Annual report pursuant to Section 13 and 15(d)

Fair Value Measurements

v3.19.1
Fair Value Measurements
 12 Months Ended
Dec. 31, 2018
Fair Value Disclosures [Abstract]  
Fair Value Measurements

11. Fair Value Measurements

Our financial instruments consist of cash, accounts payable, accrued liabilities, and warrant liability. We do not believe that we are exposed to significant interest, currency, or credit risks arising from these financial instruments. The fair values of the warrants approximates their carrying values using Level 3 inputs. Gains and losses recognized on changes in fair value of the warrants are reported in other income (expense). Our warrant valuation was measured at fair value by applying the Black-Scholes option valuation model, which utilizes Level 3 inputs.

The assumptions used in the Black-Scholes option re-valuation at December 31, 2018 are as follows:

 

    Risk-free interest rate   Expected life   Volatility   Dividend yield
  September 2016 warrants       2.46%   2.75 years     220.747%     0%
  March 2017 warrants       2.46%   3.75 years     228.164%     0%
  March 6, 2018 warrants       2.51%   4.75 years     215.957%     0%
  March 16, 2018 warrants       2.46%   2.25 years     267.010%     0%
  August 2018 warrants       2.51%   5.25 years     211.637%     0%

 

The following summarizes the Company's financial liabilities that are measured at fair value on a recurring basis at December 31, 2018.

 

    Level 1   Level 2   Level 3   Total
Liabilities                                
Derivative liabilities   $ —       $ —       $ 79,088     $ 79,088