Annual report pursuant to Section 13 and 15(d)

Derivative Liabilities (Tables)

v3.22.4
Derivative Liabilities (Tables)
12 Months Ended
Dec. 31, 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 December 31, 2022 and 2021 are as follows:

Warrant Name Warrants Exercise Price Expiration Date
Powerscort Warrant 496,415 $3.120 12/22/2023
Wilmington Warrant Tranche A 510,204 $3.430 3/12/2026
Wilmington Warrant Tranche B 424,242 $4.125 3/12/2026
Wilmington Warrant Tranche C 127,273 $6.875 3/12/2026
Fair value measurement inputs and valuation techniques
In measuring the warrant liability, the Company used the following inputs in its Monte Carlo Model:
For the Years Ended December 31,
2022 2021
Common Stock price $1.40 $1.94
Weighted average contractual term to maturity 2.5 years 3.5 years
Range of expected market volatility %
66.00% - 72.88%
70.12% - 81.00%
Range of risk-free interest rate
4.14% - 4.68%
0.72% - 1.16%
In measuring the embedded derivative liability, the Company used the following inputs in its multinomial lattice model:

December 31, 2022 December 31, 2021
Conversion price $6.25 $6.25
Common Stock price $1.40 $1.94
Contractual term to maturity 9.0 years 10.1 years
Expected market volatility % 205.00% 80.00%
Risk-free interest rate 3.87% 1.51%
Traded WHLRL price % of par 120.50% 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):

Year Ended December 31, 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 2,335  (3,768)
Balance at ending of period $ 7,111  $ 4,776