring Basis
The following tables classify the Company’s liabilities measured at fair value on a recurring basis into the fair value hierarchy as of March 31, 2019:
 
   
Fair value measured at March 31, 2019 (Unaudited)  
  
   
Total carrying value at March 31, 2019
    
Quoted prices in
active markets
(Level 1)
    
Significant other
observable inputs
(Level 2)
    
Significant
unobservable inputs
(Level 3)
  
Liabilities:
                        
Senior secured convertible notes
  
$
7,975,308
    
$
-
    
$
-
    
$
7,975,308
  
                                 
Warrant liability
  
$
5,322,162
    
$
-
    
$
-
    
$
5,322,162
  
Schedule of Changes in Level 3 Liabilities Measured at Fair Value
The following table presents changes in Level 3 liabilities measured at fair value for the three months ended March 31, 2019. Unobservable inputs were used to determine the fair value of positions that the Company has classified within the Level 3 category.
 
   
Convertible Notes
    
Warrant Liability
  
Issuance of senior secured convertible notes
  
$
6,330,726
    
$
-
  
Issuance of warrants in connection with convertible notes
    
-
      
2,568,934
  
Balance at January 28, 2019
    
6,330,726
      
2,568,934
  
Change in fair value
    
1,644,582
      
2,753,228
  
Balance at March 31, 2019
  
$
7,975,308
    
$
5,322,162