Quarterly report pursuant to Section 13 or 15(d)

Fair Value of Warrants

v3.10.0.1
Fair Value of Warrants
9 Months Ended
Sep. 30, 2018
Fair Value Disclosures [Abstract]  
Fair Value of Warrants
Fair Value of Warrants

The following table summarizes the derivative warrant activity subject to fair value accounting for the nine months ended September 30, 2018 (in thousands):
Issued with/for
Fair value of warrants
outstanding as of
December 31, 2017
 
Change in fair
value of warrants
 
Reclassification of warrants from liability to equity
 
Fair value of warrants
outstanding as of
September 30, 2018
2016 Offerings
$
1,929

 
$
(1,134
)
 
$

 
$
795

2017 Debt
501

 
(78
)
 
(423
)
 

2017 Offering
1,973

 
(1,646
)
 

 
327

 
$
4,403

 
$
(2,858
)
 
$
(423
)
 
$
1,122



The derivative warrants issued as part of the 2016 Offerings are valued using a probability-weighted Binomial model, while the derivative warrants issued as part of the 2017 Debt refinancing were valued using a Monte Carlo model. The derivative warrants issued in conjunction with the 2017 Offering are valued using a Black-Scholes model. Effective April 2, 2018, the number of shares issuable under the 2017 Debt refinancing became fixed at 443,262, causing the warrants to be reclassified to equity. The following tables summarize the assumptions used in computing the fair value of derivative warrants subject to fair value accounting at the date of issue, exercise or reclassification to equity during the three and nine months ended September 30, 2018 and 2017, and at September 30, 2018 and December 31, 2017.

 
 
 
 
 
Exercised During the
2016 Offerings
As of September 30, 2018
 
As of December 31, 2017
 
Three Months Ended September 30, 2017
 
Nine Months Ended September 30, 2017
Exercise price
$
2.25

 
$
2.25

 
$
2.25

 
$
2.25

Expected life (years)
3.33

 
4.08

 
4.30

 
4.78

Expected volatility
80.88
%
 
73.44
%
 
74.20
%
 
76.24
%
Risk-free interest rate
2.88
%
 
2.11
%
 
1.81
%
 
1.94
%
Expected dividend yield
%
 
%
 
%
 
%

2017 Debt
As of December 31, 2017
 
Reclassified to Equity During the Nine Months Ended September 30, 2018
 
Issued During the Nine Months Ended September 30, 2017
Exercise price
$
2.82

 
$
2.82

 
$
2.82

Expected life (years)
6.22

 
5.97

 
7.00

Expected volatility
74.18
%
 
73.40
%
 
74.61
%
Risk-free interest rate
2.33
%
 
%
 
2.22
%
Expected dividend yield
%
 
2.55
%
 
%

2017 Offering
As of September 30, 2018
 
As of December 31, 2017
 
Issued During the Nine Months Ended September 30, 2017
Exercise price
$
2.36

 
$
2.36

 
2.82

Expected life (years)
0.69

 
1.43

 
7.00

Expected volatility
93.26
%
 
77.55
%
 
74.61
%
Risk-free interest rate
2.36
%
 
1.83
%
 
2.22
%
Expected dividend yield
%
 
%
 
%