Quarterly report pursuant to Section 13 or 15(d)

Fair value measurements

v3.19.3
Fair value measurements
 9 Months Ended
Sep. 30, 2019
Fair Value Disclosures [Abstract]  
Fair value measurements

Note 5. Fair value measurements:

 

On January 28, 2019 the Company issued the Notes and Warrants in connection with the Notes. The Notes and Warrants were classified as liabilities and measured at fair value on the issuance date, with changes in fair value recognized as other expense on the consolidated statements of operations and disclosed in the unaudited condensed interim consolidated financial statements. As of June 27, 2019, in accordance with their original terms, all of the Notes were converted into a total of 1,813,500 shares of the Company’s common stock by their holders.

 

A summary of weighted average (in aggregate) significant unobservable inputs (Level 3 inputs) used in measuring the Company’s Notes and Warrants at the issuance date of January 28, 2019 and during the conversion of the Notes as of June 27, 2019, are as follows:

 

Senior Secured Promissory Notes:

 

    January 28, 2019  

As of June 27, 2019
      (Unaudited)       (Unaudited)  
Dividend yield     0%       0%  
Expected price volatility     119.5%     122.2%-127.1%  
Risk free interest rate     2.60%     2.07%-2.44%  
Expected term     1 year       —    

 

Warrants:

 

    January 28, 2019   As of June 27, 2019
      (Unaudited)       (Unaudited)  
Dividend yield     0%     0
Expected price volatility     111.6%     119.9%-120.5%  
Risk free interest rate     2.58%     2.23%-2.58%  
Expected term     5 years       4 years, 10 months  

 

 

There were no assets or liabilities measured at fair value during the nine months ended September 30, 2018.

 

Unobservable inputs were used to determine the fair value of positions that the Company has classified within the Level 3 category.

 

The following table presents changes in Level 3 liabilities measured at fair value for the nine months ended September 30, 2019.

 

    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  
Change in fair value     2,250,651       116,498  
Conversion of convertible notes to common stock     (10,225,959 )     —    
Reclassification of warrant liability to equity     —         (5,438,660 )
Balance at September 30, 2019   $ —       $ —