Debt Agreements (Tables)

Debt Agreements (Tables)

12 Months Ended

Dec. 31, 2019

Schedule of key assumptions used for valuation

The below table represents the weighted-average key assumptions used to calculate the fair value of the Placement Warrants:


	As of
	August 7, 2019			December 31, 2019
Expected volatility		87	%		125	%
Risk-free interest rate		1.5	%		1.7	%
Dividend yield		—			—
Expected term (in years)		4.9			4.6
Weighted-average fair value per share warrant	$	0.50		$	0.11

Restatement Due To Trigger Down Round Provision [Member]

Schedule of key assumptions used for valuation

We calculated the dividend of approximately $0.3 million resulting from the trigger of the down round provision in September 2018 using the Black Scholes Option Pricing Model and the assumptions indicated in the table below:


	Pre-reset			Post-reset
Exercise price per share	$	11.76		$	1.50
Expected price volatility		71	%		71	%
Expected term (in years)		5.8			5.8
Risk-free interest rate		3.0	%		3.0	%
Dividend yield		0.0	%		0.0	%
Weighted-average fair value of warrants	$	0.30		$	0.84

Convertible Debt

Schedule of key assumptions used for valuation


	As of
	September 18, 2018			December 31, 2018
Expected volatility		87	%		135	%
Expected term (in years)		0.75			0.50
Risk-free interest rate		2.32	%		2.51	%
Dividend yield		—			—
Fair value of conversion provision (in thousands)	$	159		$	25

Horizon Warrants

Schedule of key assumptions used for valuation


Expected price volatility		86	%
Expected term (in years)		7.0
Risk-free interest rate		2.8	%
Dividend yield		0.0	%
Weighted-average fair value per share warrant	$	4.86

Molteni Warrants

Schedule of key assumptions used for valuation

The key assumptions used to value the Molteni Warrants were as follows:


Expected price volatility		86	%
Expected term (in years)		7.0
Risk-free interest rate		2.8	%
Dividend yield		0.0	%
Weighted-average fair value of warrants	$	4.86

Annual report pursuant to Section 13 and 15(d)

Debt Agreements (Tables)