Quarterly report pursuant to Section 13 or 15(d)

Warrants

v2.4.1.9
Warrants
3 Months Ended
Mar. 31, 2015
Notes to Financial Statements  
Warrants

The following is a summary of activity in the number of warrants outstanding to purchase the Company’s common stock for the three months ended March 31, 2015 (in thousands):

 

    Warrants accounted for as:     Warrants accounted for as:        
    Equity     Liabilities        
   

January 2012

warrants

   

March 2013

warrants

   

April 2013

warrants

   

February 2012

warrants

   

August 2013

warrants

   

October 2013

warrants

   

October 2013

Series A

warrants

   

January 2014

warrants

    Total  
                                                       
 Outstanding, December 31, 2014     650       455       1,864       1,000       10,000       200       7,100       5,500       26,769  
 Warrants exercised     -       -       (564 )     -       (7,000 )     (200 )     (6,125 )     (300 )     (14,189 )
 Outstanding, March 31, 2015     650       455       1,300       1,000       3,000       -       975       5,200       12,580  
 Expiration date   January 11, 2016     March 1, 2016     April 25, 2018     February 28, 2016     August 26, 2023     October 18, 2018     October 24, 2023     January 16, 2024          

 

Warrants consist of warrants potentially settleable in cash, which are liability-classified warrants, and equity-classified warrants.

 

Warrants classified as liabilities

 

Liability-classified warrants consist of warrants issued in connection with equity financings in February 2012, August 2013, October 2013 and January 2014.  These warrants are potentially settleable in cash and were determined not to be indexed to the Company’s own stock and are therefore accounted for as liabilities.

 

 

The estimated fair value of outstanding warrants accounted for as liabilities is determined at each balance sheet date. Any decrease or increase in the estimated fair value of the warrant liability since the most recent balance sheet date is recorded in the consolidated statement of comprehensive loss as changes in fair value of derivative liabilities. The fair value of the warrants classified as liabilities is estimated using the Black-Scholes option-pricing model with the following inputs as of March 31, 2015:

 

   

February 2012

warrants

   

August 2013

warrants

   

October 2013

warrants

   

January 2014

warrants

 
                         
 Strike price   $ 0.60     $ 0.40     $ 0.50     $ 0.50  
                                 
 Expected term (years)     0.9       8.4       8.6       8.8  
 Cumulative volatility %     84 %     104 %     103 %     103 %
 Risk-free rate %     0.26 %     1.82 %     1.83 %     1.85 %

 

The Company’s expected volatility is based on a combination of implied volatilities of similar publicly traded entities given that the Company has limited history of its own observable stock price. The expected life assumption is based on the remaining contractual terms of the warrants. The risk-free rate is based on the zero coupon rates in effect at the balance sheet date. The dividend yield used in the pricing model is zero, because the Company has no present intention to pay cash dividends.

 

Warrants classified as equity

 

Warrants that were recorded in equity at fair value upon issuance, and are not reported as liabilities on the balance sheet, are included in the above table which shows all warrants.