Quarterly report pursuant to Section 13 or 15(d)

Fair Value of Warrants

v3.8.0.1
Fair Value of Warrants
 3 Months Ended
Mar. 31, 2018
Fair Value Disclosures [Abstract]  
Fair Value of Warrants
Fair Value of Warrants

The following table summarizes the derivative warrant activity subject to fair value accounting for the three months ended March 31, 2018 (in thousands):
Issued with/for
Fair value of warrants
outstanding as of
December 31, 2017
 
Change in fair
value of warrants
 
Fair value of warrants
outstanding as of
March 31, 2018
2016 Offerings
$
1,929

 
$
27

 
$
1,956

2017 Debt
501

 
(78
)
 
423

2017 Offering
1,973

 
(641
)
 
1,332

 
$
4,403

 
$
(692
)
 
$
3,711



The derivative warrants issued as part of the 2016 Offerings are valued using a probability-weighted Binomial model, while the derivative warrants issued as part of the 2017 Debt refinancing are valued using a Monte Carlo model. The derivative warrants issued in conjunction with the 2017 Offering were valued using a Black-Scholes model. The following tables summarize the assumptions used in computing the fair value of derivative warrants subject to fair value accounting at the date of issue or exercise during the three months ended March 31, 2018 and 2017, and at March 31, 2018 and December 31, 2017.

2016 Offerings
As of March 31, 2018
 
As of December 31, 2017
 
Exercised During the Three Months Ended March 31, 2017
Exercise price
$
2.25

 
$
2.25

 
$
2.25

Expected life (years)
3.83

 
4.08

 
4.79

Expected volatility
100.00
%
 
73.44
%
 
76.29
%
Risk-free interest rate
2.39
%
 
2.11
%
 
1.94
%
Expected dividend yield
—
%
 
—
%
 
—
%

2017 Debt
As of March 31, 2018
 
As of December 31, 2017
 
Issued During the Three Months Ended March 31, 2017
Exercise price
$
2.82

 
$
2.82

 
$
2.82

Expected life (years)
5.98

 
6.22

 
7.00

Expected volatility
73.43
%
 
74.18
%
 
74.61
%
Risk-free interest rate
2.56
%
 
2.33
%
 
2.22
%
Expected dividend yield
—
%
 
—
%
 
—
%

2017 Offering
As of March 31, 2018
 
As of December 31, 2017
Exercise price
$
2.36

 
2.36

Expected life (years)
1.19

 
1.43

Expected volatility
76.78
%
 
77.55
%
Risk-free interest rate
2.09
%
 
1.83
%
Expected dividend yield
—
%
 
—
%