Quarterly report pursuant to Section 13 or 15(d)

Warrant Liabilities (Tables)

v3.20.2
Warrant Liabilities (Tables)
6 Months Ended
Jun. 30, 2020
Warrant Liabilities  
Schedule of fair value of warrant liabilities by Level 3 inputs

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 six months ended June 30, 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, June 30, 2020

 

$

 —


(1)

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

Schedule of weighted-average key assumptions used to calculate the fair value of the warrants

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

 

$

0.26

 

$

0.19

 

 

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

 

$

0.21

 

$

0.11