FAIR VALUE (Tables)

3 Months Ended

Mar. 31, 2022

Fair Value Disclosures [Abstract]

SCHEDULE OF FAIR VALUE OF FINANCIAL INSTRUMENTS MEASURED ON RECURRING BASIS

The following table sets forth the fair value of the Company’s financial assets and liabilities measured on a recurring basis by level within the fair value hierarchy (in thousands):

	March 31, 2022
	Level 1		Level 2		Level 3		Total
Liabilities
Common stock warrant liability	$	–	$	–	$	4,868	$	4,868
Total	$	–	$	–	$	4,868	$	4,868

	December 31, 2021
	Level 1		Level 2		Level 3		Total
Liabilities
Common stock warrant liability	$	–	$	–	$	6,844	$	6,844
Total	$	–	$	–	$	6,844	$	6,844

SCHEDULE OF FAIR VALUE OF LIABILITY CLASSIFIED COMMON STOCK WARRANTS

The following table presents the change in fair value of the liability classified common stock warrants for the three months ended March 31, 2022 (in thousands):

	Fair Value at December 31, 2021		Initial Fair Value at Issuance		(Gain) Loss Upon Change in Fair Value			Fair Value at March 31, 2022
Warrant liabilities
February 14, 2020 issuance	$	291	$	–	$	(179	)	$	112
December 23, 2020 issuance		239		–		(166	)		73
January 14, 2021 issuance		3,345		–		(1,856	)		1,489
January 25, 2021 issuance		2,969		–		(1,649	)		1,320
March 16, 2022 issuance		–		3,129		(1,255	)		1,874
Total	$	6,844	$	3,129	$	(5,105	)	$	4,868

The following table presents the change in fair value of the liability classified common stock warrants for the three months ended March 31, 2021 (in thousands):

	Fair Value at December 31, 2020		Initial Fair Value at Issuance		(Gain) Loss Upon Change in Fair Value			Liability Reduction Due to Exercises			Fair Value at March 31, 2021
Warrant liabilities
February 14, 2020 issuance	$	328	$	–	$	217		$	–		$	545
December 23, 2020 issuance		5,647		–		3,861			(8,964	)		544
January 14, 2021 issuance		–		8,629		(797	)		–			7,832
January 25, 2021 issuance(1)		–		6,199		746			–			6,945
Total	$	5,975	$	14,828	$	4,027		$	(8,964	)	$	15,866

(1) Concurrent with the issuance of the January 25, 2021 warrants, upon the exercise of the December 23, 2020 warrants, an inducement loss of $5.2 million was recorded during the three-month period ended March 31, 2021, as the fair value of the initial warrant liability for the new warrants of $6.2 million exceeded the gross proceeds received upon sale of the new warrants of approximately $1.0 million.

SCHEDULE OF FAIR VALUE ASSUMPTIONS OF WARRANTS LIABILITY

The Company uses the Monte Carlo simulation model to determine the fair value of the liability classified warrants. Input assumptions used to measure the fair value of these freestanding instruments are as follows:

		For the Three Months ended March 31,
		2022
Stock price	$	0.25 – 0.34
Exercise price	$	0.10 – 1.38
Risk-free rate		1.95 – 2.44	%
Volatility		98.4 – 103.6	%
Remaining term (years)		1.96 – 4.87

		For the Three Months ended March 31,
		2021
Stock price	$	1.02 – 1.21
Exercise price	$	0.10 – 1.38
Risk-free rate		0.42 – 1.13	%
Volatility		99.0 – 102.7	%
Remaining term (years)		4.73 – 5.87