Annual report pursuant to Section 13 and 15(d)

Derivative Liabilities (Tables)

v3.24.1
Derivative Liabilities (Tables)
 12 Months Ended
Dec. 31, 2023
Derivative Liabilities [Abstract]  
Schedule of Changes in the Fair Value of Level 3 Derivative Liabilities The following table sets forth a summary of the changes in the fair value of Level 3 derivative liabilities (except the Public Special Purpose Acquisition Companies (“SPAC”) warrants as defined below, which are Level 1 derivative liabilities) that are measured at fair value on a recurring basis:
    For the Year Ended December 31, 2023  
    Warrants        
    Public     Private                 Alpha        
    SPAC     SPAC     PIPE     AGP     Capital     Total  
Balance as of January 1, 2023     $ 31,625     $ 1,256     $ 42,100     $ 400     $
-
     $ 75,381  
Change in fair value of derivative liabilities     (31,567 )     (1,256 )     (42,100 )     (400 )    
-
       (75,323 )
Balance as of December 31, 2023   $ 58     $
-
     $
-
     $
-
     $
-
     $ 58  
    For the Year Ended December 31, 2022  
    Warrants        
    Public     Private                 Alpha        
    SPAC     SPAC     PIPE     AGP     Capital     Total  
Balance as of January 1, 2022     $ 8,048,850     $ 467,325     $ 6,516,300     $ 144,331     $ 43,561     $ 15,220,367  
Change in fair value of derivative liabilities     (8,017,225 )     (466,069 )     (6,474,200 )     (143,931 )     (43,561 )     (15,144,986 )
Balance as of December 31, 2022   $ 31,625     $ 1,256     $ 42,100     $ 400     $
-
     $ 75,381  

 
Schedule of Black Scholes Option Pricing Models The fair value of the SPAC derivative liabilities as of December 31, 2023 and 2022 were estimated using the Black Scholes option pricing model, with the following assumptions used:
   

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 %  
    February 23,
2021		  
Risk-free interest rate     0.59 %
Expected term in years     5.00  
Expected volatility     85 %
Expected dividends     0 %
    March 12,
2021		  
Risk-free interest rate     0.68 %
Expected term in years     3.84  
Expected volatility     85 %
Expected dividends     0 %
    July 29,
2021		  
Risk-free interest rate     0.37 %
Expected term in years     3.00  
Expected volatility     85 %
Expected dividends     0 %

 
Schedule of Warrant Activity A summary of the warrant activity (including certain warrants granted in August 2021, July 2022, December 2022, April 2023, August 2023 and November 2023 as part of private offerings, all of which are equity-classified; see Note 10 - Stockholders’ (Deficit) Equity) during the years ended December 31, 2023 and 2022 is presented below:
    Number of
Warrants		     Weighted Average
Exercise Price		     Weighted Average
Remaining Life in
Years		     Intrinsic
Value		  
Outstanding, January 1, 2022     29,355     $ 3,442.24       4.1     $ -  
Issued     237,312       65.36       5.4          
Exercised     (85,837 )     0.0019      
-
          
Outstanding, December 31, 2022     180,832     $ 644.80       5.1       125,211  
    Issued     1,329,275       1.95       4.1       1,706,815  
    Exercised     (269,429 )     0.0019      
-
      
-
  
Outstanding, December 31, 2023     1,240,678     $ 83.98       5.1     $ 1,832,026  
                                 
Exercisable, December 31, 2023     29,355     $ 3,444.24       2.1      
-
  
Schedule of Outstanding and Exercisable Warrants A summary of outstanding and exercisable warrants as of December 31, 2023 is presented below:
Warrants Outstanding     Warrants Exercisable  
            Weighted        
            Average        
Exercise     Number of     Remaining     Number of  
Price     Shares     Life in Years     Shares  
$ 1,900.00       6,748       2.2       6,748  
$ 2,006.40       168       1.3       168  
$ 2,686.60       66       0.6       66  
$ 2,850.00       6,579       2.6       6,579  
$ 4,370.00       15,793       1.9       15,794  
$ 3.23       954,119 (1)    
-
      
-
  
$ 0.0019       257,205 (2)    
-
      
-
  
          1,240,678       2.1       29,355  
(1) Note that this number of shares is comprised of the July 2022, December 2022, April 2023, August 2023 and the Amendment to the August 2023 common warrants; as of December 31, 2023, none of these warrants were exercisable, as the meeting to obtain shareholder approval for these warrants did not occur until February 16, 2024. As such, they have not been included in the warrants exercisable calculations.
(2) Note that this number of shares is comprised of the Amendment to the August 2023 pre-funded warrants; as of December 31, 2023, none of these warrants were exercisable, as the meeting to obtain shareholder approval for these warrants did not occur until February 16, 2024. As such, they have not been included in the warrants exercisable calculations.