Quarterly report pursuant to Section 13 or 15(d)

Warrants and Derivative Liabilities (Tables)

v3.22.2.2
Warrants and Derivative Liabilities (Tables)
 9 Months Ended
Sep. 30, 2022
Warrants and Rights Note Disclosure [Abstract]  
Schedule of warrants vested and outstanding The chart below summarizes the details of these warrants:
EHT Warrants EHT Exercise
Price (CAD)		 Number of
EHT Warrants
Outstanding		 Adjusted Exercise
Price (USD)		  Term
(Years)		 Number of
SKYE Warrants
Issued and Outstanding
November 2019 $ 0.75  4,385,965  $ 0.28  5 8,552,630 
December 2019 $ 0.385  5,172,942  $ 0.14  5 10,087,236 
February 2020 $ 0.385  7,596,551  $ 0.14  5 14,813,272 
February 2020 $ 0.385  2,748,276  $ 0.14  5 5,359,137 
June 2020 $ 0.27  11,351,351  $ 0.10  5 22,135,132 
31,255,085  60,947,407 
Warrants vested and outstanding as of September 30, 2022 are summarized as follows:
Source Exercise
Price		 Term
(Years)		 Number of
Warrants
Outstanding
Pre 2015 Common Stock Warrants $ 1.00  10 1,110,000 
2015 Common Stock Warrants 5.00  10 100,000 
2016 Common Stock Warrants to Service Providers 1.15  10 40,000 
2018 Emerald Financing Warrants 0.10  5 3,400,000 
Emerald Multi-Draw Credit Agreement Warrants 0.50  5 7,500,000 
2019 Common Stock Warrants 0.35  5 8,000,000 
2020 Common Stock Warrants to Placement Agent 0.08  5 8,166,667 
2021 Inducement Warrants 0.15  5 21,166,667 
2021 Inducement Warrants to Placement Agent 0.19  5 1,481,667 
2021 Common Stock Warrants 0.09  5 77,777,779 
2021 Common Stock Warrants to Placement Agent 0.11  5 5,444,445 
2022 Common Stock Warrants to Service Provider 0.04  2 2,000,000 
Total warrants outstanding as of September 30, 2022 136,187,225 
Schedule of input and valuation technique used to value warrant liabilities
The assumptions used to value these warrants are as follows:
September 30, 2022
Dividend yield 0.00%
Volatility
100.6 - 120.4%
Risk-free interest rate
3.96 - 4.23%
Expected term (years)
0.67 - 2.38
The assumptions to value these options are as follows:
September 30, 2022
Dividend yield 0.00%
Volatility
89.45 - 126.82%
Risk-free interest rate
2.79 - 4.25%
Expected term (years)
0.06 - 4.94
As of the date of grant, the Company valued the warrants with a Black-Scholes valuation method using the following assumptions:
April 1, 2022 Date of Issuance
Dividend yield —  %
Volatility factor 118.5  %
Risk-free interest rate 1.92  %
Expected term (years) 1.27
Underlying common stock price $ 0.04 
The warrant liability is valued at the balance sheet dates using the following assumptions:
September 30,
2022		 December 31,
2021
Dividend yield —  % —  %
Volatility factor 93.3  % 126.5  %
Risk-free interest rate 2.79  % 0.43  %
Expected term (years) 0.38 1.13
Underlying common stock price $ 0.03  $ 0.05 
Schedule of the activity of derivative liabilities
The following tables summarize the activity of the derivative liability for the periods indicated:
Nine Months Ended September 30, 2022
December 31, 2021
Fair
Value of Derivative Liability
 Fair
Value of
Derivative
Liability		 Change in
Fair Value of Derivative
Liability		 Reclassification
of Derivative
to Equity
September 30, 2022
Fair
Value of Derivative Liability
Emerald Financing - warrant liability $ 59,732  $ —  $ (59,406) $ —  $ 326 
Current balance of derivative liability $ 59,732  $ —  $ (59,406) $ —  $ 326 
Nine Months Ended September 30, 2021
December 31, 2020
Fair
Value of Derivative Liability
 Fair
Value of
Derivative
Liability		 Change in
Fair Value of Derivative
Liability		 Reclassification
of Derivative
to Equity
September 30, 2021
Fair
Value of Derivative Liability
Emerald Financing - warrant liability $ 38,567  $ —  $ 169,349  $ —  $ 207,916 
Total derivative liability $ 38,567  $ —  $ 169,349  $ —  $ 207,916