Annual report pursuant to Section 13 and 15(d)

Fair Value of Warrants

v3.21.1
Fair Value of Warrants
12 Months Ended
Dec. 31, 2020
Fair Value Disclosures [Abstract]  
Fair Value of Warrants Fair Value of Warrants
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 were 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 December 31, 2020 and 2019, and the fair value of derivative warrants reclassified to equity during the years then ended.
  
As of December 31, 2020 As of December 31, 2019
2016 Offerings
Exercise price $ 67.50  $ 67.50 
Expected life (years) 0.99 2.08
Expected volatility 144.59  % 150.69  %
Risk-free interest rate 0.10  % 1.58  %
Expected dividend yield 0.00  % 0.00  %

In determining the fair value of warrants outstanding at each reporting date, the Company stock price was $2.77 and $5.96 (the closing price on the NASDAQ Capital Market) at December 31, 2020 and 2019, respectively.
The following table summarizes the derivative warrant activity subject to fair value accounting for the years ended December 31, 2020 and 2019 (in thousands):
Issued with 2016 Offerings Issued with 2017 Offering Total
Fair value of warrants outstanding as of January 1, 2019 $ 225  $ 23  $ 248 
Change in fair value of warrants (47) (23) (70)
Fair value of warrants outstanding as of December 31, 2019 178  —  178 
Fair value of warrants exchanged for stock (10) —  (10)
Change in fair value of warrants (167) —  (167)
Fair value of warrants outstanding as of December 31, 2020 $ $ —  $