SEC Company Response from AIM ImmunoTech Inc. (AIM) (CIK 0000946644) (AIM) — Jan 12, 2011
AIM ImmunoTech Inc. (AIM) (CIK 0000946644)
Date: Jan. 12, 2011 · CIK: 0000946644 · Accession: 0001144204-11-001937
AI Filing Summary & Sentiment
Reasoning
Referenced dates: January 3, 2011
Letter
Division of Corporation Finance Securities and Exchange Commission Hemispherx Biopharma, Inc. Form 10-K for the year ended December 31, 2009 Form 10-K/A for the year ended December 31, 2009 (SEC filing No. 1-13441)
Dear Mr. Rosenberg:
We hereby supplement our prior Response Letter dated January 3, 2011 (the “Response Letter”), which responded to the comments contained in your December 29, 2010 Comment Letter related to the above referenced Form 10-K and Form 10-K/A of Hemispherx Biopharma, Inc. (the "Company"). This letter specifically relates to Comment 3 of your letter.
Comment 3: Please provide us supplementally with the inputs used in the Black Scholes model at each valuation date (March 2010, June 2009/2010, September 2009/2010), to determine the fair value of the warrant liability, similar to that provided for the period ended December 31, 2009. In your response, explain why any assumptions remained consistent from those used at December 31, 2009 (i.e. volatility), if true, and the accounting literature that supports your accounting treatment.
Supplemental Response:
We have reevaluated the “Term” and “Volatility” inputs from our Black-Scholes calculations for each fiscal quarter closing period that the Warrants existed and determined that greater consistency in our application of these factors could impact our valuation of the Warrant’s Liability as presented in the Response Letter. Accordingly, we have revised our Black-Scholes calculations as follows:
1)
Term (period option expires) - where necessary, the Term has been revised to allow for a consistent decreased of .25 of a year for each subsequent fiscal quarter;
Corporate Headquarters
One Penn Center, 1617 JFK Blvd., Philadelphia, PA19103 t: 215-988-0080
f: 215-988-1739
Jim B. Rosenberg
January 12, 2011
Page -
2)
Volatility used at 12/31/2009 has been recalculated with a revision made to the second issuance of Warrants to present a more accurate and common rate 138.000000% for both sets of Warrants.
While we present below the complete Black-Scholes calculations for each fiscal period requested in your Comment Letter, a summary of the net dollar effect of the recalculation for all periods is as follows:
Period Of Fiscal Closing
With Notation Of Revision
(Term and/or Volatility)
Net Liability Value
As Presented In
Response Letter
Net Liability
Value As
Recalculated
Net Liability
Impact of
Recalculation
06/30/2009 (No Revision)
$ 19,671,271
$ 19,671,271
$ -0-
09/30/2009 (Term)
14,177,473
14,142,907
(34,566 )
12/31/2009 (Term & Volatility)
3,162,123
3,061,263
(100,860 )
03/31/2010 (Term)
4,223,353
4,319,359
96,006
06/30/2010 (Term)
2,096,287
2,173,906
77,619
09/30/2010 (Term)
2,346,922
2,446,636
99,714
Net Accumulated Effect of Recalculation For The Periods
$ 45,677,429
$ 45,815,342
$ 137,913
Based upon the revised computation, the total dollar difference between the Warrant’s Liability computation, and that contained in our prior response, is approximately $137,913. We do not believe that this dollar valuation difference between Black-Scholes calculations is material and, accordingly, do not believe that revision of the relevant numbers as communicated in our Response Letter is necessary. For fiscal periods after September 30, 2010, we will true-up our Term and Volatility inputs to utilize the more accurate calculations as disclosed in this Supplemental Letter.
Accordingly, we do not plan on revising any of the relevant financial information in the Form 10-K/A-2 presented in Appendix A to our Response Letter.
Jim B. Rosenberg
January 12, 2011
Page -
The following are the revised computations for the all the periods requested in Comment 3:
HEMISPHERX BIOPHARMA, INC.
BLACK - SCHOLES MODEL
RECOMPUTED
RECOMPUTED
6/30/2009
6/30/2009
6/30/2009
6/30/2009
REVISED COMPUTATION DID NOT CHANGE
6,136,364
750,000
2,272,440
654,884
9,813,688
INPUT VARIABLES
Stock Price
$ 2.54
$ 2.54
$ 2.54
$ 2.54
Purchase Price
$ 1.65
$ 1.38
$ 1.31
$ 1.34375
Term (period option expires)
3.00
3.00
2.50
2.75
Volatility
126.531118 %
126.531118 %
126.531118 %
126.531118 %
Annual Rate of Quarterly Dividends
0.00 %
0.00 %
0.00 %
0.00 %
Discount Rate-Bond Equivalent Yield
1.6300 %
1.6300 %
1.6300 %
1.6300 %
INTERMEDIATE COMPUTATIONS
Present Value of Stock Ex-dividend
$ 2.54
$ 2.54
$ 2.54
$ 2.54
Present Value of Exercise Price
$ 1.57
$ 1.31
$ 1.26
$ 1.29
Cumulative Volatility
219.16 %
219.16 %
200.06 %
209.83 %
CALL OPTION
Proportion of Stock Present Value
90.57 %
91.87 %
91.17 %
91.53 %
Proportion of exercise Price PV
-19.03 %
-21.33 %
-25.81 %
-23.44 %
Call Option Value
$ 2.00143433
$ 2.0532048
$ 1.9911035
$ 2.0235265
PUT OPTION
Proportion of Stock PV
-9.43 %
-8.13 %
-8.83 %
-8.47 %
Proportion of Exercise Price PV
80.97 %
78.67 %
74.19 %
76.56 %
Put Option Value
$ 1.03
$ 0.83
$ 0.71
$ 0.77
NUMBER OF WARRANTS SHARES
6,136,364
750,000
2,272,440
654,884
VALUE OF WARRANTS SHARES
$ 12,281,530
$ 1,539,904
$ 4,524,663
$ 1,325,175
RECOMPUTED TOTAL
$ 13,821,433
$ 5,849,838
$ 19,691,271
1/03/11 PRESENTED TOTAL
$ 13,821,433
$ 5,849,838
$ 19,691,271
DIFFERENCE
$ -0-
$ -0-
$ -0-
Jim B. Rosenberg
January 12, 2011
Page -
HEMISPHERX BIOPHARMA, INC.
BLACK - SCHOLES MODEL
RECOMPUTED
RECOMPUTED
9/30/2009
9/30/2009
9/30/2009
9/30/2009
REVISED COMPUTATION
6,136,364
750,000
2,272,440
654,884
9,813,688
INPUT VARIABLES
Stock Price
$ 2.00
$ 2.00
$ 2.00
$ 2.00
Purchase Price
$ 1.65
$ 1.38
$ 1.31
$ 1.34375
Term (period option expires)
2.75
2.75
2.25
2.50
Volatility
121.159235 %
121.159235 %
121.159235 %
121.159235 %
Annual Rate of Quarterly Dividends
0.00 %
0.00 %
0.00 %
0.00 %
Discount Rate-Bond Equivalent Yield
1.1200 %
1.1200 %
1.1200 %
1.1200 %
INTERMEDIATE COMPUTATIONS
Present Value of Stock Ex-dividend
$ 2.00
$ 2.00
$ 2.00
$ 2.00
Present Value of Exercise Price
$ 1.60
$ 1.34
$ 1.28
$ 1.31
Cumulative Volatility
200.92 %
200.92 %
181.74 %
191.57 %
CALL OPTION
Proportion of Stock Present Value
86.77 %
88.58 %
87.60 %
88.10 %
Proportion of exercise Price PV
-18.58 %
-21.05 %
-25.40 %
-23.10 %
Call Option Value
$ 1.43816014
$ 1.4899044
$ 1.4276045
$ 1.4601957
PUT OPTION
Proportion of Stock PV
-13.23 %
-11.42 %
-12.40 %
-11.90 %
Proportion of Exercise Price PV
81.42 %
78.95 %
74.60 %
76.90 %
Put Option Value
$ 1.04
$ 0.83
$ 0.71
$ 0.77
NUMBER OF WARRANTS SHARES
6,1
Show Raw Text
CORRESP
1
filename1.htm
Unassociated Document
January
12, 2011
Jim B.
Rosenberg
Senior
Assistant Chief Accountant
Division
of Corporation Finance
Securities
and Exchange Commission
100 F
Street, NE
Washington,
DC 20549
Re:
Hemispherx
Biopharma, Inc.
Form
10-K for the year ended December 31, 2009
Form
10-K/A for the year ended December 31, 2009
(SEC filing No.
1-13441)
Dear Mr.
Rosenberg:
We hereby
supplement our prior Response Letter dated January 3, 2011 (the “Response
Letter”), which responded to the comments contained in your December 29, 2010
Comment Letter related to the above referenced Form 10-K and Form 10-K/A of
Hemispherx Biopharma, Inc. (the "Company"). This letter specifically
relates to Comment 3 of your letter.
Comment
3: Please provide us supplementally
with the inputs used in the Black Scholes model at each valuation date (March
2010, June 2009/2010, September 2009/2010), to determine the fair value of the
warrant liability, similar to that provided for the period ended December 31,
2009. In your response, explain why any assumptions remained
consistent from those used at December 31, 2009 (i.e. volatility), if true, and
the accounting literature that supports your accounting treatment.
Supplemental
Response:
We have
reevaluated the “Term” and “Volatility” inputs from our Black-Scholes
calculations for each fiscal quarter closing period that the Warrants existed
and determined that greater consistency in our application of these factors
could impact our valuation of the Warrant’s Liability as presented in the
Response Letter. Accordingly, we have revised our Black-Scholes
calculations as follows:
1)
Term
(period option expires) - where necessary, the Term has been revised to
allow for a consistent decreased of .25 of a year for each subsequent
fiscal quarter;
Corporate
Headquarters
One
Penn Center, 1617 JFK Blvd., Philadelphia, PA19103 t:
215-988-0080
f:
215-988-1739
Jim B.
Rosenberg
January
12, 2011
Page -
2
2)
Volatility
used at 12/31/2009 has been recalculated with a revision made to the
second issuance of Warrants to present a more accurate and common rate
138.000000% for both sets of
Warrants.
While we
present below the complete Black-Scholes calculations for each fiscal period
requested in your Comment Letter, a summary of the net dollar effect of the
recalculation for all periods is as follows:
Period Of Fiscal Closing
With Notation Of Revision
(Term and/or Volatility)
Net Liability Value
As Presented In
Response Letter
Net Liability
Value As
Recalculated
Net Liability
Impact of
Recalculation
06/30/2009
(No Revision)
$
19,671,271
$
19,671,271
$
-0-
09/30/2009
(Term)
14,177,473
14,142,907
(34,566
)
12/31/2009
(Term & Volatility)
3,162,123
3,061,263
(100,860
)
03/31/2010
(Term)
4,223,353
4,319,359
96,006
06/30/2010
(Term)
2,096,287
2,173,906
77,619
09/30/2010
(Term)
2,346,922
2,446,636
99,714
Net
Accumulated Effect of Recalculation For The Periods
$
45,677,429
$
45,815,342
$
137,913
Based
upon the revised computation, the total dollar difference between the Warrant’s
Liability computation, and that contained in our prior response, is
approximately $137,913. We do not believe that this dollar valuation
difference between Black-Scholes calculations is material and, accordingly, do
not believe that revision of the relevant numbers as communicated in our
Response Letter is necessary. For fiscal periods after September 30,
2010, we will true-up our Term and Volatility inputs to utilize the more
accurate calculations as disclosed in this Supplemental Letter.
Accordingly,
we do not plan on revising any of the relevant financial information in the Form
10-K/A-2 presented in Appendix A to our Response Letter.
Jim B.
Rosenberg
January
12, 2011
Page -
3
The
following are the revised computations for the all the periods requested in
Comment 3:
HEMISPHERX BIOPHARMA, INC.
BLACK - SCHOLES
MODEL
RECOMPUTED
RECOMPUTED
6/30/2009
6/30/2009
6/30/2009
6/30/2009
REVISED COMPUTATION DID NOT
CHANGE
6,136,364
750,000
2,272,440
654,884
9,813,688
INPUT
VARIABLES
Stock
Price
$
2.54
$
2.54
$
2.54
$
2.54
Purchase
Price
$
1.65
$
1.38
$
1.31
$
1.34375
Term
(period option expires)
3.00
3.00
2.50
2.75
Volatility
126.531118
%
126.531118
%
126.531118
%
126.531118
%
Annual
Rate of Quarterly Dividends
0.00
%
0.00
%
0.00
%
0.00
%
Discount
Rate-Bond Equivalent Yield
1.6300
%
1.6300
%
1.6300
%
1.6300
%
INTERMEDIATE
COMPUTATIONS
Present
Value of Stock Ex-dividend
$
2.54
$
2.54
$
2.54
$
2.54
Present
Value of Exercise Price
$
1.57
$
1.31
$
1.26
$
1.29
Cumulative
Volatility
219.16
%
219.16
%
200.06
%
209.83
%
CALL
OPTION
Proportion
of Stock Present Value
90.57
%
91.87
%
91.17
%
91.53
%
Proportion
of exercise Price PV
-19.03
%
-21.33
%
-25.81
%
-23.44
%
Call
Option Value
$
2.00143433
$
2.0532048
$
1.9911035
$
2.0235265
PUT
OPTION
Proportion
of Stock PV
-9.43
%
-8.13
%
-8.83
%
-8.47
%
Proportion
of Exercise Price PV
80.97
%
78.67
%
74.19
%
76.56
%
Put
Option Value
$
1.03
$
0.83
$
0.71
$
0.77
NUMBER
OF WARRANTS SHARES
6,136,364
750,000
2,272,440
654,884
VALUE
OF WARRANTS SHARES
$
12,281,530
$
1,539,904
$
4,524,663
$
1,325,175
RECOMPUTED
TOTAL
$
13,821,433
$
5,849,838
$
19,691,271
1/03/11
PRESENTED TOTAL
$
13,821,433
$
5,849,838
$
19,691,271
DIFFERENCE
$
-0-
$
-0-
$
-0-
Jim B.
Rosenberg
January
12, 2011
Page -
4
HEMISPHERX BIOPHARMA, INC.
BLACK - SCHOLES
MODEL
RECOMPUTED
RECOMPUTED
9/30/2009
9/30/2009
9/30/2009
9/30/2009
REVISED COMPUTATION
6,136,364
750,000
2,272,440
654,884
9,813,688
INPUT
VARIABLES
Stock
Price
$
2.00
$
2.00
$
2.00
$
2.00
Purchase
Price
$
1.65
$
1.38
$
1.31
$
1.34375
Term
(period option expires)
2.75
2.75
2.25
2.50
Volatility
121.159235
%
121.159235
%
121.159235
%
121.159235
%
Annual
Rate of Quarterly Dividends
0.00
%
0.00
%
0.00
%
0.00
%
Discount
Rate-Bond Equivalent Yield
1.1200
%
1.1200
%
1.1200
%
1.1200
%
INTERMEDIATE
COMPUTATIONS
Present
Value of Stock Ex-dividend
$
2.00
$
2.00
$
2.00
$
2.00
Present
Value of Exercise Price
$
1.60
$
1.34
$
1.28
$
1.31
Cumulative
Volatility
200.92
%
200.92
%
181.74
%
191.57
%
CALL
OPTION
Proportion
of Stock Present Value
86.77
%
88.58
%
87.60
%
88.10
%
Proportion
of exercise Price PV
-18.58
%
-21.05
%
-25.40
%
-23.10
%
Call
Option Value
$
1.43816014
$
1.4899044
$
1.4276045
$
1.4601957
PUT
OPTION
Proportion
of Stock PV
-13.23
%
-11.42
%
-12.40
%
-11.90
%
Proportion
of Exercise Price PV
81.42
%
78.95
%
74.60
%
76.90
%
Put
Option Value
$
1.04
$
0.83
$
0.71
$
0.77
NUMBER
OF WARRANTS SHARES
6,1