Quarterly report pursuant to Section 13 or 15(d)

Warrant Liability (Tables)

v3.23.2
Warrant Liability (Tables)
 6 Months Ended
Jun. 30, 2023
Warrant Liability [Abstract]  
Schedule of Valuation of the Warrants Contained Unobservable Inputs

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 derivative liability associated with the three tranches of warrants at June 30, 2023.

Tranche A Warrant   At
June 30,
2023		  
Fair value of underlying stock   $ 1.28  
Exercise price   $ 0.54  
Volatility     105.7% – 122.3 %
Risk free rate     4.9% – 5.2 %
Dividend yield     0 %
Term (in years)     1.5 – 2.0  
Discount for lack of marketability     15 %
Probability for FDA approval     8.8% – 22.7 %

 

Tranche B Warrant   At
June 30,
2023		  
Fair value of underlying stock   $ 1.28  
Exercise price   $ 0.59  
Volatility     105.7% – 111.1 %
Risk free rate     4.7% – 5.2 %
Dividend yield     0 %
Term (in years)     1.5 – 2.5  
Discount for lack of marketability     15 %
Probability for TDAPA approval     0.0% – 10.0 %
Tranche C Warrant   At
June 30,
2023		  
Fair value of underlying stock   $ 1.28  
Exercise price   $ 0.74  
Volatility     100.8% – 106.9 %
Risk free rate     4.4% – 4.7 %
Dividend yield     0 %
Term (in years)     2.5 – 3.5  
Discount for lack of marketability     15 %
Probability for commercialization     0.0% – 9.1 %
Schedule of Contingently Issuable Preferred Stock Warrants The following table summarizes activity for the Company’s preferred stock warrants for the six months ended June 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 issuable     160,958,167       0.64       2.10       229,069  
Warrants exercised    
-
      
-
      
-
      
-
  
Outstanding, June 30, 2023     160,958,167       0.64       2.85       102,857