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Note 11 - Warrant Liability

3 Months Ended

Mar. 31, 2023

Other Liabilities Disclosure [Text Block]

NOTE 11. WARRANT LIABILITY

See additional discussion of the terms of the Company’s various warrants and related transactions in Note 12, “Stockholders’ Equity”. Further, many of the defined terms used below are defined in Note 12, “Stockholders’ Equity”.

September 2022 Warrants

The September 2022 Warrants were issued by the Company on September 9, 2022, in connection with the 2022 Warrant Reprice Transaction. The September 2022 Warrants were not exercisable prior to the effective date of the Reverse Stock Split, which was approved by Company stockholders on November 10, 2022. Under ASC 480, Distinguishing Liabilities from Equity, the September 2022 Warrants were classified as liabilities from the date of issuance through the date of approval of the Reverse Stock Split at which time they were reclassified to equity.

The fair value of the September 2022 Warrants was determined to be $1.4 million as of the date of issuance on September 9, 2022 in accordance with the following key assumptions, which was recorded as a liability:

Expected price volatility		79.6	%
Expected term (in years)		6.0
Risk-free interest rate		3.43	%
Dividend yield		0.0	%
Weighted-average fair value of warrants	$	4.55

The fair value of the September 2022 Warrants was determined to be $0.5 million as of the date of approval by Company stockholders on November 10, 2022 in accordance with the following key assumptions, at which time the liability was adjusted and reclassified to equity:

Expected price volatility		79.5	%
Expected term (in years)		5.8
Risk-free interest rate		3.93	%
Dividend yield		0.0	%
Weighted-average fair value of warrants	$	1.40

November 2021 Warrants

The November 2021 Warrants were issued by the Company on November 2, 2021, in connection with the 2021 Private Placement. The November 2021 Warrants were subsequently amended in September 2022 pursuant to the 2022 Warrant Reprice Transaction.

The November 2021 Warrants were not initially exercisable prior to shareholder approval for an increase in authorized share capital which the Company received on January 31, 2022. Under ASC 480, Distinguishing Liabilities from Equity, the November 2021 Warrants were classified as liabilities from the date of issuance through the date of approval at which time they were reclassified to equity.

As of December 31, 2021 the fair value of the November 2021 Warrants was determined to be $9.6 million in accordance with the following key assumptions, which was recorded as a liability:

Expected price volatility		87	%
Expected term (in years)		6.0
Risk-free interest rate		1.31	%
Dividend yield		0.00	%
Weighted-average fair value of warrants	$	8.75

As of January 31, 2022, the fair value of the November 2021 Warrants was determined to be $7.5 million in accordance with the following key assumptions, at which time the liability was adjusted and reclassified to equity:

Expected price volatility		91	%
Expected term (in years)		6.0
Risk-free interest rate		1.65	%
Dividend yield		0.00	%
Weighted-average fair value of warrants	$	7.00

Unexercised November 2021 Warrants exercisable for 803,574 shares of common stock were amended on September 9, 2022, in connection with the 2022 Warrant Reprice Transaction. As a result of the amendment, these November 2021 Warrants were no longer exercisable prior to the effective date of the Reverse Stock Split, which was approved by Company stockholders on November 10, 2022. Under ASC 480, Distinguishing Liabilities from Equity, the November 2021 Warrants were reclassified as liabilities on the date of amendment and remained recorded as liabilities through the date of approval of the Reverse Stock Split at which time they were reclassified to equity.

The fair value of these November 2021 Warrants was determined to be $3.5 million as of the date of amendment on September 9, 2022 in accordance with the following key assumptions, at which time they were reclassified as liabilities:

Expected price volatility		79.6	%
Expected term (in years)		6.0
Risk-free interest rate		3.43	%
Dividend yield		0.00	%
Weighted-average fair value of warrants	$	4.55

As of November 10, 2022, the fair value of these November 2021 Warrants, as amended, was determined to be $1.3 million in accordance with the following key assumptions, at which time they were reclassified to equity:

Expected price volatility		79.5	%
Expected term (in years)		5.8
Risk-free interest rate		3.93	%
Dividend yield		0.00	%
Weighted-average fair value of warrants	$	1.40

Amended July 2020 Warrants

On September 9, 2022, in connection with the 2022 Warrant Reprice Transaction, the Company amended certain July 2020 Warrants. Amended July 2020 Warrants exercisable for 77,145 shares of common stock were no longer exercisable prior to the effective date of the Reverse Stock Split, which was approved by Company stockholders on November 10, 2022. Under ASC 480, Distinguishing Liabilities from Equity, these Amended July 2020 Warrants were reclassified as liabilities on the date of amendment and remained recorded as liabilities through the date of approval of the Reverse Stock Split at which time they were reclassified to equity.

The fair value of these Amended July 2020 Warrants was determined to be $0.3 million as of the date of amendment on September 9, 2022 in accordance with the following key assumptions, at which time they were reclassified as liabilities:

Expected price volatility		79.6	%
Expected term (in years)		3.4
Risk-free interest rate		3.58	%
Dividend yield		0.00	%
Weighted-average fair value of warrants	$	3.50

As of November 10, 2022, the fair value of these Amended July 2020 Warrants was determined to be $0.1 million in accordance with the following key assumptions, at which time they were reclassified to equity:

Expected price volatility		79.5	%
Expected term (in years)		3.2
Risk-free interest rate		4.15	%
Dividend yield		0.00	%
Weighted-average fair value of warrants	$	1.05