Quarterly report pursuant to Section 13 or 15(d)

Warrant Liability (Tables)

v3.23.1
Warrant Liability (Tables)
 3 Months Ended
Mar. 31, 2023
Warrant Liability Abstract  
Schedule of valuation of the warrants contained unobservable inputs
Tranche A Warrant   At
March 3,
2023		     At
March 31,
2023		  
Fair value of underlying stock   $ 0.49     $ 2.10  
Volatility     90.2% – 94.6%       109.5% – 128.2%  
Risk free rate     4.7% – 5.0%       4.1% – 4.5%  
Dividend yield     0 %     0 %
Term (in years)     1.3 – 2.3       1.3 – 2.3  
Discount for lack of marketability     20 %     25 %
Probability for shareholder approval     45 %     45 %
Probability for FDA approval     16.0% – 31.9%       16.0% – 31.9%  

 

Tranche B Warrant   At
March 3,
2023		     At
March 31,
2023		  
Fair value of underlying stock   $ 0.49     $ 2.10  
Volatility     93.7% – 95.8%       108.5% – 110.0%  
Risk free rate     4.6% – 4.9%       3.9% – 4.3%  
Dividend yield     0 %     0 %
Term (in years)     1.8 – 2.8       1.8 – 2.8  
Discount for lack of marketability     20 %     25 %
Probability for shareholder approval     45 %     45 %
Probability for TDAPA approval     0% – 20.0%       0% – 20.0%  

 

Tranche C Warrant   At
March 3,
2023		     At
March 31,
2023		  
Fair value of underlying stock   $ 0.49     $ 2.10  
Volatility     97.1% – 103.9%       103.6% – 109.8%  
Risk free rate     4.5% – 4.6%       3.7% – 3.9%  
Dividend yield     0 %     0 %
Term (in years)     2.8 – 3.8       2.8 – 3.8  
Discount for lack of marketability     20 %     25 %
Probability for shareholder approval     45 %     45 %
Probability for commercialization     2.7% – 9.1%       2.7% – 9.1%  

 
Schedule of contingently issuable preferred stock warrants
                Weighted-        
    Number of           Average        
    Shares     Weighted-     Remaining     Aggregate  
    Underlying     Average     Contractual     Intrinsic  
    Outstanding     Exercise     Term     Value  
    Warrants     Price     (in Years)     (in thousands)  
Outstanding, December 31, 2022     -       -       -       -  
Warrants contingently issuable     157,000,888       0.64       2.10       229,069  
Warrants exercised     -       -       -       -  
Outstanding, March 31, 2023     157,000,888       0.64       2.10       229,069