XML 30 R17.htm IDEA: XBRL DOCUMENT v3.21.1
Note 11 - Warrant Liability
 12 Months Ended
Dec. 31, 2020
Notes to Financial Statements  
Other Liabilities Disclosure [Text Block]
NOTE
11.
WARRANT LIABILITY
 
July 2011
Warrants
 
As further described in Note
12,
“Stockholders' Equity”, the Company issued the
July 2011
Warrants in the
third
quarter of
2011.
The terms of the
July 2011
Warrants required registered shares to be delivered upon warrant exercise and potential cash-settlement in the event of a specified fundamental transaction. Under ASC
480,
Distinguishing Liabilities from Equity
,
the warrants were classified as liabilities because the Company's potential obligation to deliver registered shares and cash-settle the warrants were deemed to be beyond the Company's control. The fair value of outstanding
July 2011
Warrants was determined at each reporting date using a Lattice model with changes in fair value recorded in the consolidated statements of operations and comprehensive loss.
 
During the
second
quarter of
2019,
a total of
14,400
July 2011
Warrants were exercised, resulting in gross proceeds of
$3
thousand. The liability associated with these warrants was adjusted to fair value of
$27
thousand as of the date of exercise with the change in fair value recorded in the consolidated statements of operations and comprehensive loss. The fair value was then transferred to equity.
 
 
The key assumptions used to value the
July 2011
Warrants outstanding as of
December 31, 2019
were as follows: 
 
Expected price volatility
    
115
%
Expected term (in years)
    
0.18
  
Risk-free interest rate
    
1.52
%
Dividend yield
    
0.00
%
Weighted-average fair value of warrants
   $
0.44
  
 
 
On
March 6, 2020,
35,107
July 2011
Warrants expired unexercised. There were
no
July 2011
Warrants outstanding as of
December 31, 2020.
 
October 2015
Warrants
 
As further described in Note
12,
“Stockholders' Equity”, the Company issued the
October 2015
Warrants in the
third
quarter of
2015.
The terms of the
October 2015
Warrants required potential cash-settlement in the event of a specified fundamental transaction. Under ASC
480,
Distinguishing Liabilities from Equity
,
the warrants were classified as liabilities because the Company's potential obligation to cash-settle the warrants was deemed to be beyond the Company's control. The fair value of outstanding
October 2015
Warrants was determined at each reporting date using a Lattice model with changes in fair value recorded in the consolidated statements of operations and comprehensive loss.
 
During the
second
quarter of
2019,
a total of
144,000
October 2015
Warrants were exercised, resulting in gross proceeds of
$30
thousand. The liability associated with these warrants was adjusted to fair value of
$0.4
million as of the date of exercise, with the change in fair value recorded in the consolidated statements of operations and comprehensive loss. The fair value was then transferred to equity.
 
During the
third
quarter of
2019,
a total of
102,602
October 2015
Warrants were exercised, resulting in gross proceeds of
$21
thousand. The liability associated with these warrants was adjusted to fair value of
$0.2
million as of the date of exercise, with the change in fair value recorded in the consolidated statements of operations and comprehensive loss. The fair value was then transferred to equity.
 
The key assumptions used to value outstanding
October 2015
Warrants as of
December 31, 2019
were as follows:
 
Expected price volatility
    
184
%
Expected term (in years)
    
0.83
  
Risk-free interest rate
    
1.59
%
Dividend yield
    
0.00
%
Weighted-average fair value of warrants
   $
0.49
  
 
 
During the
fourth
quarter of
2020,
a total of
22,680
October 2015
Warrants were exercised, resulting in gross proceeds of
$5
thousand. The liability associated with these warrants was adjusted to fair value of
$12
thousand as of the date of exercise, with the change in fair value recorded in the consolidated statements of operations and comprehensive loss. The fair value was then transferred to equity.
 
On
October 27, 2020,
15,320
October 2015
expired unexercised. There were
no
October 2015
Warrants outstanding as of
December 31, 2020.
 
2019
Domestic, Foreign & Ladenburg Warrants
 
As further described in Note
12,
“Stockholders' Equity”, the Company issued the
2019
Domestic Warrants, the
2019
Foreign Warrants and the
2019
Ladenburg Warrants in the
third
quarter of
2019.
The terms of the
2019
Domestic Warrants,
2019
Foreign Warrants and
2019
Ladenburg Warrants all required potential cash-settlement in the event of a specified fundamental transaction. Under ASC
480,
Distinguishing Liabilities from Equity
,
the warrants were classified as liabilities because the Company's potential obligation to cash-settle the warrants was deemed to be beyond the Company's control. The fair value of outstanding warrants was determined at each reporting date using a Black-Scholes option pricing model with the changes in fair value recorded in the consolidated statements of operations and comprehensive loss.
 
Upon issuance, the fair value of the
2019
Domestic Warrants,
2019
Foreign Warrants and
2019
Ladenburg Warrants was determined to be
$3.1
million,
$2.0
million and
$0.1
million, respectively, in accordance with the following key assumptions as of
August 13, 2019:
 
 
Assumptions
  
2019 Domestic
Warrants
    
2019 Foreign
Warrants
    
2019 Ladenburg
Warrants
  
Expected price volatility
    
149
 %    
149
 %    
155
 %
Expected term (in years)
    
5.50
      
5.50
      
5.00
  
Risk-free interest rate
    
1.58
 %    
1.58
 %    
1.57
 %
Dividend yield
    
0.00
 %    
0.00
 %    
0.00
 %
Weighted-average fair value of warrant
   $
0.75
     $
0.75
     $
0.74
  
 
 
As of
December 31, 2019,
the fair value of the
2019
Domestic Warrants,
2019
Foreign Warrants and
2019
Ladenburg Warrants was determined to be
$2.4
million,
$1.6
million and
$95
thousand, respectively, in accordance with the following key assumptions:
 
Assumptions
  
2019 Domestic
Warrants
    
2019 Foreign
Warrants
    
2019 Ladenburg
Warrants
  
Expected price volatility
    
154
 %    
154
 %    
160
 %
Expected term (in years)
    
5.13
      
5.13
      
4.61
  
Risk-free interest rate
    
1.70
 %    
1.70
 %    
1.69
 %
Dividend yield
    
0.00
 %    
0.00
 %    
0.00
 %
Weighted-average fair value of warrant
   $
0.57
     $
0.57
     $
0.57
  
 
In the
third
quarter of
2020,
as further described in Note
12,
“Stockholders' Equity”, the
2019
Domestic Warrants and
2019
Foreign Warrants were exercised at reduced exercise prices. The warrant liabilities associated with these warrants was adjusted to their fair values as of the date of exercise, with the change in fair values recorded in the consolidated statements of operations and comprehensive loss. The fair values were then transferred to equity. As of the date of exercise, the fair value of the
2019
Domestic Warrants and
2019
Foreign Warrants was determined to be
$4.9
million and
$4.2
million, respectively, in accordance with the following key assumptions:
 
Assumptions
  
2019 Domestic
Warrants
    
2019 Foreign
Warrants
  
Expected price volatility
    
178
 %    
178
 %
Expected term (in years)
    
4.57
      
4.57
  
Risk-free interest rate
    
0.25
 %    
0.27
 %
Dividend yield
    
0.00
 %    
0.00
 %
Weighted-average fair value of warrant
   $
1.18
     $
1.54
  
 
 
There were
no
2019
Domestic Warrants or
2019
Foreign Warrants outstanding as of
December 31, 2020.
 
In the
third
quarter of
2020,
as further described in Note
12,
“Stockholders' Equity”, the Company amended the
2019
Ladenburg Warrants. The Company's potential obligation to cash-settle the warrants if a specified fundamental transaction occurred was amended to apply only in situations within the Company's control. Pursuant to this change, the
2019
Ladenburg Warrants were
no
longer classified as liabilities. The warrant liability associated with these warrants was adjusted to fair value as of the date of the amendment, with the change in fair value recorded in the consolidated statements of operations and comprehensive loss. The fair value was then transferred to equity. The fair value of the
2019
Ladenburg Warrants was determined to be
$0.2
million on the date of amendment in accordance with the following key assumptions:
 
Expected price volatility
    
186
%
Expected term (in years)
    
4.05
  
Risk-free interest rate
    
0.22
%
Dividend yield
    
0.00
%
Weighted-average fair value of warrants
   $
1.17
  
 
 
The
2019
Ladenburg Warrants will
no
longer be adjusted to fair value in reporting periods after the amendment. All
2019
Ladenburg Warrants remained outstanding as of
December 31, 2020.