Fair Value Measurements

9 Months Ended

Sep. 30, 2020

Fair Value Disclosures [Abstract]

Fair Value Measurements

3. Fair Value Measurements

The Company’s assets and liabilities measured at fair value on a recurring basis at September 30, 2020 consisted of the following:

	Fair Value Measurement at September 30, 2020
	Total		Level 1		Level 2		Level 3
Recurring fair value measurements
Cash equivalents - money market funds	$	47,191,204	$	47,191,204	$	—	$	—
Short-term investments		63,282,716		—		63,282,716		—
Contingent consideration liability (see Note 8)		25,070,000		—		—		25,070,000
Warrant liability		10,000		—		—		10,000

The Company’s assets and liabilities measured at fair value on a recurring basis at December 31, 2019 consisted of the following:

	Fair Value Measurement at December 31, 2019
	Total		Level 1		Level 2		Level 3
Recurring fair value measurements
Cash equivalents - money market funds	$	8,034,640	$	8,034,640	$	—	$	—
Short-term investments		28,277,386		—		28,277,386		—
Contingent consideration liability (see Note 8)		2,750,000		—		—		2,750,000
Warrant liability		10,000		—		—		10,000

Short-term investments have been initially valued at the transaction price and subsequently valued, at the end of each reporting period, utilizing third party pricing services or other market observable data (Level 2). The pricing services utilize industry standard valuation models, including both income and market-based approaches and observable market inputs to determine value. Short-term investments had quoted prices at September 30, 2020 as shown below:

	September 30, 2020
	Amortized Cost		Unrealized Gain (Loss)			Market Value
United States treasury securities	$	3,995,784	$	936		$	3,996,720
Financial and corporate debt securities		49,283,352		(3,045	)		49,280,307
Certificate of deposit		10,005,689		—			10,005,689
Total	$	63,284,825	$	(2,109	)	$	63,282,716

The fair value of contingent payments classified as a liability was based on the regulatory milestones described in Note 8 and estimated using the Monte Carlo simulation valuation model with Level 3 inputs. The following table is a reconciliation of the beginning and ending balance of contingent consideration liability:

Balance at December 31, 2019	$	2,750,000
Change in fair value		22,320,000
Balance at September 30, 2020	$	25,070,000

The assumptions used to estimate the fair value of contingent payments that are classified as a liability at September 30, 2020 include the following significant unobservable inputs:

Unobservable input	Value or Range	Weighted Average
Expected volatility	113.7%	113.7%
Risk-free interest rate	0.13%	0.13%
Cost of capital	30%	30%
Discount for lack of marketability	12%-18%	15%
Probability of payment	63%-100%	91%
Projected year of payment	2020-2022	2020

The Company’s warrant liability is valued using the Monte Carlo simulation valuation model with Level 3 inputs. If applicable, the Company will recognize transfers into and out of levels within the fair value hierarchy at the end of the reporting period in which the actual event or change in circumstance occurs.

There were no transfers into and out of any of the levels of the fair value hierarchy as of September 30, 2020 and December 31, 2019.

Separate disclosure is required for assets and liabilities measured at fair value on a recurring basis from those measured at fair value on a non-recurring basis. Assets recorded at fair value on a non-recurring basis, such as property and equipment and intangible assets are recognized at fair value when they are impaired. As of September 30, 2020, the Company had no significant assets or liabilities that were measured at fair value on a non-recurring basis.