Annual report pursuant to Section 13 and 15(d)

Warrants and Derivative Liabilities (Tables)

v3.23.1
Warrants and Derivative Liabilities (Tables)
 12 Months Ended
Dec. 31, 2022
Warrants and Rights Note Disclosure [Abstract]  
Schedule of warrants vested and outstanding
Warrants vested and outstanding as of December 31, 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 0.02  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 
November 2019 EHT Common Stock Warrants* 0.29  5 8,552,630 
December 2019 EHT Common Stock Warrants* 0.02  5 9,141,486 
December 2019 EHT Common Stock Warrants* 0.15  5 945,750 
February 2020 EHT Common Stock Warrants* 0.15  5 20,172,409 
June 2020 EHT Common Stock Warrants* 0.10  3 22,135,132 
Total warrants outstanding as of December 31, 2022 197,134,632 
*Replacement warrants issued on November 10, 2022 in conjunction with the Acquisition (see Note 3).
Schedule of input and valuation technique used to value warrant liabilities The assumptions to value these options were as follows (see Note 8):
November 10, 2022
Dividend yield 0.00%
Volatility
76.61 - 126.45%
Risk-free interest rate
3.51 - 4.56%
Expected term (years)
0.02 - 4.83
The assumptions used to value these warrants are as follows:
November 10, 2022
Dividend yield 0.00%
Volatility
102.9-114.6%
Risk-free interest rate
4.29-4.53%
Expected term (years)
0.56-2.27
The warrants were vested at issuance and were valued utilizing the Black-Scholes Merton option pricing model with the following assumptions:
Common Stock
 Warrants		 Placement Agent
 Warrants
Dividend yield —  % —  %
Volatility factor 137.87  % 137.87  %
Risk-free interest rate 0.73  % 0.73  %
Expected term (years) 5.0 5.0
Underlying common stock price $ 0.15  $ 0.15 
The warrants vested immediately and were valued utilizing the Black-Scholes Merton option pricing model with the following assumptions:
Common Stock
Warrants		 Pre-funded
Warrants		 Placement Agent
Warrants
Dividend yield —  % —  % —  %
Volatility factor 136.02  % 135.06  % 136.02  %
Risk-free interest rate 1.01  % 1.55  % 1.01  %
Expected term (years) 5.0 10.0 5.00
Underlying common stock price $ 0.09  $ 0.09  $ 0.09 
The warrant liability is valued at the balance sheet dates using the following assumptions:
As of December 31,
2022 2021
Dividend yield —  % —  %
Volatility factor 140.83  % 126.50  %
Risk-free interest rate 4.21  % 0.43  %
Expected term (years) 0.13 1.13
Underlying common stock price $ 0.02  $ 0.05 
Schedule summary of the activity of derivative liabilities
The following tables summarize the activity of derivative liability for the periods indicated:
Year Ended December 31, 2022
December 31,
2021, Fair
Value of
Derivative Liability		 Fair
Value of
Derivative Liability Issued		 Change in
Fair value of
Liability		 Reclassification
of Derivative
to Equity		 December 31,
2022, Fair
Value of
Derivative Liability
Emerald Financing - warrant liability
59,732  —  (59,729) —  3 
Total derivative liability $ 59,732  $ —  $ (59,729) $ —  $ 3 
Year Ended December 31, 2021
December 31,
2020 , Fair Value of Derivative Liabilities		 Fair Value of Derivative Liabilities Issued Change in
Fair value of
Liabilities
Reclassification of Derivatives to Equity
December 31,
2021, Fair Value of Derivative Liabilities
Emerald Financing - warrant liability 38,567  —  21,165  —  59,732 
Total derivative liability $ 38,567  $ —  $ 21,165  $ —  $ 59,732