Derivative Liabilities (Tables)
|
9 Months Ended |
12 Months Ended |
Sep. 30, 2024 |
Dec. 31, 2023 |
| Share-Based Compensation Arrangement by Share-Based Payment Award [Line Items] |
|
|
| Schedule of Monte Carlo Simulation Assumption |
The
key inputs for the Monte Carlo simulation as of September 30, 2024, were as follows:
Schedule of Monte Carlo Simulation Assumption
| Net cash settlement and down round key valuation inputs – warrants* | |
September 30, 2024 | |
| Annualized volatility | |
| 92.04% - 101.79% | |
| Risk-free interest rate | |
| 3.64% - 4.93% | |
| Quoted VWAP | |
$ | 1.31 | |
| Exercise price | |
$ | 1.93 | |
| Probability assessment | |
| 0% - 40% | |
| Illiquidity discount | |
| (14 | %) |
| Time period (years) | |
| 0.08 - 2.28 | |
| * | | Based
on a Monte Carlo simulation analysis of 250,000 iterations |
|
The
range of key inputs for the Monte Carlo simulation for the year ended December 31, 2023, were as follows:
Schedule of Monte Carlo Simulation Assumption
| Net cash settlement and down round key valuation inputs – Alto Warrants* | |
| |
| Annualized volatility | |
| 77.51% - 92.33 | % |
| Risk-free interest rate | |
| 4.01% - 5.23 | % |
| Quoted VWAP* | |
$ | 4.72 | |
| Exercise price | |
$ | 18.80 | |
| Probability assessment | |
| 5% - 25 | % |
| Illiquidity discount | |
| (17 | )% |
| Time period (years) | |
| 0.53 - 3.03 | |
| Estimated fair value (issuance) | |
$ | 1,189,000 | |
| Estimated fair value (December 31, 2023) | |
$ | 410,660 | |
| |
* |
Based on a Monte Carlo simulation analysis of 50,000 iterations |
| Alto Acceleration Option key valuation inputs* | |
| | |
| Annualized volatility | |
| 34.23% - 59.15 | % |
| Risk-free interest rate | |
| 4.68% - 5.60 | % |
| Quoted VWAP* | |
$ | 4.72 | |
| Illiquidity discount | |
| (17 | )% |
| Time period (years) | |
| 0 - 1.2 | |
| Estimated fair value (issuance) | |
$ | 1,442,000 | |
| Estimated fair value (December 31, 2023) | |
$ | 3,852 | |
| |
* |
Based on a Monte Carlo simulation analysis of 50,000 iterations |
|
| Schedule of Derivative Liabilities |
The
following table summarizes the changes in the derivative liabilities:
Schedule of Derivative Liabilities
| Fair Value Measurements Using Significant Unobservable
Inputs (Level 3) |
| | |
Warrants | | |
Accelerated Feature | |
| Balance - December 31, 2023 | |
$ | 410,660 | | |
$ | 3,852 | |
| Gain on change in fair value | |
| (196,045 | ) | |
| (1,817 | ) |
| Balance - March 31, 2024 | |
$ | 214,615 | | |
$ | 2,035 | |
| Loss (gain) on change in fair value | |
| 145,304 | | |
| (1,531 | ) |
| Balance - June 30, 2024 | |
$ | 359,919 | | |
$ | 504 | |
| Gain on change in fair value of the derivative | |
| (285,812 | ) | |
| (504 | ) |
| Balance - September 30, 2024 | |
$ | 74,107 | | |
$ | - | |
|
The
following table summarizes the changes in the derivative liabilities:
Schedule of Derivative Liabilities
| Fair Value Measurements Using Significant Unobservable Inputs (Level 3) |
| | |
Alto Warrants | |
|
Alto Acceleration Option | |
| Balance - December 31, 2021 | |
$ | — | |
|
$ | — | |
| Addition of new derivative | |
| — | |
|
| | |
| Loss on change in fair value | |
| — | |
|
| — | |
| Settlements | |
| — | |
|
| | |
| Balance - December 31, 2022 | |
| — | |
|
| — | |
| Addition of new derivatives | |
| 1,189,000 | |
|
| 1,442,000 | |
| Gain on change in fair value | |
| (778,340 | ) |
|
| (1,438,148 | ) |
| Balance - December 31, 2023 | |
$ | 410,660 | |
|
$ | 3,852 | |
| Fair Value Measurements Using Significant Unobservable Inputs (Level 3) |
| | |
December 2021 Notes Derivative | | |
August 2022 Notes Derivative | | |
2022 Convertible Notes Derivative | |
| Balance - December 31, 2021 | |
$ | 367,000 | | |
| — | | |
| — | |
| Addition of new derivative | |
| — | | |
| 76,000 | | |
| 221,000 | |
| Loss (gain) on change in fair value | |
| (205,000 | ) | |
| 44,000 | | |
| 350,000 | |
| Settlements | |
| (162,000 | ) | |
| (120,000 | ) | |
| (571,000 | ) |
| Balance - December 31, 2022 | |
| — | | |
| — | | |
| — | |
| Addition of new derivatives | |
| — | | |
| — | | |
| — | |
| Gain on change in fair value | |
| — | | |
| — | | |
| — | |
| Balance - December 31, 2023 | |
| — | | |
$ | — | | |
$ | — | |
|
| Schedule of Derivative Issuance Valuation Inputs |
|
In connection with the issuance of the December 2021
Notes, the Company identified an accelerated repayment upon IPO feature that required bifurcation. We classified this derivative liability
as a Level 3 fair value measurement and used a probability weighted scenario model to estimate the fair value of the
derivative just prior to the settlement of the December 2021 Notes. Key inputs for this valuation model are summarized below.
Schedule
of Derivative Liability Valuation
| December 2021 Notes derivative key valuation inputs |
|
Issuance Date |
| |
Settlement Date | |
| Amount due upon acceleration |
|
$ |
533,699 |
| |
$ | 533,973 | |
| Carrying value of December 2021 Notes at measurement date |
|
$ |
— |
| |
| 337,398 | |
| IPO date |
|
|
8/31/2022 |
| |
| 9/2/2022 | |
| Probability of IPO acceleration |
|
|
90 |
% | |
| 100 | % |
| Probability of maturity |
|
|
10 |
% | |
| — | % |
| Time period to maturity (years) |
|
|
1.00 years |
| |
| 0.32 years | |
| Discount rate |
|
|
50.0 |
% | |
| 50.0 | % |
| Estimated fair value |
|
$ |
367,000 |
| |
| 162,000 | |
|
| Schedule of Derivative Key Valuation Inputs |
|
Schedule
of Derivative Key Valuation Inputs
| 2022
Convertible Notes derivative key valuation inputs* |
|
Issuance
Dates |
|
Settlement Date |
| Annualized
volatility |
|
75.0%
- 82.0% |
|
— |
| Risk-free
interest rate |
|
0.6%
- 1.2% |
|
— |
| Exercise
price (implied) |
|
$45.52
- $85.92 |
|
— |
| Estimated
IPO date |
|
8/31/2022 |
|
9/2/2022 |
| Probability
of default |
|
50% |
|
—% |
| Probability
of IPO or Alternative Liquidity Event |
|
45% |
|
100% |
| Probability
of Maturity |
|
5% |
|
—% |
| Time
period (years) |
|
0.47
- 1.00 years |
|
0.00
years |
| Estimated fair value |
|
$221,000 |
|
$571,000 |
|
| August 2022 Notes [Member] |
|
|
| Share-Based Compensation Arrangement by Share-Based Payment Award [Line Items] |
|
|
| Schedule of Derivative Issuance Valuation Inputs |
|
In connection with the issuance of the August 2022
Promissory Note, the Company identified an accelerated repayment upon IPO feature that required bifurcation. We classified this derivative
liability as a Level 3 fair value measurement and used a probability weighted scenario model to estimate the fair value
of the derivative just prior to the settlement of the August 2022 Promissory Notes. Key inputs for this valuation model are summarized
below.
Schedule
of Derivative Issuance Valuation Inputs
| August 2022 Promissory Notes derivative key valuation inputs |
|
Issuance Dates |
|
Settlement Date |
| Amount due upon acceleration (estimated at issuance) |
|
$50,411 |
|
$50,438 |
| Carrying value of August 2022 Promissory Notes at measurement date |
|
$0 |
|
$4,521 |
| IPO date |
|
8/31/2022 |
|
9/2/2022 |
| Probability of IPO acceleration |
|
90% |
|
100% |
| Probability of maturity |
|
10% |
|
—% |
| Time period to maturity (years) |
|
1.00 years |
|
0.91 years |
| Discount rate |
|
16.03% |
|
18.81% |
| Estimated fair value |
|
$45,000 |
|
$45,000 |
|
| Schedule of Derivative Key Valuation Inputs |
|
In connection with the issuance of the August 2022
Convertible Notes, the Company identified certain embedded features that required bifurcation as a combined derivative liability, including
the share-settled redemption of the 2022 Convertible Notes at a 50% discount and the automatic increase in principal of 10% if conversion
does not occur within 12 months. Key inputs for this valuation model are summarized below:
Schedule
of Derivative Key Valuation Inputs
| 2022 Convertible Notes derivative key valuation inputs* | |
Issuance Dates | | |
Settlement Date | |
| Estimated IPO date | |
| 8/31/2022 | | |
| 9/2/2022 | |
| Probability of default | |
| 50 | % | |
| — | % |
| Probability of IPO or Alternative Liquidity Event | |
| 45 | % | |
| 100 | % |
| Probability of Maturity | |
| 5 | % | |
| — | % |
| Time period (years) | |
| 1.00 years | | |
| 0.00 years | |
| Estimated fair value | |
$ | 31,000 | | |
$ | 75,000 | |
|