Quarterly report pursuant to Section 13 or 15(d)

Warrant Liability

v3.19.2
Warrant Liability
6 Months Ended
Jun. 30, 2019
Warrant Liability [Abstract]  
Warrant Liability Warrant Liability
 
As of June 30, 2019, the Company had 10,256,193 warrants outstanding consisting of 5,250,000 warrants issued in April 2019; 1,585,500 warrants issued in March 2019; 742,991 warrants issued in June 2018; 2,273,700 warrants issued in February 2018; and 404,002 warrants issued in February 2017.

A summary of the Company's warrant activity during the six months ended June 30, 2019 and related information follows: 
Number of Shares Under Warrant Range of Warrant Exercise Price per Share Weighted Average Exercise Price Weighted Average Remaining Contractual Life (Years)
Balance at January 1, 2019 3,426,711  $ 1.50  $ 2.80  $ 2.48  4.53
Granted 8,242,500  $ 1.10  $ 1.75  $ 1.51  — 
Exercised (1,413,018) $ 1.10  $ 1.50  $ 1.10  — 
Expired —  $ —  $ —  $ —  — 
Balance at June 30, 2019 10,256,193  $ 1.10  $ 2.80  $ 1.89  4.54
Vested and Exercisable at June 30, 2019 10,256,193  $ 1.10  $ 2.80  $ 1.89  4.54

As discussed in Note 5, in connection with the offering that closed on April 25, 2019, the Company issued warrants to purchase 4,687,500 shares of its Common Stock (each a "Warrant"). The warrants are immediately exercisable at a price of $1.75 per share and expire five years from the date of issuance. In connection with the offering, the Company issued Oppenheimer & Co. Inc. a warrant (the "Underwriter Warrant") to purchase up to 562,500 shares of its Common Stock with an exercise price of $1.75 per share. The Underwriter Warrant expires on April 23, 2024.

As discussed in Note 5, in connection with the offering that closed on March 29, 2019, the Company issued warrants to purchase 2,625,000 shares of its Common Stock (each a “Warrant”). The warrants are immediately exercisable at a price of $1.10 per share, subject to adjustment in certain circumstances, and expire five years from the date of issuance. In connection with the offering, the Company issued Oppenheimer & Co. Inc. a warrant (the “Underwriter Warrant”) to purchase up to 367,500 shares of its Common Stock with an exercise price of $1.10 per share. The Underwriter Warrant expires on March 27, 2024.

The basis of value of the warrant liability is fair value, which is defined pursuant to Accounting Standards Codification (“ASC”) 820 to be “the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date”. The Company uses the Black-Scholes option pricing model (“BSM”) to determine the fair value of its remaining warrants outstanding.

The risk-free interest rate assumption is based upon observed interest rates on zero coupon U.S. Treasury bonds linearly interpolated to obtain a maturity period commensurate with the term of the warrants.

Estimated volatility is a measure of the amount by which the Company's stock price is expected to fluctuate each year during the expected life of the warrants. Where appropriate, the Company used the historical volatility of peer entities combined with the Company's due to the lack of sufficient historical data of its stock price during the years 2017 to 2019.

The assumptions used in the BSM models for its outstanding warrants are as follows:

Six Months Ended June 30, 2019 Year Ended December 31, 2018
Risk-free interest rate 1.73  % to 2.39  % 2.46  % to 2.51  %
Volatility 75.00  % to 85.00  % 75.00  % to 80.00  %
Expected life (years) 2.62 to 5.01 3.12 to 4.98
Dividend yield —%    —%