Quarterly report pursuant to Section 13 or 15(d)

DERIVATIVE LIABILITIES (Tables)

v3.24.3
DERIVATIVE LIABILITIES (Tables)
 9 Months Ended
Sep. 30, 2024
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 nine months ended September 30, 2024.
Total Derivative Liabilities (1)
Balance as of January 1, 2024 $ 2,638 
Derivative warrants issued (2)
6,765 
Fair value changes (2,840)
Balance as of September 30, 2024 $ 6,563 
(1)Refer to Note 10 - Equity for the change in number of warrants during the nine months ended September 30, 2024.
(2)Represents the fair value of 19,400,000 derivative warrants issued in connection with the Term Loans in July 2024. Refer to Note 8 - Debt for more information.
Schedule of 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:
July 2024 (New Issuances) (unaudited) September 30, 2024 (unaudited) December 31, 2023
Stock price $0.57 $0.53 $0.46
Risk-free annual interest rate 3.97%
3.58% - 4.77%
4.01% - 4.79%
Range of estimated possible exercise price $1.00
$1.00 - $2.086
$1.00 - $2.086
Weighted average volatility 88% 91% 101%
Remaining life 5 years
0.23 - 4.84 years
1.00 - 2.90 years
Forfeiture rate
 0% 0% 0%
Expected annual dividend yield 0% 0% 0%
For example, the following table illustrates an increase or decrease in certain significant assumptions as of the balance sheet dates:
As of September 30, 2024 As of December 31, 2023
(unaudited)
Input Effect of 10% Increase Effect of 10% Decrease Input Effect of 10% Increase Effect of 10% Decrease
Stock price $ 0.53 $ 973  $ (910) $ 0.46 $ 637  $ (574)
Volatility 91  % 745  (772) 101  % 680  (643)