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SEC Filings


10-Q
FIBROCELL SCIENCE, INC. filed this Form 10-Q on 08/09/2018
Entire Document
 
Fibrocell Science, Inc.
Notes to Condensed Consolidated Financial Statements
(unaudited)

Note 4. Convertible Notes (continued)


The estimated fair value of the compound bifurcated derivative is determined to represent a Level 3 instrument. Significant inputs and assumptions used in the binomial lattice model for the derivative liability are as follows:
($ in thousands except per share data)
June 30, 2018
 
December 31, 2017
Calculated aggregate value
$
2,957

 
$
3,136

Closing price per share of common stock
$
2.71

 
$
3.20

Contractual remaining term
8 years, 2 months

 
8 years, 8 months

Contractual interest rate
4.0
%
 
4.0
%
Volume-weighted average conversion rate
$
17.04667

 
$
17.04667

Risk-free interest rate (term structure)
1.77% - 2.85%

 
1.28% - 2.40%

Dividend yield

 

Credit Rating
CC

 
CC

Credit Spread
28.89
%
 
36.98
%
Volatility
94.4
%
 
99.0
%

The foregoing compound bifurcated derivative was recorded at its estimated fair value at the date of issuance, with subsequent changes in estimated fair value recorded in derivative revaluation income in the Company’s Condensed Consolidated Statements of Operations.  The change in estimated fair value of the Company's derivative liability for the three months ended June 30, 2018 and June 30, 2017 resulted in non-cash income of approximately $0.2 million and $0.9 million, respectively, and for the six months ended June 30, 2018 and June 30, 2017 the change in estimated fair value of the Company’s derivative liability resulted in non-cash income of approximately $0.2 million and $0.5 million respectively.
Note 5. Warrants

The Company accounts for common stock warrants as either equity instruments, derivative liabilities or liabilities depending on the specific terms of the warrant agreement. See Note 3 for further details on accounting policies related to the Company’s convertible instruments, including common stock warrants.

In connection with various financing transactions, the Company has issued warrants to purchase the Company’s common stock. In May 2018 in connection with a private placement (the May 2018 Private Placement), the Company issued warrants to purchase 1,528,668 shares of its common stock. Each common stock purchase warrant has an exercise price of $2.86 per share, was exercisable upon the date of the issuance and expires five and one-half years from the date of the issuance. The Company also issued unregistered warrants to purchase up to an aggregate of 142,676 shares of our common stock to the designees of H.C. Wainwright & Co., LLC (Wainwright), as partial compensation for placement agent services by Wainwright in connection with our registered direct public offering in May 2018 (the May 2018 Registered Direct Public Offering), and the May 2018 Private Placement. Such unregistered warrants have an initial exercise price of $3.679 per share are immediately exercisable and expire on May 30, 2023.

In December 2017, the Company issued (i) pre-funded warrants to purchase an aggregate of 1,184,442 shares of the Company’s common stock and (ii) common stock purchase warrants to purchase up to an aggregate of 2,809,404 shares of the Company’s common stock including warrants to purchase up to 82,118 shares, issued pursuant to the partial exercise of the underwriters option to purchase additional common stock purchase warrants (the December 2017 Offering). Each pre-funded warrant was sold together with a common stock purchase warrant to purchase one share of the Company’s common stock at a combined effective price of $3.85 per share and accompanying warrant. Each common stock purchase warrant has an exercise price of $3.85 per share, was exercisable upon the date of issuance and expires five years from the date of issuance. As additional compensation, the Company issued warrants to the underwriter to purchase 87,274 shares of the Company’s common stock. Each such warrant has an exercise price of $4.8125 per share, and was exercisable as of the date of the underwriting agreement, and will expire five years after the date of the underwriting agreement.


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