Quarterly report pursuant to Section 13 or 15(d)

Warrant Liability

v3.21.2
Warrant Liability
9 Months Ended
Sep. 30, 2021
Warrant Liability  
Warrant Liability

Note 11 — Warrant Liability

 

For the nine months ended September 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; June 4, 2021     20,270,406     $ 3.300  
Palladium Capital Warrant; June 4, 2021     115,800     $ 3.300  
Hudson Bay Warrant; July 22, 2021     32,697,548     $ 2.655  
Hudson Bay Series A Warrant; August 19, 2021     9,561,300     $ 2.655  
Hudson Bay Series B Warrant; August 19, 2021*     2,000,000     $ 2.655  
Palladium Capital Group Series A Warrant; August 19, 2021     1,640,000     $ 3.200  
Palladium Capital Group Series B Warrant; August 19, 2021*     160,000     $ 2.655  
Hudson Bay Series A Warrant; September 1, 2021**    

12,000,000

    $

9.000

 
Armistice Capital Series A Warrant; September 1, 2021**    

5,000,000

    $

9.000

 
CVI Investments Series A Warrant; September 1, 2021**     3,000,000     $ 9.000  
Hudson Bay Series B Warrant; September 1, 2021*     2,000,000     $ 9.000  
Palladium Capital Group Series A Warrant; September 1, 2021     1,600,000     $ 2.655  
Palladium Capital Group Series B Warrant; September 1, 2021*     160,000     $ 9.000  
Palladium Capital Group Warrant; July 22, 2021     2,615,804     $ 2.655  
BHP Capital Warrant; July 23, 2021     1,007,194     $ 2.780  

 

* The Series B Warrant has effective exercise price of $0.00 as alternative cashless feature allowing for issuance of shares of common stock at 1:1 ratio of warrant shares.
** On September 8, 2021 and September 14, 2021, Hudson Bay sold 5,000,000 and 3,000,000 of their September 1, 2021 Series A Warrants warrant shares to Armistice Capital Master Fund Ltd. And CVI Investments, Inc., respectively.

 

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. The warrants issued in the third quarter were classified as a liability with an initial fair value of $290,166,663, of which $206,948,147 was immediately expensed and $83,218,516 was recorded as a deferred debt discount. 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 nine months ended September 30, 2021 was a loss of $287,117,556 and $287,891,003 respectively. As of September 30, 2021, the fair value of the warrant liability was $468,612,700.

 

The warrants were valued using the Monte-Carlo simulation pricing model to calculate the September 30, 2021 fair value of the warrants with the following assumptions:

 

   

Dividend

Yield

    Expected Volatility     Risk-free Interest Rate    

Expected

Life

 
Hudson Bay Warrant; June 4, 2021     0.00 %     131.75 %     0.28 %     2.5 years  
Palladium Capital Warrant; June 4, 2021     0.00 %     131.75 %     0.28 %     2.5 years  
Hudson Bay Warrant; July 22, 2021     0.00 %     131.75 %     0.28 %     2.5 years  
Hudson Bay Series A Warrant; August 19, 2021     0.00 %     131.75 %     0.28 %     2.5 years  
Hudson Bay Series B Warrant; August 19, 2021     0.00 %     131.75 %     0.28 %     2.5 years  
Palladium Capital Group Series A Warrant; August 19, 2021     0.00 %     131.75 %     0.28 %     2.5 years  
Palladium Capital Group Series B Warrant; August 19, 2021     0.00 %     131.75 %     0.28 %     2.5 years  
Hudson Bay Series A Warrant; September 1, 2021     0.00 %     131.75 %     0.28 %     2.5 years  
Hudson Bay Series B Warrant; September 1, 2021     0.00 %     131.75 %     0.28 %     2.5 years  
Palladium Capital Group Series A Warrant; September 1, 2021     0.00 %    

131.75

%    

0.28

%    

2.5 years

 
Palladium Capital Group Series B Warrant; September 1, 2021     0.00 %    

131.75

%    

0.28

%    

2.5 years

 
Palladium Capital Group Warrant; July 22, 2021     0.00 %     131.75 %     0.28 %     2.5 years  
BHP Capital Warrant; July 23, 2021    

0.00

%    

131.75

%    

0.28

%     2.5 years