Annual report pursuant to Section 13 and 15(d)

Warrant Liability

v3.22.1
Warrant Liability
12 Months Ended
Dec. 31, 2021
Warrant Liability.  
Warrant Liability

6.     Warrant Liability

There were no warrant liabilities at December 31, 2021.

March 2020 Warrant Amendment

On March 3, 2020, we amended certain outstanding warrants to purchase an aggregate of 385,078 shares of common stock, including the January 2020 Warrants and warrants we issued in connection with a financing in August 2019 (the “August 2019 Warrants”), to modify certain provisions that had required them to be previously classified as liabilities and to enable them to now be classified as equity under the relevant accounting standards. As a result, we reclassified the fair value of the warrants on the date of the amendment from warrant liabilities to additional paid-in capital in the balance sheet and statement of stockholders’ equity and recognized a non-cash loss on changes in the fair value of warrants in the statement of operations and comprehensive loss.

The following table provides a roll forward of the fair value of our warrant liabilities, the fair value of which was determined by Level 3 inputs for the year ended December 31, 2020 (in thousands):

Fair value, December 31, 2019

    

$

320

Issuance of the January 2020 Warrants

 

1,654

Change in fair value(1)

 

923

Reclassification of warrants to additional paid-in capital

 

(2,897)

Fair value, December 31, 2020

$

(1) Recognized as non-cash loss on changes in fair value of warrants in the statement of operations and comprehensive loss.

The warrant liability associated with the January 2020 Warrants was classified within Level 3 of the fair value hierarchy. The following table presents the weighted-average key assumptions used to calculate the fair value of the January 2020 Warrants:

As of

 

    

March 3, 2020

    

January 7, 2020

 

Expected volatility

 

124

%  

121

%

Risk-free interest rate

 

0.8

%  

1.6

%

Dividend yield

 

 

Expected term (in years)

 

4.9

 

5.0

Weighted-average fair value per share warrant

$

7.80

$

5.70

The warrant liability associated with the August 2019 Warrants was classified within Level 3 of the fair value hierarchy. The following table presents the weighted-average key assumptions used to calculate the fair value of the August 2019 Warrants:

As of

 

    

March 3, 2020

    

December 31, 2019

 

Expected volatility

 

124

%  

125

%

Risk-free interest rate

 

0.8

%  

1.7

%

Dividend yield

 

 

Expected term (in years)

 

4.5

 

4.6

Weighted-average fair value per share warrant

$

6.30

$

3.30