XML 27 R17.htm IDEA: XBRL DOCUMENT
v3.23.3

Note 11 - Warrant Liability | 9 Months Ended
--- | ---
Sep. 30, 2023
Notes to Financial Statements |
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”. May 2023 Warrants The May 2023 Warrants were issued by the Company on May 1, 2023, in connection with the 2023 Private Placement. The May 2023 Warrants were not initially exercisable prior to the Stockholder Approval on June 9, 2023. Under ASC 480, Distinguishing Liabilities from Equity, the May 2023 Warrants were initially classified as liabilities from the date of issuance through the date of approval at which time they were reclassified to equity. The fair value of the May 2023 Warrants was determined to be $1.6 million as of the date of issuance on May 1, 2023 in accordance with the following key assumptions (see additional discussion in Note 3, “Fair Value Measurements), at which time they were classified as liabilities:
|  | Series B-1 Warrants |  |  | Series B-2 Warrants |
Stock price |  | $ | 0.72 |  |  | $ | 0.72 |
Expected price volatility |  |  | 80.1 | % |  |  | 80.1 | %
Expected term (in years) |  |  | 5.1 |  |  |  | 2.1 |
Risk-free interest rate |  |  | 3.60 | % |  |  | 4.04 | %
Dividend yield |  |  | 0.00 | % |  |  | 0.00 | %
Weighted-average fair value of warrants |  | $ | 0.40 |  |  | $ | 0.22 |
As of June 9, 2022, the date of stockholder approval, the fair value of these May 2023 Warrants, was determined to be $1.4 million in accordance with the following key assumptions, at which time they were reclassified to equity:
|  | Series B-1 Warrants |  |  | Series B-2 Warrants |
Stock price |  | $ | 0.68 |  |  | $ | 0.68 |
Expected price volatility |  |  | 77.6 | % |  |  | 77.6 | %
Expected term (in years) |  |  | 5.0 |  |  |  | 2.0 |
Risk-free interest rate |  |  | 3.92 | % |  |  | 4.59 | %
Dividend yield |  |  | 0.00 | % |  |  | 0.00 | %
Weighted-average fair value of warrants |  | $ | 0.36 |  |  | $ | 0.18 |
As a result, the Company recorded a non-cash gain on changes in fair value of warrant liability of $216 thousand. 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 stockholder approval being received on November 10, 2022. Under ASC 480, Distinguishing Liabilities from Equity, the September 2022 Warrants were classified as liabilities from the date of issuance until Company stockholders approval on November 10, 2022, 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 certain stockholder approval being 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 of the increase in authorized shares 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 upon receipt of stockholder approval, 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 certain stockholder approval being received 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. The Amended July 2020 Warrants exercisable for 77,145 shares of common stock were no longer exercisable prior to certain stockholder approval being received 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 certain stockholder approval on November 10, 2022 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 |

X
- References No definition available. + Details
Name: | us-gaap_DisclosureTextBlockAbstract
Namespace Prefix: | us-gaap_
Data Type: | xbrli:stringItemType
Balance Type: | na
Period Type: | duration

X
- Definition The entire disclosure for other liabilities. + References Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef -Name Accounting Standards Codification -Topic 210 -SubTopic 10 -Section S99 -Paragraph 1 -Subparagraph (SX 210.5-02.20,24) -Publisher FASB -URI https://asc.fasb.org//1943274/2147480566/210-10-S99-1 + Details
Name: | us-gaap_OtherLiabilitiesDisclosureTextBlock
Namespace Prefix: | us-gaap_
Data Type: | dtr-types:textBlockItemType
Balance Type: | na
Period Type: | duration