Vyant Bio, Inc. Quarterly report pursuant to Section 13 or 15(d)

Quarterly report pursuant to Section 13 or 15(d)

Fair Value of Warrants

Fair Value of Warrants

9 Months Ended

Sep. 30, 2020

The following table summarizes the derivative warrant activity subject to fair value accounting for the nine months ended September 30, 2020 (in thousands):


Issued with/for	Fair value of warrants outstanding as of December 31, 2019		Change in fair value of warrants		Fair value of warrants outstanding as of September 30, 2020
2016 Offerings	$	178	$	(133)	$	45

The derivative warrants issued as part of the 2016 Offerings are valued using a probability-weighted Binomial model. The following tables summarize the assumptions used in computing the fair value of derivative warrants subject to fair value accounting at September 30, 2020 and December 31, 2019.



2016 Offerings	As of September 30, 2020			As of December 31, 2019
Exercise price	$	67.50		$	67.50
Expected life (years)	1.33			2.08
Expected volatility	164.40		%	150.69		%
Risk-free interest rate	0.12		%	1.58		%
Expected dividend yield	—		%	—		%

- Definition

The entire disclosure for the fair value of financial instruments (as defined), including financial assets and financial liabilities (collectively, as defined), and the measurements of those instruments as well as disclosures related to the fair value of non-financial assets and liabilities. Such disclosures about the financial instruments, assets, and liabilities would include: (1) the fair value of the required items together with their carrying amounts (as appropriate); (2) for items for which it is not practicable to estimate fair value, disclosure would include: (a) information pertinent to estimating fair value (including, carrying amount, effective interest rate, and maturity, and (b) the reasons why it is not practicable to estimate fair value; (3) significant concentrations of credit risk including: (a) information about the activity, region, or economic characteristics identifying a concentration, (b) the maximum amount of loss the entity is exposed to based on the gross fair value of the related item, (c) policy for requiring collateral or other security and information as to accessing such collateral or security, and (d) the nature and brief description of such collateral or security; (4) quantitative information about market risks and how such risks are managed; (5) for items measured on both a recurring and nonrecurring basis information regarding the inputs used to develop the fair value measurement; and (6) for items presented in the financial statement for which fair value measurement is elected: (a) information necessary to understand the reasons for the election, (b) discussion of the effect of fair value changes on earnings, (c) a description of [similar groups] items for which the election is made and the relation thereof to the balance sheet, the aggregate carrying value of items included in the balance sheet that are not eligible for the election; (7) all other required (as defined) and desired information.

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