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Warrants Classified as Liabilities
 9 Months Ended
Sep. 30, 2024
Warrants Classified as Liabilities [Abstract]  
Warrants Classified as Liabilities

Note 9. Warrants Classified as Liabilities

 

In November 2022 and June 2023, the Company completed registered direct offerings and sold shares of its common stock and common stock purchase warrants (the “Purchase Warrants”). The securities purchase agreements governing the Purchase Warrants provide for a value calculation for such warrants using the Black Scholes model in the event of certain fundamental transactions. The fair value calculation provides for a floor on the volatility amount utilized in the value calculation at 100% or greater. The Company has determined this provision introduces leverage to the holders of the Purchase Warrants that could result in a value that would be greater than the settlement amount of a fixed-for-fixed option on the Company’s own equity shares. Therefore, pursuant to ASC 815, the Company has classified the Purchase Warrants as liabilities in its condensed consolidated balance sheets. The classification of the Purchase Warrants, including whether the Purchase Warrants should be recorded as liabilities or as equity, is evaluated at the end of each reporting period with changes in the fair value reported in other income (expense) in the consolidated statements of operations and comprehensive loss.

 

As of September 30, 2024 and December 31, 2023, the Company had the following Purchase Warrants outstanding (share amounts in thousands):

 

   Number of
Shares		   Exercise
Price		   Expiration Date
Warrants issued - November 2022   92   $40.00   May 28, 2028
Warrants issued - June 2023   143   $28.00   June 2, 2028
    235         

 

The following table sets forth changes in the fair value of the Purchase Warrants outstanding (amounts in thousands):

 

   Number of Shares   Fair Value 
Balance as of December 31, 2023   235   $1,748 
Change in fair value of warrants   —    (1,591)
Balance as of March 31, 2024   235    157 
Change in fair value of warrants   —    (54)
Balance as of June 30, 2024   235    103 
Change in fair value of warrants   —    (4)
Balance as of September 30, 2024   235   $99 

 

The fair value of the Purchase Warrants at September 30, 2024 was determined using the Black Scholes model with the assumptions in the following table.

 

   2022
Purchase
Warrant		   2023
Purchase
Warrant		 
Expected term based on contractual term    3.7 years     3.7 years 
Interest rate (risk-free rate)   3.51%   3.51%
Expected volatility   121%   121%
Expected dividend yield   —    — 
Fair value of warrants (in thousands)  $35   $64 

  

The fair value of the Purchase Warrants at December 31, 2023 was determined using the Black Scholes model with the assumptions in the following table.

 

   2022
Purchase
Warrant		   2023
Purchase
Warrant		 
Expected term based on contractual term   4.4 years    4.4 years 
Interest rate (risk-free rate)   3.84%   3.84%
Expected volatility   116%   116%
Expected dividend yield   —    — 
Fair value of warrants (in thousands)  $653   $1,095