Fair Value Measurements

3 Months Ended

Mar. 31, 2021

3. Fair Value Measurements

The Company’s assets and liabilities measured at fair value on a recurring basis at March 31, 2021 consisted of the following:

	Fair Value Measurement at March 31, 2021
	Total		Level 1		Level 2		Level 3
Assets:
Cash equivalents - money market funds	$	13,962,902	$	13,962,902	$	—	$	—
Short-term investments		76,574,768		—		76,574,768		—
Total		90,537,670		13,962,902		76,574,768		—
Liabilities:
Contingent consideration liability (see Note 8)		6,270,000		—		—		6,270,000
Total	$	6,270,000	$	—	$	—	$	6,270,000

The Company’s assets and liabilities measured at fair value on a recurring basis at December 31, 2020 consisted of the following:

	Fair Value Measurement at December 31, 2020
	Total		Level 1		Level 2		Level 3
Assets:
Cash equivalents - money market funds	$	90,389,473	$	90,389,473	$	—	$	—
Short-term investments		100,005,558		—		100,005,558		—
Total		190,395,031		90,389,473		100,005,558		—
Liabilities:
Contingent consideration liability (see Note 8)		5,390,000		—		—		5,390,000
Warrant liability		10,000		—		—		10,000
Total	$	5,400,000	$	—	$	—	$	5,400,000

The warrant liability is included in Other long-term liabilities in the consolidated balance sheet at December 31, 2020. The warrant liability was valued using the Monte Carlo simulation valuation model with Level 3 inputs.

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 March 31, 2021 as shown below:

	March 31, 2021
	Amortized Cost		Unrealized Gain (Loss)			Market Value
United States treasury securities	$	16,029,965	$	2,995		$	16,032,960
Commercial paper and corporate debt securities		33,412,043		(1,935	)		33,410,108
Asset backed securities		2,111,239		(278	)		2,110,961
Certificate of deposit		25,020,739		—			25,020,739
Total	$	76,573,986	$	782		$	76,574,768

Short-term investments had quoted prices at December 31, 2020 as shown below:

	December 31, 2020
	Amortized Cost		Unrealized Gain (Loss)			Market Value
United States treasury securities	$	20,052,757	$	1,843		$	20,054,600
Commercial paper and corporate debt securities		47,521,344		(5,440	)		47,515,904
Asset backed securities		7,414,619		(757	)		7,413,862
Certificate of deposit		25,021,192		—			25,021,192
Total	$	100,009,912	$	(4,354	)	$	100,005,558

The fair value of contingent payments classified as a liability is based on the regulatory milestones described in Note 8 and estimated using the Monte Carlo simulation valuation model with Level 3 inputs.

The assumptions used to estimate the fair value of contingent payments that are classified as a liability at March 31, 2021 include the following significant unobservable inputs:

Unobservable input	Value or Range	Weighted Average
Expected volatility	117.4%	117.4%
Risk-free interest rate	0.09%	0.09%
Cost of capital	30%	30%
Discount for lack of marketability	16%-19%	18%
Probability of payment	63%	63%
Projected year of payment	2022	2022

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 March 31, 2021 and December 31, 2020.

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 March 31, 2021 and December 31, 2020, the Company had no significant assets or liabilities that were measured at fair value on a non-recurring basis.

- Definition

The entire disclosure for the fair value of financial instruments (as defined), including financial assets and financial liabilities (collectively, as defined), and the measurements of those instruments as well as disclosures related to the fair value of non-financial assets and liabilities. Such disclosures about the financial instruments, assets, and liabilities would include: (1) the fair value of the required items together with their carrying amounts (as appropriate); (2) for items for which it is not practicable to estimate fair value, disclosure would include: (a) information pertinent to estimating fair value (including, carrying amount, effective interest rate, and maturity, and (b) the reasons why it is not practicable to estimate fair value; (3) significant concentrations of credit risk including: (a) information about the activity, region, or economic characteristics identifying a concentration, (b) the maximum amount of loss the entity is exposed to based on the gross fair value of the related item, (c) policy for requiring collateral or other security and information as to accessing such collateral or security, and (d) the nature and brief description of such collateral or security; (4) quantitative information about market risks and how such risks are managed; (5) for items measured on both a recurring and nonrecurring basis information regarding the inputs used to develop the fair value measurement; and (6) for items presented in the financial statement for which fair value measurement is elected: (a) information necessary to understand the reasons for the election, (b) discussion of the effect of fair value changes on earnings, (c) a description of [similar groups] items for which the election is made and the relation thereof to the balance sheet, the aggregate carrying value of items included in the balance sheet that are not eligible for the election; (7) all other required (as defined) and desired information.

+ References + Details