The Company estimated the fair value of the Initial Loans 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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July Convertible Debenture |
|
August Convertible Debenture |
|
September Convertible Debenture |
| Expected term (in years) |
0.92 |
|
1.01 |
|
1.16 |
| Stock price |
$0.49 |
|
$0.49 |
|
$0.49 |
| Interest rate |
3.0 |
% |
|
3.0 |
% |
|
3.0 |
% |
| Expected volatility |
113.2 |
% |
|
112.2 |
% |
|
111.7 |
% |
| Expected dividend rate |
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
| Risk free rate |
5.4 |
% |
|
5.4 |
% |
|
5.3 |
% |
The following table summarizes the Company’s stock-based compensation expense by line item for the three and nine months ended September 30, 2023 and 2022 (in thousands):
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Three months ended
September 30,
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Nine months ended
September 30,
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2023 |
|
2022 |
|
2023 |
|
2022 |
| Research and development |
$ |
626 |
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|
$ |
8,217 |
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|
$ |
4,970 |
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|
$ |
23,342 |
|
| Selling, general and administrative |
6,282 |
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|
11,310 |
|
18,481 |
|
|
37,638 |
| Total |
$ |
6,908 |
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|
$ |
19,527 |
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|
$ |
23,451 |
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|
$ |
60,980 |
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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 |
| Risk free interest rate |
3.0 |
% |
| Expected volatility |
91.3 |
% |
| Dividend yield |
— |
% |
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|
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|
|
| Exercise price |
$ |
2.15 |
|
| Stock price |
$ |
3.63 |
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The fair value of the warrants upon 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:
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| Expected term (year) |
0.9 |
| Expected volatility |
116.4 |
% |
| Expected dividend rate |
— |
% |
| Risk free rate |
4.7 |
% |
| Estimated fair value per warrant |
$ |
0.57 |
|
| Exercise price |
$ |
1.05 |
|
| Stock price |
$ |
1.20 |
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|
|
|
| Expected term (years) |
4.36 |
| Expected volatility |
113.3 |
% |
| Expected dividend rate |
— |
% |
| Risk free rate |
4.61 |
% |
| Estimated fair value per warrant |
$ |
0.32 |
|
| Exercise price |
$ |
1.30 |
|
| Stock price |
$ |
0.49 |
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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:
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|
|
| Expected term (years) |
5.23 |
| Expected volatility |
113.3 |
% |
| Expected dividend rate |
— |
% |
| Risk free rate |
4.55 |
% |
| Estimated fair value per warrant |
$0.39 |
| Exercise price |
$0.67 |
| Stock price |
$0.49 |
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:
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|
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| Expected term (years) |
5.02 |
| Expected volatility |
124.9 |
% |
| Expected dividend rate |
— |
% |
| Risk free rate |
4.55 |
% |
| Estimated fair value per warrant |
$0.39 |
| Exercise Price |
$0.65 |
| Stock Price |
$0.49 |
|
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|
|
|
|
| Expected term (years) |
5.34 |
| Expected volatility |
113.3 |
% |
| Expected dividend rate |
— |
% |
| Risk free rate |
4.55 |
% |
| Estimated fair value per warrant |
$ |
0.39 |
|
| Exercise price |
$ |
0.67 |
|
| Stock price |
$ |
0.49 |
|
The key inputs used in the valuation were as follows:
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July Convertible Debenture |
|
August Convertible Debenture |
|
September Convertible Debenture |
| Expected term (years) |
4.75 |
|
4.84 |
|
4.99 |
| Expected volatility |
113.3 |
% |
|
113.3 |
% |
|
113.3 |
% |
| Expected dividend rate |
— |
% |
|
— |
% |
|
— |
% |
| Risk free rate |
4.57 |
% |
|
4.56 |
% |
|
4.55 |
% |
| Estimated fair value per warrant |
$ |
0.39 |
|
|
$ |
0.39 |
|
|
$ |
0.40 |
|
| Exercise price |
$ |
0.54 |
|
|
$ |
0.54 |
|
|
$ |
0.54 |
|
| Stock price |
$ |
0.49 |
|
|
$ |
0.49 |
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|
$ |
0.49 |
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