Derivative Liabilities

12 Months Ended

Dec. 31, 2023

Derivative Liabilities [Abstract]

Derivative Liabilities

9. Derivative Liabilities 

(a) Continuity of Warrant Derivative Liabilities

The derivative liabilities are measured at fair value at each reporting period and the reconciliation of changes in fair value in the years ended December 31, 2023 and 2022, is presented in the following tables:

	Common Share Purchase Warrants			3i Exchange Warrants			3i Fund Series A Redemption Feature
				Issued December 20, 2021
Balance as of January 1, 2022	$	—		$	11,273		$	7,181
Change in fair value		—			(10,899	)		(6,227	)
Amount transferred to Equity		—			—			(954	)
Balance as of December 31, 2022	$	—		$	374		$	—
Fair value per 3i Warrant / Series A Preferred share issuable at period end	$	—		$	6.48		$	—
Balance as of January 1, 2023	$	—		$	374		$	—
Issuance date fair value of April, July & September 2023 Common share purchase warrants		15,161			—			—
Modifications to fair value upon exercise		592			—			—
Fair value adjustments		(11,911	)		1,477			—
Amount transferred to Equity		(1,579	)		(1,031	)		—
Balance as of December 31, 2023	$	2,263		$	820		$	—
Fair value per Common warrant / 3i Warrant / Series A Preferred share issuable at period end	$	0.44		$	0.19		$	—

(b) Series A Preferred Stock Conversion Feature – Valuation Inputs 

The following inputs were used for the Series A Preferred Stock conversions recorded in the year ended December 31, 2022, and the fair value of the Series A Preferred derivative liability determined at September 30, 2022: 

	January 1, 2022 – September 30, 2022*
Initial exercise price	$9.05 - $9.91
Stock price on valuation date	$1.10 - $10.75
Risk-free rate	1.03% - 4.23%
Time to exercise (years)	2.22 - 2.96
Equity volatility	70% - 114%
Probability of volume failure	93% - 99%
Rounded 10-day average daily volume (in 1,000’s)	$297 - $873

* The agreed conversion price adjustment (see Note 8(d) i.) resulted in the Series A Preferred liability value derivative being valued at zero at December 9, 2022. Consequently, there were no conversions subsequent to September 30, 2022, which impacted the Series A derivative liability.

(c) 3i Warrants – Valuation Inputs

On December 5, 2023, 3i converted 5,045,446 Exchange Warrants on a cashless basis for 500,000 shares of our Common Stock. Therefore, we utilized the reset strike options Type 2 model by Espen Garder Haug and Black-Scholes Merton models to estimate the fair value of the outstanding 9,452,667 Exchange Warrants immediately before 3i’s conversion to be approximately $1,931 as of December 5, 2023. Accordingly, we recorded a $2,015 reduction in the fair value of the 9,452,667 Exchange Warrants as a credit to change in fair value of warrants in our consolidated statement of comprehensive loss and $1,031, being the fair value of the 5,045,446 converted Exchange Warrants, was recorded as a credit to additional paid in capital.

On December 31, 2023 and 2022, the Company utilized the reset strike options Type 2 model by Espen Garder Haug and Black-Scholes Merton models to estimate the fair value of the 3i Exchange Warrants to be approximately $820 and $374, respectively.

The 3i Exchange Warrants were valued at December 31, 2023, December 5, 2023, and December 31, 2022, using the following inputs:

	December 31, 2023			December 5, 2023			December 31, 2022
Exercise price	$	1.00		$	1.00		$	9.91
Stock price on valuation date	$	0.55		$	0.58		$	0.29
Risk-free rate		4.71	%		4.92	%		4.33	%
Expected life of the Warrant to convert (years)		0.97			1.04			1.97
Rounded annual volatility		127	%		123	%		131	%
Timing of liquidity event		Q1 - 2024			March 31, 2024			March 15, 2023
Expected probability of event		10	%		10	%		100	%