Quarterly report pursuant to Section 13 or 15(d)

Warrant Liability (Tables)

v3.23.3
Warrant Liability (Tables)
 9 Months Ended
Sep. 30, 2023
Warrant Liability [Abstract]  
Schedule of Valuation Inputs into the Black Scholes Model for the Derivative Liability The tables below summarize the valuation inputs into the Black Scholes model for the derivative liability associated with the three tranches of Warrants at September 30, 2023.
Tranche A Warrant   At
September 30,
2023		  
Fair value of underlying stock   $ 0.86  
Exercise price   $ 0.54  
Volatility     113.5% – 149.2 %
Risk free rate     5.2% – 5.5 %
Dividend yield     0 %
Term (in years)     0.7 – 1.7  
Discount for lack of marketability     12.5 %
Probability for FDA approval     23.33 %
Tranche B Warrant   At
September 30,
2023		  
Fair value of underlying stock   $ 0.86  
Exercise price   $ 0.59  
Volatility     108.3% – 120.5 %
Risk free rate     5.0% – 5.4 %
Dividend yield     0 %
Term (in years)     1.3 – 2.3  
Discount for lack of marketability     12.5 %
Probability for TDAPA approval     0.01% – 12.0 %
Tranche C Warrant   At
September 30,
2023		  
Fair value of underlying stock   $ 0.86  
Exercise price   $ 0.74  
Volatility     104.6% – 105.4 %
Risk free rate     4.8% – 5.0 %
Dividend yield     0 %
Term (in years)     2.3 – 3.3  
Discount for lack of marketability     12.5 %
Probability for commercialization     0.1% – 12.5 %
Schedule of Preferred Stock Warrants The following table summarizes activity for the Company’s preferred stock warrants for the nine months ended September 30, 2023 (includes the conversion effect in the liquidation preference of accrued dividends):
                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 issued     160,958,167       0.64       2.10       229,069  
Warrants exercised    
-
      
-
      
-
      
-
  
Outstanding, September 30, 2023     160,958,167       0.64       2.59       35,254