The table below summarizes the valuation inputs into the MCS model for the derivative liability associated with the Unsecured Convertible Note and the Additional Note on their respective dates of issuance as of March 8, 2019 and January 10, 2020, respectively. | | | | | | | | | | | | | | Derivative Liability | | | January 10, | March 8, | | | 2020 | 2019 | |
| Discount rate | | 21.6% | 29.3% | | Expected stock price volatility | | 103.9% | 101.1% | | Risk-free interest rate | | 1.6% | 2.5% | | Expected term | | 2 years | 2 years | | Price of the underlying common stock | | $0.65 | $1.99 |
The table below summarizes the range of valuation inputs into the Black-Scholes model for the Exchange Warrants on their date of issuance and immediately prior to the exchange.
| | | | | | | | | | Exchange Warrants | | May 1, 2019 | January 6, 2020 | | Conversion price | $2.13 - $2.53 | $2.13 | | Expected stock price volatility | 84.1% | 87.3% | | Risk-free interest rate | 2.2% | 1.7% | | Expected term | 5 - 5.5 years | 4.9 years | | Price of the underlying common stock | $1.54 | $0.58 |
The table below summarizes the range of valuation inputs into the Black-Scholes model for the warrant liabilities as of February 11, 2020, immediately prior to the reduction in exercise price pursuant to the Offer to Amend and Exercise. | | | | | | | | | | Short-Term Warrants | Long-Term Warrants | | February 11, 2020 | | Conversion price | $ | 4.00 | | $2.13 - $2.56 | | Expected stock price volatility | 97.1 | % | 87.9% - 89.2% | | Risk-free interest rate | 1.6 | % | 1.7 | % | | Expected term | 7 months | 4 years 2 months | | Price of the underlying common stock | $ | 0.79 | | $ | 0.79 | |
| | | | | | | May 4, 2020 | | Conversion price | $ | 0.5894 | | | Expected stock price volatility | 73.7 | % | | Risk-free interest rate | 0.4 | % | | Expected term | 5 years | | Price of the underlying common stock | $ | 0.50 | |
|