Quarterly report pursuant to Section 13 or 15(d)

Warrant Liabilities

v3.20.2
Warrant Liabilities
9 Months Ended
Sep. 30, 2020
Warrant Liabilities  
Warrant Liabilities

7.   Warrant Liabilities

On March 3, 2020, we amended certain outstanding warrants to purchase an aggregate of 11,552,314 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, during the three months ended March 31, 2020, we reclassified the fair value of the warrants on the date of the amendment from warrant liabilities to additional paid-in capital in the condensed balance sheet and recognized a non-cash loss on changes in the fair value of warrants in the condensed 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 nine months ended September 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, September 30, 2020

 

$

 —


(1)

Recognized as non-cash loss on changes in fair value of warrants in the condensed 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

 

$

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