WARRANT LIABILITY AND FAIR VALUE MEASUREMENTS

9 Months Ended

Sep. 30, 2020

WARRANT LIABILITY AND FAIR VALUE MEASUREMENTS

WARRANT LIABILITY AND FAIR VALUE MEASUREMENTS

NOTE 9: WARRANT LIABILITY AND FAIR VALUE MEASUREMENTS

During the nine months ended September 30, 2020, all of the Company's common stock purchase warrants previously treated as a liability expired.

A summary of quantitative information with respect to valuation methodology and significant unobservable inputs used for the Company’s common stock purchase warrants that are categorized within Level 3 of the fair value hierarchy for the nine months ended September 30, 2020 and 2019 is as follows:

	Weighted Average Inputs
	For the Nine Months Ended
	September 30,
	2020		2019
Exercise price	$	—	$	6.92
Contractual term (years)		—		0.30
Volatility (annual)		—		92	%
Risk-free rate		—		2	%
Dividend yield (per share)		—		0	%

Financial Liabilities Measured at Fair Value on a Recurring Basis

Financial liabilities measured at fair value on a recurring basis are summarized below and disclosed on the balance sheet under Warrant liability:

	Fair value measured at September 30, 2020
	Quoted prices in active		Significant other		Significant
	markets		observable inputs		unobservable inputs		Fair value at
	(Level 1)		(Level 2)		(Level 3)		September 30, 2020
Warrant liability	$	—	$	—	$	—	$	—

	Fair value measured at December 31, 2019
	Quoted prices in active		Significant other		Significant
	markets		observable inputs		unobservable inputs		Fair value at
	(Level 1)		(Level 2)		(Level 3)		December 31, 2019
Warrant liability	$	—	$	—	$	31,000	$	31,000

The fair value accounting standards define fair value as the amount that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants. As such, fair value is determined based upon assumptions that market participants would use in pricing an asset or liability. Fair value measurements are rated on a three-tier hierarchy as follows:

● Level 1 inputs: Quoted prices (unadjusted) for identical assets or liabilities in active markets;

● Level 2 inputs: Inputs, other than quoted prices included in Level 1, that are observable either directly or indirectly; and

● Level 3 inputs: Unobservable inputs for which there is little or no market data, which require the reporting entity to develop its own assumptions.

There were no transfers between Level 1, 2 or 3 during the nine months ended September 30, 2020.

The following table presents changes in Level 3 liabilities measured at fair value for the nine months ended September 30, 2020:

	Warrant
	Liability
Balance - January 1, 2020	$	31,000
Change in fair value of warrant liability		(31,000)
Balance – September 30, 2020	$	—