Annual report pursuant to Section 13 and 15(d)

Warrants and Derivative Liabilities (Tables)

v3.24.1
Warrants and Derivative Liabilities (Tables)
 12 Months Ended
Dec. 31, 2023
Warrants and Rights Note Disclosure [Abstract]  
Schedule of warrants vested and outstanding
Warrants vested and outstanding as of December 31, 2023 are summarized as follows:
Source Exercise
Price
Remaining Term
(Years)
 Number of
Warrants
Outstanding
2015 Common Stock Warrants 1,250.00  1.32 400 
2016 Common Stock Warrants to Service Providers 287.50  2.84 160 
2019 Common Stock Warrants 87.50  0.89 32,000 
2020 Common Stock Warrants to Placement Agent 20.00  1.58 32,668 
2021 Inducement Warrants 37.50  2.57 84,667 
2021 Inducement Warrants to Placement Agent 47.00  2.57 5,927 
2021 Common Stock Warrants 22.50  2.75 311,113 
2021 Common Stock Warrants to Placement Agent 27.50  2.75 21,778 
2022 Common Stock Warrants to Service Provider 10.00  0.25 8,000 
November 2019 EHT Common Stock Warrants* 72.25  0.92 34,213 
December 2019 EHT Common Stock Warrants* 37.75  1.00 3,783 
February 2020 EHT Common Stock Warrants* 37.25  1.11 80,694 
August 2023 Convertible Note Common Stock Warrants 5.16  9.64 340,000 
August 2023 PIPE Financing Common Stock Warrants 5.16  9.64 2,325,537 
Total warrants outstanding as of December 31, 2023 3,280,940 
*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 vested immediately and the fair value of $7,881,972 was determined using the Black-Scholes Merton option pricing model with the following assumptions:
August 18,
2023
Dividend yield 0.00  %
Volatility factor 87.88  %
Risk-free interest rate 4.26  %
Expected term (years) 10.00
Underlying common stock price $ 5.16 
The warrants vested immediately and the fair value of $1,144,886 was determined using the Black-Scholes Merton option pricing model with the following assumptions:
August 18,
2023
Dividend yield 0.00  %
Volatility factor 87.88  %
Risk-free interest rate 4.26  %
Expected term (years) 10
Underlying common stock price $ 5.16 
On the date of modification, the Company revalued the warrants with a Black-Scholes valuation method using the following assumptions as of the repricing date:
November 17, 2022
Dividend yield 0.00%
Volatility factor
97.53 - 115.96%
Risk-free interest rate
4.40 - 4.67%
Expected term (years)
0.96 - 2.12
Underlying common stock price $4.25
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 0.00  %
Volatility factor 118.46  %
Risk-free interest rate 1.92  %
Expected term (years) 1.27
Underlying common stock price $ 9.25 
The warrant liability is valued at the balance sheet dates using the following assumptions:
December, 31, 2022
Dividend yield —  %
Volatility factor 140.83  %
Risk-free interest rate 4.21  %
Expected term (years) 1.13
Underlying common stock price $ 4.00 
Schedule summary of the activity of derivative liabilities
The following table summarizes the activity of the derivative liability for the period indicated:
Year Ended December 31, 2022
December 31,
2021 , Fair Value of Derivative Liabilities		 Fair Value of Derivative Liabilities Issued
Change in
Fair value of
Liability
Reclassification of Derivatives to Equity
December 31,
2022, Fair Value of Derivative Liabilitiy
Emerald Financing - warrant liability 59,732  —  (59,729) —  3 
Total derivative liability $ 59,732  $ —  $ (59,729) $ —  $ 3