Annual report pursuant to Section 13 and 15(d)

Capitalization and Equity Structure (Tables)

v3.22.0.1
Capitalization and Equity Structure (Tables)
 12 Months Ended
Dec. 31, 2021
Capitalization, Long-term Debt and Equity [Abstract]  
Schedule of Warrant Share Activity
Warrant shares outstanding as of December 31, 2021 and December 31, 2020 were as follows:
Source Exercise
Price		 Term
(Years)		 December 31, 2020 Issued Expired Exercised December 31, 2021
2021 Warrants $ 12.81  5 —  273  —  —  273 
June 2020 Investor Warrants $ 5.18  5.5 397  —  —  (270) 127 
June 2020 Placement Agent Warrants $ 5.64  5 122  —  —  (83) 39 
December 2019 Warrants $ 8.10  5 556  —  —  —  556 
December 2019 Placement Agent Warrants $ 8.44  5 52  —  —  —  52 
May 2019 Warrants $ 3.52  3 198  —  —  (5) 193 
  1,325  273  —  (358) 1,240 
Schedule of Assumptions used in Black-Scholes Model to Measure Fair Value The following assumptions were used in the Black-Scholes Model to measure the fair value of the 2021 Warrants:
December 31, 2021 February 11, 2021
Current share price $ 2.65  $ 9.61 
Conversion price $ 12.81  $ 12.81 
Risk-free interest rate 1.13  % 0.46  %
Expected term (years) 4.11 5
Volatility of stock 98.3  % 107.1  %
The following assumptions were used in the Black-Scholes Model to measure the fair value of the June 2020 Investor Warrants:
December 31, 2021 December 31, 2020
Current share price $ 2.65  $ 6.13 
Conversion price $ 5.18  $ 5.18 
Risk-free interest rate 1.11  % 0.35  %
Expected term (years) 3.94 4.94
Volatility of stock 103.9  % 105.3  %
The following assumptions were used in the Black-Scholes Model to measure the fair value of the June 2020 Placement Agent Warrants:
December 31, 2021 December 31, 2020
Current share price $ 2.65  $ 6.13 
Conversion price $ 5.64  $ 5.64 
Risk-free interest rate 1.03  % 0.31  %
Expected term (years) 3.44 4.44
Volatility of stock 100.0  % 106.8  %
The following assumptions were used in the Black-Scholes Model to measure the fair value of the December 2019 Warrants:
December 31, 2021 December 31, 2020
Current share price $ 2.65  $ 6.13 
Conversion price $ 8.10  $ 8.10 
Risk-free interest rate 1.04  % 0.31  %
Expected term (years) 3.47 4.47
Volatility of stock 99.7  % 107.9  %
December 31, 2021 December 31, 2020
Current share price $ 2.65  $ 6.13 
Conversion price $ 8.44  $ 8.44 
Risk-free interest rate 0.96  % 0.26  %
Expected term (years) 2.97 3.97
Volatility of stock 102.9  % 109.4  %
The following assumptions were used in a combination of the Black-Scholes Model and the Lattice Model to measure the fair value of the May 2019 Warrants:
December 31, 2021 December 31, 2020
Current share price $ 2.65  $ 6.13 
Conversion price $ 3.52  $ 3.52 
Risk-free interest rate 0.83  % 0.21  %
Expected term (years) 2.40 3.40
Volatility of stock 109.1  % 107.2  %