Quarterly report pursuant to Section 13 or 15(d)

DERIVATIVE LIABILITIES (Tables)

v3.23.1
DERIVATIVE LIABILITIES (Tables)
 3 Months Ended
Mar. 31, 2023
Derivative Instruments and Hedging Activities Disclosure [Abstract]  
Schedule of Derivative Liabilities at Fair Value
The following table summarizes the change in the Company’s derivative liabilities for the three months ended March 31, 2023.
Total Derivative Liabilities (1)
Carrying amounts as of January 1, 2023 $ 14,134 
Fair value changes (8,030)
Carrying amounts as of March 31, 2023 $ 6,104 
(1)Refer to Note 10 - Equity for the change in number of warrants during the three months ended March 31, 2023.
Fair Value Measurement Inputs and Valuation Techniques The assumptions used in the fair value calculations as of the balance sheet dates presented include the following:
March 31, 2023 (unaudited) December 31, 2022
Stock price $0.52 $0.76
Risk-free annual interest rate
3.63% - 4.22%
3.99% - 4.11%
Range of estimated possible exercise price
$1.25 - $2.086
$1.25 - $2.086
Volatility 79% 79%
Remaining life
1.73 years - 3.69 years
1.98 years - 3.96 years
Forfeiture rate 0% 0%
Expected annual dividend yield 0% 0%
For example, the following table illustrates an increase or decrease in certain significant assumptions as of the balance sheet dates:
As of March 31, 2023 As of December 31, 2022
(unaudited)
Input Effect of 10% Increase Effect of 10% Decrease Input Effect of 10% Increase Effect of 10% Decrease
Stock price $ 0.52 $ 1,407  $ (1,051) $ 0.76 $ 2,529  $ (2,396)
Volatility 79  % $ 1,511  $ (1,220) 79  % $ 2,070  $ (2,121)