Quarterly report pursuant to Section 13 or 15(d)

Derivative Liabilities (Tables)

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Derivative Liabilities (Tables)
 3 Months Ended
Mar. 31, 2024
Derivative Liabilities [Abstract]  
Schedule of Measured at Fair Value on a Recurring Basis These include warrants sold in a private placement in connection with the Company’s initial public offering (the “Private SPAC”), warrants sold in a private offering on February 23, 2023 (the “PIPE”), and certain other warrants (“Other Warrants”) which are classified as Level 3 derivative liabilities, and warrants sold publicly in our initial public offering (“Public SPAC ”), which are classified as Level 1 derivative liabilities in the following table and are measured at fair value on a recurring basis:
    Warrants(1)        
    Public     Private                    
    SPAC     SPAC     PIPE     Other     Total  
Balance as of January 1, 2024   $ 58     $
    -
     $
    -
     $
    -
     $ 58  
Change in fair value of derivative liabilities     191      
-
      
-
      
-
       191  
Balance as of March 31, 2024   $ 249     $
-
     $
-
     $
-
     $ 249  
(1) There are 15,132 Public SPAC warrants, 662 Private SPAC warrants, 6,748 PIPE warrants and 234 Other warrants outstanding as of March 31, 2024; all but the Public SPAC warrants are valued at zero as of the current period end.

 
Schedule of Assumptions Used to Determine the Values of Level 3 Derivative Liabilities The fair value of the derivative liabilities as of March 31, 2024 and December 31, 2023 was estimated using the Black Scholes option pricing model, with the following assumptions used to determine the values of Level 3 derivative liabilities:
    March 31,
2024		  
Risk-free interest rate     4.63% - 5.40 %
Expected term in years     0.34 – 1.90  
Expected volatility     100.0% - 120.0 %
Expected dividends     0 %
    December 31,
2023		  
Risk-free interest rate     3.71% - 5.50 %
Expected term in years     0.59 – 2.90  
Expected volatility     100.0% - 110.0 %
Expected dividends     0 %