Annual report pursuant to Section 13 and 15(d)

Warrants and Derivative Liabilities (Tables)

v3.22.1
Warrants and Derivative Liabilities (Tables)
 12 Months Ended
Dec. 31, 2021
Warrants and Rights Note Disclosure [Abstract]  
Schedule of warrants vested and outstanding
Warrants vested and outstanding as of December 31, 2021 are summarized as follows:
Source Exercise
Price		 Term
(Years)		 Number of
Warrants
Vested and
Outstanding
Pre 2015 Common Stock Warrants $ 1.00  10 1,110,000 
2015 Common Stock Warrants 5.00  10 100,000 
2016 Common Stock Warrants to Service Providers 1.15  10 40,000 
2017 Series D Common Stock Warrants to Placement Agent 0.25  5 480,000 
2017 Common Stock Warrants to Service Provider 0.41  5 125,000 
2018 Emerald Financing Warrants 0.10  5 3,400,000 
Emerald Multi-Draw Credit Agreement Warrants 0.50  5 7,500,000 
2019 Common Stock Warrants 0.35  5 8,000,000 
2020 Common Stock Warrants to Placement Agent 0.08  4.99 8,166,667 
2021 Inducement Warrants 0.15  5 21,166,667 
2021 Inducement Warrants to Placement Agent 0.19  5 1,481,667 
2021 Common Stock Warrants 0.09  5 77,777,779 
2021 Pre-Funded Warrants 0.0001  Indefinite 19,666,667 
2021 Common Stock Warrants to Placement Agent 0.11  5 5,444,445 
Total warrants vested and outstanding as of December 31, 2021 154,458,892 
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:

Common Stock
 Warrants		 Placement Agent
 Warrants
Dividend yield —  % —  %
Volatility factor 137.87  % 137.87  %
Risk-free interest rate 0.73  % 0.73  %
Expected term (years) 5.0 5.0
Underlying common stock price $ 0.15  $ 0.15 
The warrants vested immediately and were valued utilizing the Black-Scholes Merton option pricing model with the following assumptions:
Common Stock Warrants Pre-funded
Warrants		 Placement Agent Warrants
Dividend yield —  % —  % —  %
Volatility factor 136.02  % 135.06  % 136.02  %
Risk-free interest rate 1.01  % 1.55  % 1.01  %
Expected term (years) 5.0 10.0 5.00
Underlying common stock price $ 0.09  $ 0.09  $ 0.09 
The warrants vested immediately and were valued utilizing the Black-Scholes option pricing model with the following assumptions:
Common Stock Warrants Pre-funded
Warrants		 Placement Agent Warrants
Dividend yield —  % —  % —  %
Volatility factor 91.64  % 93.86  % 91.64  %
Risk-free interest rate 0.19  % 0.52  % 0.19  %
Expected term (years) 5.0 10 4.99
Underlying common stock price $ 0.05  $ 0.05  $ 0.05 
The warrant liabilities were valued at the balance sheet dates using the following assumptions:
As of December 31,
2021 2020
Dividend yield —  % —  %
Volatility factor 126.50  % 90.90  %
Risk-free interest rate 0.43  % 0.14  %
Expected term (years) 1.13 2.13
Underlying common stock price $ 0.05  $ 0.04 
Schedule summary of the activity of derivative liabilities
The following tables summarize the activity of derivative liability for the periods indicated:
Year Ended December 31, 2021
DECEMBER 31,
2020, Fair
Value of
Derivative Liability		 Fair
Value of
Derivative Liability Issued		 Change in
Fair value of
Liability		 Reclassification
of Derivative
to Equity		 December 31,
2021, Fair
Value of
Derivative Liability
Emerald Financing - warrant liability (1)
38,567  —  21,165  —  59,732 
Total derivative liability $ 38,567  $ —  $ 21,165  $ —  $ 59,732 
Year Ended December 31, 2020
December 31,
2019 , Fair Value of Derivative Liabilities		 Fair Value of Derivative Liabilities Issued Change in
Fair value of
Liabilities
Reclassification of Derivatives to Equity
December 31,
2020, Fair Value of Derivative Liabilities
Emerald Multi-Draw Credit Agreement - compound derivative liability (2)
$ 90,797  $ —  $ (90,797) $ —  $ — 
Emerald Financing - warrant liability (1)
276,024  —  (237,457) —  38,567 
Series B - warrant liability (3)
134,579  —  (108,016) (26,563) — 
Total derivative liabilities $ 501,400  $ —  $ (436,270) $ (26,563) $ 38,567 
Less, noncurrent portion of derivative liabilities (90,797) — 
Current balance of derivative liabilities $ 410,603  $ 38,567