| Warrant Liability |
13. Warrant
Liability
On
September 2, 2021, March 11, 2021, February 3, 2021, December 24, 2020, March 18, 2020, September 10, 2019, and November 6, 2019, the
Company issued 22,019,
34,285,
7,429,
7,286,
44,286,
35,714
and 114,286
warrants, respectively, as equity issuance consideration,
in connection with a private placement of the Company’s common stock. The warrants entitle the holder to purchase one share of
our common stock at an exercise price equal to $0.49
to $5.25
per share at any time on or after their issuance
date and on or prior to the close of business 3 years after the issuance date (the “Termination Date”). The Company determined
that these warrants are free standing financial instruments that are legally detachable and separately exercisable from the common stock
included in the public share offering. Management also determined that the warrants required classification as a liability pursuant to
ASC 815, Derivatives and Hedging. In accordance with the accounting guidance, the outstanding warrants are recognized as a warrant
liability on the balance sheet and are measured at their inception date fair value and subsequently re-measured at each reporting period
with changes being recorded as a component of other income (expense) in the statement of operations.
On
September 6, 2022, the Company agreed to extend the September 10, 2019 and November 6, 2019 warrants an additional six months until March
9, 2023 and May 5, 2023, respectively. The warrants were remeasured as of September 6, 2022 and consequently resulted in a warrant modification
expense of $57 thousand.
The
warrants outstanding and fair values at each of the respective valuation dates are summarized below:
Schedule
of Warrant Liability
| Warrant
Liability |
|
Warrants
Outstanding |
|
|
Fair
Value
per Share |
|
|
Fair
Value |
|
| Fair value as of year ended
12/31/2020 |
|
|
201,572 |
|
|
|
|
|
|
$ |
123 |
|
| Fair value at initial measurement dates |
|
|
63,733 |
|
|
$ |
3.2097 |
|
|
$ |
203 |
|
| Change in fair value
of warrant liability |
|
|
|
|
|
|
|
|
|
|
(8 |
) |
| Fair value as of year ended 12/31/2021 |
|
|
265,305 |
|
|
|
|
|
|
$ |
318 |
|
| Modification of warrants |
|
|
- |
|
|
|
|
|
|
$ |
57 |
|
| Change in fair value
of warrant liability |
|
|
- |
|
|
|
|
|
|
|
(133 |
) |
| Fair value as of year ended 12/31/2022 |
|
|
265,305 |
|
|
|
|
|
|
$ |
242 |
|
The
warrant liabilities are considered Level 3 liabilities on the fair value hierarchy as the determination of fair value includes various
assumptions about future activities and the Company’s stock prices and historical volatility of other comparable public companies
used as inputs. As of December 31, 2022, none of the warrants have been exercised.
The
fair value of the warrant liabilities was measured using a Black-Scholes model. Significant inputs into the model at the inception are
as follows:
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Future |
|
| |
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|
|
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|
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|
|
|
|
|
|
|
|
Estimated |
|
| |
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|
|
|
|
|
|
|
|
|
|
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|
|
|
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|
|
Quarterly |
|
| |
|
|
|
|
Warrant |
|
|
|
|
Interest |
|
|
|
|
|
Time
to |
|
|
Calculated |
|
|
Dividend |
|
| Black
-Scholes |
|
Exercise |
|
|
Expiration |
|
Stock |
|
|
Rate |
|
|
Volatility |
|
|
Maturity |
|
|
fair
value |
|
|
per |
|
| Assumptions |
|
Price |
|
|
Date |
|
Price
(8) |
|
|
(annual)(9) |
|
|
(annual)
(10) |
|
|
(Years) |
|
|
per
share |
|
|
share(11) |
|
|
September
2,
2021(1)
|
|
$ |
.0525 |
|
|
September 2,
2026
|
|
$ |
3.50 |
|
|
|
0.78 |
% |
|
|
182.74 |
% |
|
|
5.0 |
|
|
$ |
0.3325 |
|
|
$ |
— |
|
|
March
11,
2021(2)
|
|
$ |
4.375
– 5.25 |
|
|
March
11,
2026
|
|
$ |
3.50 |
|
|
|
0.17 |
% |
|
|
172.54 |
% |
|
|
5.0 |
|
|
$ |
0.3325-
0.0329 |
|
|
$ |
— |
|
|
February
3,
2021(3)
|
|
$ |
2.80 |
|
|
February
3,
2024
|
|
$ |
2.80 |
|
|
|
0.18 |
% |
|
|
171.71 |
% |
|
|
3.0 |
|
|
$ |
2.417461 |
|
|
$ |
— |
|
|
December
24,
2020
(4)
|
|
$ |
2.80 |
|
|
December
24,
2023
|
|
$ |
2.80 |
|
|
|
0.17 |
% |
|
|
172.54 |
% |
|
|
3.0 |
|
|
$ |
2.422658 |
|
|
$ |
— |
|
|
March
18,
2020
(5)
|
|
$ |
1.40 |
|
|
March
18,
2023
|
|
$ |
1.40 |
|
|
|
0.66 |
% |
|
|
137.41 |
% |
|
|
3.0 |
|
|
$ |
1.075547 |
|
|
$ |
— |
|
|
September
10,
2019
(6)
|
|
$ |
0.49 |
|
|
September
10,
2022
|
|
$ |
0.49 |
|
|
|
1.61 |
% |
|
|
139.84 |
% |
|
|
3.0 |
|
|
$ |
0.38185 |
|
|
$ |
— |
|
|
November
6,
2019
(7)
|
|
$ |
0.49 |
|
|
November
6,
2022
|
|
$ |
0.49 |
|
|
|
1.60 |
% |
|
|
138.48 |
% |
|
|
3.0 |
|
|
$ |
0.38255 |
|
|
$ |
— |
|
Significant
inputs into the model at the reporting period measurement dates are as follows:
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Future |
|
| |
|
|
|
|
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|
|
|
|
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|
|
|
|
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|
|
Estimated |
|
| |
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|
|
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|
|
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|
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|
|
|
|
|
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|
|
Quarterly |
|
| |
|
|
|
|
Warrant |
|
|
|
|
Interest |
|
|
|
|
|
Time to |
|
|
Calculated |
|
|
Dividend |
|
| Black-Scholes |
|
Exercise |
|
|
Expiration |
|
Stock |
|
|
Rate |
|
|
Volatility |
|
|
Maturity |
|
|
fair value |
|
|
per |
|
| Assumptions |
|
Price |
|
|
Date |
|
Price
(8) |
|
|
(annual)
(9) |
|
|
(annual)
(10) |
|
|
(Years) |
|
|
per
share |
|
|
share
(11) |
|
|
December
31,
2022(1)
|
|
$ |
.0525 |
|
|
September
2,
2026
|
|
$ |
1.25 |
|
|
|
4.22 |
% |
|
|
287.87 |
% |
|
|
3.68 |
|
|
$ |
0.0968371 |
|
|
$ |
— |
|
|
December
31,
2022(2)
|
|
$ |
4.375
– 5.25 |
|
|
March
11,
2026
|
|
$ |
1.25 |
|
|
|
4.22 |
% |
|
|
288.66 |
% |
|
|
3.20 |
|
|
$ |
0.096101
- 0.0957467 |
|
|
$ |
— |
|
|
December
31,
2022(3)
|
|
$ |
2.80 |
|
|
February
3,
2024
|
|
$ |
1.25 |
|
|
|
4.73 |
% |
|
|
352.74 |
% |
|
|
1.10 |
|
|
$ |
0.0690620 |
|
|
$ |
— |
|
|
December
31,
2022(4)
|
|
$ |
2.80 |
|
|
December
24,
2023
|
|
$ |
1.25 |
|
|
|
4.73 |
% |
|
|
331.00 |
% |
|
|
0.98 |
|
|
$ |
0.0681813 |
|
|
$ |
— |
|
|
December
31,
2022(5)
|
|
$ |
1.40 |
|
|
March
18,
2023
|
|
$ |
1.25 |
|
|
|
4.42 |
% |
|
|
147.61 |
% |
|
|
0.22 |
|
|
$ |
0.0296661 |
|
|
$ |
— |
|
|
December
31,
2022(6)
|
|
$ |
0.49 |
|
|
September
10,
2022
|
|
$ |
1.25 |
|
|
|
4.42 |
% |
|
|
137.02 |
% |
|
|
0.35 |
|
|
$ |
0.0091855 |
|
|
$ |
— |
|
|
December
31,
2022(7)
|
|
$ |
0.49 |
|
|
November
6,
2022
|
|
$ |
1.25 |
|
|
|
4.42 |
% |
|
|
149.27 |
% |
|
|
0.18 |
|
|
$ |
0.0085006 |
|
|
$ |
— |
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Future |
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Estimated |
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Quarterly |
|
| |
|
|
|
|
Warrant |
|
|
|
|
Interest |
|
|
|
|
|
Time
to |
|
|
Calculated |
|
|
Dividend |
|
| Black-Scholes |
|
Exercise |
|
|
Expiration |
|
Stock |
|
|
Rate |
|
|
Volatility |
|
|
Maturity |
|
|
fair
value |
|
|
per |
|
| Assumptions |
|
Price |
|
|
Date |
|
Price
(8) |
|
|
(annual)
(9) |
|
|
(annual)
(10) |
|
|
(Years) |
|
|
per
share |
|
|
share(11) |
|
|
December
31,
2021(1)
|
|
$ |
.0525 |
|
|
September
2,
2026
|
|
$ |
3.50 |
|
|
|
0.98 |
% |
|
|
205.16 |
% |
|
|
4.67 |
|
|
$ |
0.0968371 |
|
|
$ |
— |
|
|
December
31,
2021(2)
|
|
$ |
4.375
– 5.25 |
|
|
March
11,
2026
|
|
$ |
3.50 |
|
|
|
0.98 |
% |
|
|
205.16 |
% |
|
|
4.19 |
|
|
$ |
0.096101
- 0.0957467 |
|
|
$ |
— |
|
|
December
31,
2021(3)
|
|
$ |
2.80 |
|
|
February
3,
2024
|
|
$ |
2.80 |
|
|
|
0.28 |
% |
|
|
205.16 |
% |
|
|
2.09 |
|
|
$ |
0.0690620 |
|
|
$ |
— |
|
|
December
31,
2021(4)
|
|
$ |
2.80 |
|
|
December
24,
2023
|
|
$ |
2.80 |
|
|
|
0.28 |
% |
|
|
205.16 |
% |
|
|
1.98 |
|
|
$ |
0.0681813 |
|
|
$ |
— |
|
|
December
31,
2021(5)
|
|
$ |
1.40 |
|
|
March
18,
2023
|
|
$ |
1.40 |
|
|
|
0.28 |
% |
|
|
205.16 |
% |
|
|
1.21 |
|
|
$ |
0.0296661 |
|
|
$ |
— |
|
|
December
31,
2021(6)
|
|
$ |
0.49 |
|
|
September
10,
2022
|
|
$ |
0.49 |
|
|
|
0.09 |
% |
|
|
205.16 |
% |
|
|
0.69 |
|
|
$ |
0.0091855 |
|
|
$ |
— |
|
|
December
31,
2021(7)
|
|
$ |
0.49 |
|
|
November
6,
2022
|
|
$ |
0.49 |
|
|
|
0.19 |
% |
|
|
205.16 |
% |
|
|
0.85 |
|
|
$ |
0.0085006 |
|
|
$ |
— |
|
| (1) |
Based
on the terms provided in the warrant agreement related to the issuance of common stock of on September 2nd, 2021 |
| (2) |
Based
on the terms provided in the warrant agreement related to the issuance of common stock of on March 11th, 2021 |
| |
|
| (3) |
Based
on the terms provided in the warrant agreement related to the issuance of common stock of on February 3rd, 2021 |
| (4) |
Based
on the terms provided in the warrant agreement related to the issuance of common stock of on December 24th, 2020 |
| (5) |
Based
on the terms provided in the warrant agreement related to the issuance of common stock of on March 18th, 2020 |
| (6) |
Based
on the terms provided in the warrant agreement related to the issuance of common stock of on September 10th, 2019 |
| (7) |
Based
on the terms provided in the warrant agreement related to the issuance of common stock of on November 6th, 2019 |
| (8) |
Based
on the observable transaction value of common stock of per the most recent stock issuance financing agreements. |
| (9) |
Interest
rate for U.S. Treasury Bonds, as of the issuance dates and each presented year ended date, as published by the U.S. Federal
Reserve. |
| (10) |
Based
on the historical daily volatility of guideline public companies in the healthcare industry and each presented year ended
date. |
| (11) |
Current
estimated dividend payments beyond initial four quarters. At a future date, the Company will review the working capital needs and
make a final determination of any future dividend payments. |
|