Quarterly report pursuant to Section 13 or 15(d)

Derivative Liabilities (Tables)

v3.22.2.2
Derivative Liabilities (Tables)
9 Months Ended
Sep. 30, 2022
Derivative Instruments and Hedging Activities Disclosure [Abstract]  
Schedule of stockholders' equity note, warrants or rights
Warrants to purchase shares of common stock outstanding at September 30, 2022 are as follows:

Warrants Exercise Price Expiration Date
496,415 $3.120 12/22/2023
510,204 $3.430 3/12/2026
424,242 $4.125 3/12/2026
127,273 $6.875 3/12/2026
Fair value measurement inputs and valuation techniques
In measuring the warrant liabilities, the Company used the following inputs in its Monte Carlo model.
September 30, 2022
December 31, 2021
Common Stock price $1.30 $1.94
Weighted average contractual term to maturity 2.7 years 3.5 years
Range of expected market volatility %
64.58% - 85.99%
70.12% - 81.00%
Range of risk free interest rate
4.09% - 4.20%
0.72% - 1.16%
In measuring the embedded derivative liability, the Company used the following inputs in its multinomial lattice model:

September 30, 2022
December 31, 2021
Conversion price $6.25 $6.25
Common Stock price $1.30 $1.94
Contractual term to maturity 9.3 years 10.1 years
Expected market volatility % 195.00% 80.00%
Risk-free interest rate 3.82% 1.51%
Traded WHLRL price, % of par 119.45% 113.96%
Summary of the changes in fair value of the company's derivative liabilities The following table sets forth a summary of the changes in fair value of the Company's derivative liabilities, which include both the warrant liabilities and embedded derivative liability (in thousands, unaudited):
Nine Months Ended September 30, 2022
Year Ended December 31, 2021
Balance at the beginning of period $ 4,776  $ 594 
Issuance of Wilmington Warrant —  2,018 
Issuance of embedded derivative —  5,932 
Changes in fair value 2,533  (3,768)
Balance at ending of period $ 7,309  $ 4,776