The Company estimated the fair value of the August and September Initial Loans, as defined in Note 9, based on assumptions used in the Monte Carlo simulation model using the following inputs as of the end of the reporting period:
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|
|
|
August Convertible Debenture |
|
September Convertible Debenture |
| Expected term (in years) |
|
0.75 |
|
0.90 |
| Stock price |
|
$ |
0.26 |
|
|
$ |
0.26 |
|
| Interest rate |
|
3.0 |
% |
|
3.0 |
% |
| Expected volatility |
|
121.3 |
% |
|
121.0 |
% |
| Expected dividend rate |
|
— |
|
|
— |
|
| Risk free rate |
|
5.0 |
% |
|
4.8 |
% |
The following table summarizes the Company’s total stock-based compensation expense by line item for the years ended December 31, 2023 and 2022 (in thousands):
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Year Ended December 31, |
|
|
2023 |
|
2022 |
| Research and development |
|
$ |
6,711 |
|
|
$ |
31,083 |
|
| Selling, general and administrative |
|
23,495 |
|
|
48,490 |
|
Total |
|
$ |
30,206 |
|
|
$ |
79,573 |
|
The fair value of the warrants at the issuance date was measured using the Black-Scholes-Merton option pricing model. The key inputs used in the valuation were as follows:
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|
|
|
|
|
|
| Expected term (years) |
10.0 |
| Risk free interest rate |
3.0 |
% |
| Expected volatility |
91.3 |
% |
| Dividend yield |
— |
% |
| Exercise price |
$ |
2.15 |
|
| Stock price |
$ |
3.63 |
|
The fair value of the warrants at the expiration of the option period was measured using the Black-Scholes-Merton option pricing model. The key inputs used in the valuation were as follows:
|
|
|
|
|
|
|
|
| Expected term (years) |
0.9 |
| Expected volatility |
116.4 |
% |
| Dividend yield |
— |
% |
| Risk free rate |
4.7 |
% |
| Estimated fair value per warrant |
$ |
0.57 |
|
| Exercise price |
$ |
1.05 |
|
| Stock price |
$ |
1.20 |
|
The fair value of the warrants was measured using the Black-Scholes-Merton option pricing model. The key inputs used in the valuation were as follows:
|
|
|
|
|
|
|
|
| Expected term (years) |
4.6 |
| Expected volatility |
121.7 |
% |
| Expected dividend rate |
— |
% |
| Risk free rate |
3.8 |
% |
| Estimated fair value per warrant |
$ |
0.16 |
|
| Exercise price |
$ |
1.30 |
|
| Stock price |
$ |
0.26 |
|
The warrants are liability classified and subject to periodic remeasurement. The fair value of the warrants was measured using the Black-Scholes option pricing model. The key inputs used in the valuation were as follows:
|
|
|
|
|
|
| Expected term (years) |
5.0 |
| Expected volatility |
121.7 |
% |
| Expected dividend rate |
— |
% |
| Risk free rate |
3.8 |
% |
| Estimated fair value per warrant |
$ |
0.19 |
|
| Exercise price |
$ |
0.67 |
|
| Stock price |
$ |
0.26 |
|
The warrants are liability classified and subject to periodic remeasurement. The fair value of the warrants was measured using the Black-Scholes option pricing model. The key inputs used in the valuation were as follows:
|
|
|
|
|
|
| Expected term (years) |
4.8 |
| Expected volatility |
121.7 |
% |
| Expected dividend rate |
— |
% |
| Risk free rate |
3.8 |
% |
| Estimated fair value per warrant |
$ |
0.19 |
|
| Stock Price |
$ |
0.26 |
|
| Exercise Price |
$ |
0.65 |
|
|
|
|
|
|
|
| Expected term (years) |
5.1 |
| Expected volatility |
121.7 |
% |
| Expected dividend rate |
— |
% |
| Risk free rate |
3.8 |
% |
| Estimated fair value per warrant |
$ |
0.19 |
|
| Exercise price |
$ |
0.67 |
|
| Stock price |
$ |
0.26 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
July Convertible Debenture |
|
August Convertible Debenture |
|
September Convertible Debenture |
| Expected term (years) |
4.7 |
|
4.8 |
|
5.0 |
| Expected volatility |
108.0 |
% |
|
108.0 |
% |
|
108.0 |
% |
| Expected dividend rate |
— |
% |
|
— |
% |
|
— |
% |
| Risk free rate |
4.6 |
% |
|
4.6 |
% |
|
4.6 |
% |
| Estimated fair value per warrant |
$ |
0.34 |
|
|
$ |
0.34 |
|
|
$ |
0.34 |
|
| Exercise price |
$ |
0.54 |
|
|
$ |
0.54 |
|
|
$ |
0.54 |
|
| Stock price |
$ |
0.44 |
|
|
$ |
0.44 |
|
|
$ |
0.44 |
|
|
|
|
|
|
|
|
|
| Expected term (years) |
4.8 |
| Risk free rate |
3.8 |
% |
| Expected volatility |
121.7 |
% |
| Expected dividend rate |
— |
% |
| Exercise price |
$ |
0.56 |
|
| Stock price |
$ |
0.26 |
|
| Estimated fair value per warrant |
$ |
0.19 |
|
|