Quarterly report pursuant to Section 13 or 15(d)

Fair Value of Warrants

v3.19.3
Fair Value of Warrants
9 Months Ended
Sep. 30, 2019
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, 2019 (in thousands):
Issued with/for
Fair value of warrants
outstanding as of
December 31, 2018
 
Change in fair
value of warrants
 
Fair value of warrants
outstanding as of
September 30, 2019
2016 Offerings
$
225

 
$
(210
)
 
$
15

2017 Offering
23

 
(23
)
 

 
$
248

 
$
(233
)
 
$
15



The derivative warrants issued as part of the 2016 Offerings are valued using a probability-weighted Binomial model, while the derivative warrants issued in conjunction with the 2017 Offering were valued using a Black-Scholes model. The following tables summarize the assumptions used in computing the fair value of derivative warrants subject to fair value accounting at September 30, 2019 and December 31, 2018.

2016 Offerings
As of September 30, 2019
 
As of December 31, 2018
Exercise price
$
67.50

 
$
67.50

Expected life (years)
2.33

 
3.08

Expected volatility
114.58
%
 
100.51
%
Risk-free interest rate
1.68
%
 
2.46
%
Expected dividend yield
%
 
%

2017 Offering
As of December 31, 2018
Exercise price
$
70.80

Expected life (years)
0.44

Expected volatility
172.5
%
Risk-free interest rate
2.56
%
Expected dividend yield
%