Warrants to Acquire Shares of Common Stock

9 Months Ended

Sep. 30, 2022

Warrants and Rights Note Disclosure [Abstract]

Warrants to Acquire Shares of Common Stock

Warrants to Acquire Shares of Common Stock

Warrants Outstanding

The following is a summary of the activity of the Company's warrants to acquire shares of common stock for the nine months ended September 30, 2022 (in thousands):

Warrant Issuance	Outstanding, December 31, 2021	Granted	Canceled/Expired	Outstanding, September 30, 2022	Exercise Price per Share		Expiration
Warrants classified as equity:
April 2022 Offering	—	4,630	—	4,630	$	5.40	April 2027
January 2020 Offering	309	—	—	309	$	3.93	July 2025
July 2020 PIPE Offering	25	—	—	25	$	3.30	August 2025
July 2018 Offering	132	—	—	132	$	7.50	July 2023
March 2019 Exercise Agreement	30	—	—	30	$	7.50	March 2024
Other	9	—	—	9	$	306.66	December 2022 - June 2024
	505	4,630	—	5,135
Warrants classified as liability	14	—	(1)	13	$	7.50	September 2023 - November 2023
	519	4,630	(1)	5,148

Warrants to acquire shares of common stock primarily consist of equity-classified warrants. In addition, warrants to acquire shares of common stock that may require the Company to settle in cash are liability-classified warrants.

Warrants Classified as Equity

The warrants to acquire shares of common stock issued during the April 2022 Offering were recorded as equity upon issuance. During its evaluation of equity classification of these warrants, the Company considered the conditions as prescribed within ASC 815-40, Derivatives and Hedging, Contracts in an Entity’s own Equity (“ASC 815-40”). The conditions within ASC 815-40 are not subject to a probability assessment. The warrants to acquire shares of common stock do not fall under the liability criteria within ASC 480, Distinguishing Liabilities from Equity, as they are not puttable and do not represent an instrument that has a redeemable underlying security. The warrants do meet the definition of a derivative instrument under ASC 815, but are eligible for the scope exception as they are indexed to the Company’s own stock and would be classified in permanent equity if freestanding.

Warrants Classified as Liabilities

Liability-classified warrants consist of warrants to acquire common stock which may be settled in cash and were determined not to be indexed to the Company’s common stock.

The estimated fair value of outstanding warrants accounted for as liabilities is determined at each balance sheet date, and any decrease or increase in estimated fair value is recorded in the consolidated statement of operations as change in fair value of warrant liability. The fair value of the warrants is estimated using a Black-Scholes pricing model with the following inputs:

	September 30, 2022			December 31, 2021
Risk-free interest rate	4.05		%	0.65		%
Volatility	89.94		%	131.04		%
Expected term (years)	1.00			1.75
Expected dividend yield	—		%	—		%
Strike price	$	7.50		$	7.50

The expected volatility assumption is based on the Company's implied volatility. The expected term assumption is based on the remaining contractual terms of the warrants. The risk-free rate is based on the zero coupon rates in effect at the time of valuation. The dividend yield used in the pricing model is zero, because the Company has no present intention to pay cash dividends.

The changes in fair value of the warrant liability for the nine months ended September 30, 2022 were as follows (in thousands):

 

Warrant liability, December 31, 2021	$	40
Change in fair value of warrants	(39)
Warrant liability, September 30, 2022	$	1