Warrants and Derivative Liabilities (Tables)
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9 Months Ended |
Sep. 30, 2021 |
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| Warrants and Rights Note Disclosure [Abstract] |
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| Schedule of warrants vested and outstanding |
Warrants vested and outstanding as of September 30, 2021 are summarized as follows:
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| Source |
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Exercise
Price |
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Term
(Years) |
|
Number of
Warrants
Vested and
Outstanding |
| Pre 2015 Common Stock Warrants |
|
$ |
1.00 |
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10 |
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1,110,000 |
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| 2015 Common Stock Warrants |
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5.00 |
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10 |
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100,000 |
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| 2016 Common Stock Warrants to Service Providers |
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1.15 |
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10 |
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40,000 |
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| 2016 Series C Common Stock Warrants to Placement Agent |
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0.40 |
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5 |
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125,000 |
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| 2017 Series D Common Stock Warrants to Placement Agent |
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0.25 |
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5 |
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480,000 |
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| 2017 Common Stock Warrants to Service Provider |
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0.41 |
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5 |
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125,000 |
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| 2018 Emerald Financing Warrants |
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0.10 |
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5 |
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3,400,000 |
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| Emerald Multi-Draw Credit Agreement Warrants |
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0.50 |
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5 |
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7,500,000 |
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| 2019 Common Stock Warrants |
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0.35 |
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5 |
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8,000,000 |
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| 2020 Common Stock Warrants to Placement Agent |
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0.08 |
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4.99 |
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8,166,667 |
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| 2021 Inducement Warrants |
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0.15 |
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5 |
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21,166,667 |
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| 2021 Inducement Warrants to Placement Agent |
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0.19 |
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5 |
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1,481,667 |
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| 2021 Common Stock Warrants |
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0.09 |
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5 |
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77,777,779 |
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| 2021 Pre-Funded Warrants |
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— |
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Indefinite |
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19,666,667 |
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| 2021 Common Stock Warrants to Placement Agent |
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0.11 |
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5 |
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5,444,445 |
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| Total warrants vested and outstanding as of September 30, 2021 |
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154,583,892
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| Schedule of input and valuation technique used to value warrant liabilities |
The warrants were vested at issuance and were valued utilizing the Black-Scholes Merton option pricing model with the following assumptions:
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Common Stock
Warrants |
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Placement Agent
Warrants |
| Dividend yield |
0.00 |
% |
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0.00 |
% |
| Volatility factor |
137.87 |
% |
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137.87 |
% |
| Risk-free interest rate |
0.73 |
% |
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0.73 |
% |
| Expected term (years) |
5 |
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5 |
| Underlying common stock price |
$ |
0.15 |
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$ |
0.15 |
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The warrants vested immediately and were valued utilizing the Black-Scholes Merton option pricing model with the following assumptions:
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Common Stock
Warrants |
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Pre-funded
Warrants |
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Placement Agent
Warrants |
| Dividend yield |
0.00 |
% |
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0.00 |
% |
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0.00 |
% |
| Volatility factor |
136.02 |
% |
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135.06 |
% |
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136.02 |
% |
| Risk-free interest rate |
1.01 |
% |
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1.55 |
% |
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1.01 |
% |
| Expected term (years) |
5 |
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10 |
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5 |
| Underlying common stock price |
$ |
0.09 |
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$ |
0.09 |
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$ |
0.09 |
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The warrant liability is valued at the balance sheet dates using the following assumptions:
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September 30,
2021 |
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December 31,
2020 |
| Dividend yield |
0.00% |
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0.00% |
| Volatility factor |
134.8% |
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90.9% |
| Risk-free interest rate |
0.16% |
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0.14% |
| Expected term (years) |
1.38 |
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2.13 |
| Underlying common stock price |
$ |
0.11 |
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$ |
0.04 |
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| Schedule of the activity of derivative liabilities |
The following tables summarize the activity of derivative liabilities for the periods indicated:
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Nine Months Ended September 30, 2021 |
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December 31, 2020
Fair
Value of Derivative Liabilities
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Fair
Value of
Derivative
Liabilities
Issued |
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Change in
Fair Value of Derivative
Liabilities |
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Reclassification
of Derivatives
to Equity |
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September 30, 2021
Fair
Value of Derivative Liabilities
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Emerald Financing - warrant liability (1)
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$ |
38,567 |
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$ |
— |
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$ |
169,349 |
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$ |
— |
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$ |
207,916 |
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| Current balance of derivative liabilities |
$ |
38,567
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$ |
—
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$ |
169,349
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$ |
—
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$ |
207,916
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Nine Months Ended September 30, 2020 |
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December 31, 2019
Fair
Value of Derivative Liabilities
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Fair
Value of
Derivative
Liabilities
Issued |
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Change in
Fair
Value of
Derivative
Liabilities |
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Reclassification
of Derivatives
to Equity |
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September 30, 2020
Fair
Value of Derivative Liabilities
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Emerald Multi Draw Credit Agreement - compound derivative liability (2)
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$ |
90,797 |
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$ |
— |
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$ |
(90,797) |
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$ |
— |
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$ |
— |
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Emerald Financing - warrant liability (1)
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276,024 |
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— |
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(234,875) |
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— |
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41,149 |
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Series B - warrant liability(3)
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134,579 |
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— |
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(108,016) |
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(26,563) |
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— |
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| Total derivative liabilities |
$ |
501,400
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$ |
—
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$ |
(433,688) |
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$ |
(26,563) |
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$ |
41,149
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| Less, noncurrent portion of derivative liabilities |
(90,797) |
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— |
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| Current balance of derivative liabilities |
$ |
410,603
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$ |
41,149
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