Quarterly report pursuant to Section 13 or 15(d)

Warrant Liability (Tables)

v3.24.3
Warrant Liability (Tables)
 9 Months Ended
Sep. 30, 2024
Warrant Liability [Abstract]  
Schedule of Valuation Inputs into the Black Scholes Model for the Liability The Company uses a third-party valuation expert to assist in the determination of the fair value of the Warrants. The tables below summarize the valuation inputs into the Black Scholes model for the liability associated with the three tranches of Warrants at December 31, 2023 and September 30, 2024.
Tranche A Warrant   At
December 31,
2023		     At
September 30,
2024		  
Fair value of underlying stock   $ 0.87     $ 0.41  
Exercise price   $ 0.54     $ 0.54  
Volatility     96.5% – 139.2 %     107.7% - 129.2 %
Risk free rate     4.6% – 5.3 %     3.8% – 4.1 %
Dividend yield     0 %     0 %
Term (in years)     0.5 – 1.5       0.7 – 1.7  
Discount for lack of marketability     12.5 %     7.5 %
Probability for FDA approval     29.3 %     36.55 – 38.50 %
Tranche B Warrant   At
December 31,
2023		     At
September 30,
2024		  
Fair value of underlying stock   $ 0.87     $ 0.41  
Exercise price   $ 0.59     $ 0.59  
Volatility     114.6% - 139.2 %     109.8% – 129.2 %
Risk free rate     4.4% – 4.8 %     3.7% – 3.8 %
Dividend yield     0 %     0 %
Term (in years)     1.0 – 2.0       1.3 – 2.3  
Discount for lack of marketability     12.5 %     7.5 %
Probability for FDA approval     12.0 %     11.0 %

 

Tranche C Warrant   At
December 31,
2023		     At
September 30,
2024		  
Fair value of underlying stock   $ 0.87     $ 0.41  
Exercise price   $ 0.74     $ 0.74  
Volatility     107.8% - 114.6 %     116.1% - 129.2 %
Risk free rate     4.0%- 4.4 %     3.6% – 3.8 %
Dividend yield     0 %     0 %
Term (in years)     2.0 - 3.0       1.7 – 2.7  
Discount for lack of marketability     12.5 %     7.5 %
Probability for FDA approval     4.3 % - 12.5 %     0.01%-27.46 %
Schedule of Issuable Preferred Stock Warrants The following table summarizes activity for the Company’s preferred stock warrants for the nine months ended September 30, 2024:
                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, 2023     160,958,167     $ 0.64       2.34     $ 36,864  
Warrants contingently issuable    
-
      
-
      
-
      
-
  
Warrants exercised    
-
      
-
      
-
      
-
  
Outstanding, September 30, 2024     160,958,167     $ 0.64       2.37     $
-