Quarterly report pursuant to Section 13 or 15(d)

Warrant Liability

v3.21.2
Warrant Liability
6 Months Ended
Jun. 30, 2021
Warrant Liability  
Warrant Liability

Note 11 — Warrant Liability

 

For the six months ended June 30, 2021, the Company issued warrants to purchase shares of the Company’s common stock related to multiple private placements. The warrants are as follows:

 

   

Warrant

Shares

   

Exercise

Price

 
Hudson Bay Warrant; January 25, 2021     15,000,000     $ 2.000  
Palladium Capital Warrant; January 25, 2021     480,000     $ 2.000  
BHP Capital NY Warrant; January 28, 2021     1,500,000     $ 2.200  
Hudson Bay Warrant; February 23, 2021     18,568,188     $ 3.722  
Palladium Capital Warrant; February 23, 2021     1,650,346     $ 3.722  
Hudson Bay Warrant; May 24, 2021     13,070,000     $ 3.200  
Palladium Capital Warrant; May 24, 2021     1,200,000     $ 3.200  
BHP Capital Warrant; June 4, 2021     1,500,000     $ 3.200  
Hudson Bay Warrant; June 4, 2021     27,821,829     $ 3.300  
Palladium Capital Warrant; June 4, 2021     2,071,346     $ 3.300  

 

The warrants are subject to anti-dilution adjustments outlined in the Agreement. The warrants issued in the first quarter were classified as a liability with an initial fair value of $94,876,534, of which $75,156,534 was immediately expensed and $19,720,000 was recorded as a deferred debt discount. The warrants issued in the second quarter were classified as a liability with an initial fair value of $133,699,181 which was immediately expensed. In addition, the warrants must be valued every reporting period and adjusted to market with the increase or decrease being adjusted through earnings. The change in fair value of the warrant liability for the three and six months ended June 30, 2021 was a loss of 773,447 and 37,154,989, respectively. As of June 30, 2021, the fair value of the warrant liability was $139,695,115.

 

The warrants were valued using the Black-Scholes pricing model to calculate the grant-date fair value upon issuance of the warrants with the following assumptions:

 

   

Dividend

Yield

    Expected Volatility     Risk-free Interest Rate    

Expected

Life

 
Hudson Bay Warrant; January 25, 2021     0.00 %     109.95 %     0.13 %     2.5 years  
Palladium Capital Warrant; January 25, 2021     0.00 %     109.95 %     0.13 %     2.5 years  
BHP Capital NY Warrant; January 28, 2021     0.00 %     110.00 %     0.12 %     2.5 years  
Hudson Bay Warrant; February 23, 2021     0.00 %     110.94 %     0.11 %     2.5 years  
Palladium Capital Warrant; February 23, 2021     0.00 %     110.94 %     0.11 %     2.5 years  
Hudson Bay Warrant; May 24, 2021     0.00 %     115.38 %     0.14 %     2.5 years  
Palladium Capital Warrant; May 24, 2021     0.00 %     115.38 %     0.14 %     2.5 years  
BHP Capital Warrant; June 4, 2021     0.00 %     117.11 %     0.16 %     2.5 years  
Hudson Bay Warrant; June 4, 2021     0.00 %     117.14 %     0.16 %     2.5 years  
Palladium Capital Warrant; June 4, 2021     0.00 %     117.14 %     0.16 %        

 

The warrants were valued using the Black-Scholes pricing model to calculate the June 30, 2021 fair value of the warrants with the following assumptions:

 

   

Dividend

Yield

    Expected Volatility     Risk-free Interest Rate    

Expected

Life

 
Hudson Bay Warrant; January 25, 2021     0.00 %     118.33 %     0.25 %     2.5 years  
Palladium Capital Warrant; January 25, 2021     0.00 %     118.33 %     0.25 %     2.5 years  
BHP Capital NY Warrant; January 28, 2021     0.00 %     118.33 %     0.25 %     2.5 years  
Hudson Bay Warrant; February 23, 2021     0.00 %     118.33 %     0.25 %     2.5 years  
Palladium Capital Warrant; February 23, 2021     0.00 %     118.33 %     0.25 %     2.5 years  
Hudson Bay Warrant; May 24, 2021     0.00 %     118.33 %     0.25 %     2.5 years  
Palladium Capital Warrant; May 24, 2021     0.00 %     118.33 %     0.25 %     2.5 years  
BHP Capital Warrant; June 4, 2021     0.00 %     118.33 %     0.25 %     2.5 years  
Hudson Bay Warrant; June 4, 2021     0.00 %     118.33 %     0.25 %     2.5 years  
Palladium Capital Warrant; June 4, 2021     0.00 %     118.33 %     0.25 %     2.5 years