Warrant Liabilities

3 Months Ended

Mar. 31, 2024

Warrants and Rights Note Disclosure [Abstract]

On August 11, 2022, warrants to purchase 279,851 shares of common stock were issued with an exercise price of $26.80 per share (the "Notes Warrants") in conjunction with a notes and warrants offering (the "Notes and Warrants Offering"), at an initial fair value of $3.8 million. The related senior secured convertible notes (the "Notes") were retired at maturity at December 31, 2023. The exercise price and number of shares of Notes Warrants were immediately proportionately repriced pursuant to the Reverse Stock Split, and on May 2, 2024, due to the Reverse Stock Split the warrant exercise price for each of the Notes Warrants was further adjusted to $2.06 in accordance with their terms.

Additional warrants to purchase 141,509 shares of common stock were issued on August 12, 2022 with an exercise price of $21.20 per share (the "Additional Warrants") in conjunction with a registered direct offering for the sale of shares of the Company's common stock and the Additional Warrants ("Stock and Additional Warrants Offering"). The Additional Warrants do not reprice further beyond the immediate proportionate adjustments to the per share exercise price and number of shares issuable that occurred upon and as a result of the Reverse Stock Split.

All changes in the fair value of the Notes Warrant and Additional Warrants liabilities are recognized in the Company's consolidated statements of operations until they are either exercised or expire. Since issuance of the Notes Warrants and Additional Warrants, there have been no warrant exercises. The Notes Warrants and Additional Warrants are not traded in an active securities market and, as such, the estimated fair value is determined by using a Black-Scholes option pricing model which considers the likelihood of repricing adjustments and utilizes assumptions noted in the following table. The risk-free interest rate is based on the U.S. Treasury yield curve in effect at the time of grant. Expected volatility is based on the historical volatility over the expected term of the warrants. The Company has no reason to believe future volatility over the expected remaining life of the Notes Warrants and Additional Warrants is likely to differ materially from historical

volatility. Expected life is based on the contractual term of the applicable warrants. Below are the specific assumptions utilized:


Notes Warrants	March 31, 2024			December 31, 2023
Common stock market price	$	2.72		$	6.64
Risk-free interest rate	4.29		%	4.10		%
Expected dividend yield	—			—
Expected term (in years)	3.36			3.61
Expected volatility	74.1		%	66.8		%


Additional Warrants	March 31, 2024			December 31, 2023
Common stock market price	$	2.72		$	6.64
Risk-free interest rate	4.29		%	4.10		%
Expected dividend yield	—			—
Expected term (in years)	3.87			4.12
Expected volatility	71.5		%	68.7		%