Quarterly report pursuant to Section 13 or 15(d)

Derivative Liabilities

v3.24.3
Derivative Liabilities
 9 Months Ended
Sep. 30, 2024
Derivative Liabilities [Abstract]  
DERIVATIVE LIABILITIES

NOTE 7 - DERIVATIVE LIABILITIES

 

The following table sets forth a summary of the changes in the fair value of derivative liabilities. 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  
Change in fair value of derivative liabilities     (249 )    
-
      
-
      
-
       (249 )
Balance as of June 30, 2024    
-
      
-
      
-
      
-
      
-
  
Change in fair value of derivative liabilities    
-
      
-
      
-
      
-
      
-
  
Balance as of September 30, 2024   $
-
     $
-
     $
-
     $
-
     $
-
  

 

(1) There are 15,132 shares underlying the Public SPAC warrants, 662 shares underlying the Private SPAC warrants, 6,748 shares underlying the PIPE warrants and 168 shares underlying the Other warrants outstanding as of September 30, 2024.

 

The fair value of the derivative liabilities as of September 30, 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:

 

    September 30,
2024
Risk-free interest rate   4.63% - 5.50%
Expected term in years   0.34 – 1.90
Expected volatility   90.0% - 130.0%
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%