|
Note 11 — Warrant Liability
For the three months ended March 31, 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 |
|
|
$ |
2.20 |
|
| Hudson Bay Warrant; February 23, 2021 |
|
|
18,568,188 |
|
|
$ |
3.722 |
|
| Palladium Capital Warrant; February 23, 2021 |
|
|
1,650,346 |
|
|
$ |
3.722 |
|
The warrants are subject to anti-dilution adjustments
outlined in the Agreement. The warrants were classified as a liability with an initial fair value of $96,495,977, of which $75,156,534
was immediately expensed and $19,720,000 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. As of March 31, 2021, the fair value
of the warrant liability was $58,235,566.
The warrants were valued using the Black-Scholes pricing
model to calculate the grant-date 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 |
% |
|
|
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 |
|
The warrants were valued using the Black-Scholes pricing
model to calculate the March 31, 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 |
% |
|
|
113.79 |
% |
|
|
0.16 |
% |
|
|
2.5 years |
|
| Palladium Capital Warrant; January 25, 2021 |
|
|
0.00 |
% |
|
|
113.79 |
% |
|
|
0.16 |
% |
|
|
2.5 years |
|
| BHP Capital NY Warrant; January 28, 2021 |
|
|
0.00 |
% |
|
|
113.79 |
% |
|
|
0.16 |
% |
|
|
2.5 years |
|
| Hudson Bay Warrant; February 23, 2021 |
|
|
0.00 |
% |
|
|
113.79 |
% |
|
|
0.16 |
% |
|
|
2.5 years |
|
| Palladium Capital Warrant; February 23, 2021 |
|
|
0.00 |
% |
|
|
113.79 |
% |
|
|
0.16 |
% |
|
|
2.5 years |
|
|