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Marketable Securities and Fair Value Measurements | 9 Months Ended
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Sep. 30, 2016
Fair Value Disclosures [Abstract] |
Marketable Securities and Fair Value Measurements | Marketable Securities and Fair Value Measurements The guidance regarding fair value measurements establishes a three-tier fair value hierarchy, which prioritizes the inputs used in measuring fair value. These tiers include: Level 1, defined as observable inputs such as quoted prices in active markets that are accessible at the measurement date; Level 2, defined as inputs other than quoted prices in active markets that are either directly or indirectly observable; and Level 3, defined as unobservable inputs in which little or no market data exists, therefore requiring an entity to develop its own assumptions. Assets and liabilities are classified based on the lowest level of input that is significant to the fair value measurements. The Company reviews the fair value hierarchy classification on a quarterly basis. Changes in the ability to observe valuation inputs may result in a reclassification of levels for certain securities within the fair value hierarchy. The Company did not have any transfer of assets and liabilities between Level 1, Level 2 and Level 3 of the fair value hierarchy during the nine months ended September 30, 2016 or 2015. The following table presents the Company’s assets and liabilities that are measured at fair value on a recurring basis, and are determined using the following inputs as of September 30, 2016:
| Fair Value Measurements at
| September 30, 2016
| Total |  | Quoted Prices in Active Markets (Level 1) |  | Significant Other Unobservable Inputs (Level 2) |  | Significant Unobservable Inputs (Level 3)
Assets: |  |  |  |  |  |  |
Money market funds | $ | 13,778,470 |  |  | $ | 13,778,470 |  |  | $ | — |  |  | $ | — |
Mutual funds | 70,235,667 |  |  | — |  |  | 70,235,667 |  |  | — |
US corporate debt securities | 26,199,918 |  |  | — |  |  | 26,199,918 |  |  | — |
Investments in affiliated entities | 25,296,348 |  |  | 25,296,348 |  |  | — |  |  | — |
Total Assets | $ | 135,510,403 |  |  | $ | 39,074,818 |  |  | $ | 96,435,585 |  |  | $ | — |
Liabilities: |  |  |  |  |  |  |
Common stock warrants | $ | 1,812,502 |  |  | $ | — |  |  | $ | — |  |  | 1,812,502 |
Total Liabilities | $ | 1,812,502 |  |  | $ | — |  |  | $ | — |  |  | $ | 1,812,502 |
The following table presents the Company’s assets and liabilities that are measured at fair value on a recurring basis, and are determined using the following inputs as of December 31, 2015:
| Fair Value Measurements at
| December 31, 2015
| Total |  | Quoted Prices in Active Markets (Level 1) |  | Significant Other Unobservable Inputs (Level 2) |  | Significant Unobservable Inputs (Level 3)
Assets: |  |  |  |  |  |  |
Money market funds | $ | 54,474,609 |  |  | $ | 54,474,609 |  |  | $ | — |  |  | $ | — |
Mutual funds | 78,385,992 |  |  | — |  |  | 78,385,992 |  |  | — |
US corporate debt securities | 26,869,403 |  |  | — |  |  | 26,869,403 |  |  | — |
Municipal bonds | 101,882 |  |  | — |  |  | 101,882 |  |  | — |
Investment in affiliated entities | 19,987,192 |  |  | 19,987,192 |  |  | — |  |  | — |
Common stock warrants | 5,970 |  |  | — |  |  | — |  |  | 5,970 |
Total Assets | $ | 179,825,048 |  |  | $ | 74,461,801 |  |  | $ | 105,357,277 |  |  | $ | 5,970 |
Liabilities: |  |  |  |  |  |  |
Common stock warrants | $ | 1,301,138 |  |  | $ | — |  |  | $ | — |  |  | $ | 1,301,138 |
Total Liabilities | $ | 1,301,138 |  |  | $ | — |  |  | $ | — |  |  | $ | 1,301,138 |
Level 1 assets include money market funds held by the Company that are valued at quoted market prices, as well as the Company’s investments in GeneOne and PLS. The Company accounts for its investment in GeneOne at fair value on a recurring basis by which the fair value is based on the market value of 1,644,155 common shares on September 30, 2016 and December 31, 2015, listed on the Korean Stock Exchange. The Company accounts for its investment in PLS as an available-for sale security by which the fair value is based on the market value of 395,758 common shares on September 30, 2016, listed on the Korea New Exchange (KONEX) Market. The Company elected the fair value option in conjunction with the investment in GeneOne at the inception of the investment therefore changes in the fair value of the investment are reflected as other income (expense) in the condensed consolidated statements of operations. The Company did not elect the fair value option for the investment in PLS at the inception of the investment, but rather recorded the investment under the equity method until its ownership interest dropped below 20% in June 2015 and accordingly began recording the investment under the cost method using the carryover basis from the equity method of zero. Once shares of PLS began trading on the KONEX, the Company classified the investment as available-for-sale and began recording the investment at fair value with changes in fair value reflected in other comprehensive income (loss). Level 2 assets at September 30, 2016 include US corporate debt securities and mutual funds held by the Company that are initially valued at the transaction price and subsequently valued, at the end of each reporting period, typically utilizing market observable data. The Company obtains the fair value of its Level 2 assets from a professional pricing service, which may use quoted market prices for identical or comparable instruments, or inputs other than quoted prices that are observable either directly or indirectly. The professional pricing service gathers quoted market prices and observable inputs from a variety of industry data providers. The valuation techniques used to measure the fair value of the Company's Level 2 financial instruments were derived from non-binding market consensus prices that are corroborated by observable market data, quoted market prices for similar instruments, or pricing models such as discounted cash flow techniques. The Company validates the quoted market prices provided by the primary pricing service by comparing their assessment of the fair values of the Company's investment portfolio balance against the fair values of the Company's investment portfolio balance obtained from an independent source. Level 3 assets held as of September 30, 2016 include the second warrant received by the Company to purchase shares of common stock of OncoSec Medical Incorporated (“OncoSec”), in connection with the second amendment to the Asset Purchase Agreement between the Company and OncoSec signed in March 2012. This warrant to purchase 150,000 shares of common stock of OncoSec has a contractual life of five years with an exercise price of $20.00 per share. The first warrant to purchase 50,000 shares of common stock of OncoSec at an exercise price of $24.00 per share, expired in September 2016. The Company reassesses the fair value of the OncoSec warrants at each reporting date utilizing a Black-Scholes pricing model. Inputs used in the pricing model include estimates of OncoSec stock price volatility, expected warrant life and risk-free interest rate. The Company develops its estimates based on publicly available historical data and knowledge of OncoSec. The Company reassesses the fair value of the warrants at each reporting date. The assumptions used to estimate the fair values of the OncoSec common stock warrant at September 30, 2016 are presented below:
Risk-free interest rate | 0.43%
Expected volatility | 88%
Expected life in years | 0.5
Dividend yield | —
As a result of these calculations, the Company recorded a decrease in fair value of the warrants of $0 and $6,000 for the three and nine months ended September 30, 2016, respectively and $98,000 and $461,000 for the three and nine months ended September 30, 2015, respectively. The change in fair value is reflected in the Company's condensed consolidated statements of operations as a component of change in fair value of common stock warrants. The following table presents a summary of changes in fair value of the Company’s total Level 3 financial assets for the nine months ended September 30, 2016:
Balance at January 1, 2016 | $ | 5,970 |
Decrease in fair value included in change in fair value of common stock warrants | (5,970 | )
Balance at September 30, 2016 | $ | — |
Level 3 liabilities held as of September 30, 2016 consist of common stock warrant liabilities associated with warrants to purchase the Company's common stock issued in March 2013. If unexercised, the warrants will expire in September 2018. During the three and nine months ended September 30, 2016 and 2015, no ne of these warrants were exercised. As of September 30, 2016 the Company has a $1.8 million common stock warrant liability. The Company reassesses the fair value of the common stock warrants at each reporting date utilizing a Black-Scholes pricing model. Inputs used in the pricing model include estimates of stock price volatility, expected warrant life and risk-free interest rate. The Company develops its estimates based on historical data. The assumptions used to estimate the fair value of common stock warrants at September 30, 2016 are presented below:
Risk-free interest rate | 0.73%
Expected volatility | 60%
Expected life in years | 2.0
Dividend yield | —
Changes in these assumptions as well as in the Company's stock price on the valuation date can have a significant impact on the fair value of the common stock warrant liability. As a result of these calculations, the Company recorded a (decrease) increase in fair value of $(3,000) and $511,000 for the three and nine months ended September 30, 2016, respectively, and a decrease in fair value of $(616,000) and $(929,000) for the three and nine months ended September 30, 2015, respectively. The change in fair value is reflected in the Company's condensed consolidated statements of operations as a component of change in fair value of common stock warrants. The following table presents the changes in fair value of the Company’s total Level 3 financial liabilities for the nine months ended September 30, 2016:
Balance at January 1, 2016 | $ | 1,301,138 |
Increase in fair value included in change in fair value of common stock warrants | 511,364 |
Balance at September 30, 2016 | $ | 1,812,502 |

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- 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 Reference 1: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 2 -URI http://asc.fasb.org/extlink&oid=66048111&loc=d3e19207-110258 Reference 2: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 825 -SubTopic 10 -Section 50 -Paragraph 30 -URI http://asc.fasb.org/extlink&oid=6957238&loc=d3e14172-108612 Reference 3: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 825 -SubTopic 10 -Section 50 -Paragraph 28 -URI http://asc.fasb.org/extlink&oid=6957238&loc=d3e14064-108612 Reference 4: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 825 -SubTopic 10 -Section 50 -Paragraph 21 -URI http://asc.fasb.org/extlink&oid=73719730&loc=d3e13537-108611 Reference 5: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 825 -SubTopic 10 -Section 50 -Paragraph 16 -URI http://asc.fasb.org/extlink&oid=73719730&loc=d3e13504-108611 Reference 6: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 825 -SubTopic 10 -Section 50 -Paragraph 10 -URI http://asc.fasb.org/extlink&oid=73719730&loc=d3e13433-108611 + Details
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