Derivative Liabilities (Tables)

9 Months Ended

Sep. 30, 2023

Derivative Liabilities [Abstract]

Schedule of Derivative Expense

Derivative expense recorded during the three and nine months ended September 30, 2022 is summarized as follows:

Commitment Date	May 24, 2022
Fair value of derivative liabilities	$	1,483,888
Less: face amount of debt		(979,275	)
Derivative expense	$	504,613

Derivative expense recorded during the three and nine months ended September 30, 2023 is summarized as follows:

Commitment Date	May 8, 2023
Fair value of derivative liabilities	$	954,725
Less: face amount of debt		(555,000	)
Derivative expense	$	399,725

Schedule of Derivative Liabilities Measured at Fair Value on a Recurring Basis

A reconciliation of the beginning and ending balances for the derivative liabilities measured at fair value on a recurring basis using significant unobservable inputs (Level 3) is as follows at September 30, 2023 and December 31, 2022:

	Bridge Shares			Warrants			Convertible Notes Payable			Contingent Milestone Payment		Total
Derivative liabilities - December 31, 2022	$	834,352		$	578,164		$	81,684		$	-	$	1,494,200
Fair value - mark to market adjustment		4,902			1,689			(1,457	)		-		5,134
Derivative liabilities - March 31, 2023	$	839,254		$	579,853		$	80,227		$	-	$	1,499,334
Fair value - commitment date		680,276			274,449			-			-		954,725
Fair value - mark to market adjustment		8,896			(17,009	)		145			-		(7,968	)
Derivative liabilities - June 30, 2023	$	1,528,426		$	837,293		$	80,372		$	-	$	2,446,091
Fair value - mark to market adjustment prior to conversion or reclassification		(105,790	)		1,455			(45,207	)		-		(149,542	)
Conversion of convertible promissory notes		(1,422,636	)		-			(35,165	)		-		(1,457,801	)
Reclassification of warrants to equity		-			(838,748	)		-			-		(838,748	)
Recognition of contingent milestone liability		-			-			-			2,117,142		2,117,142
Fair value - mark to market adjustment		-			-			-			57,052		57,052
Derivative liabilities - September 30, 2023	$	-		$	-		$	-		$	2,174,194	$	2,174,194

A reconciliation of the beginning and ending balances for the derivative liabilities measured at fair value on a recurring basis using significant unobservable inputs (Level 3) is as follows at September 30, 2022 and December 31, 2021:

	Bridge Shares		Warrants		Convertible Notes Payable			Total
Derivative liabilities - December 31, 2021	$	-	$	-	$	-		$	-
Fair value - commitment date		823,687		565,007		95,194			1,483,888
Fair value - mark to market adjustment		664		2,932		(2,595	)		1,001
Derivative liabilities - June 30, 2022	$	824,351	$	567,939	$	92,599		$	1,484,889
Fair value - mark to market adjustment		1,352		25,869		(4,726	)		22,495
Derivative liabilities - September 30, 2022	$	825,703	$	593,808	$	87,873		$	1,507,384

Schedule of Conversion Features in Convertible Promissory Notes

The assumptions used to perform the Monte-Carlo Simulation as of the respective commitment dates, as well as December 31, 2022 were as follows:

Commitment Dates	May 2023			May 2022
Stock price	$	5.30		$	5.00
Volatility		115.1	%		99.7	%
Expected term (in years) - Notes		0.99			1.00-1.03
Expected term (in years) - Warrants		4.99			5.00
Risk-free interest rate		4.80	%		2.76% - 2.84	%
Dividend yield		0	%		0	%
IPO probability (prior to note maturity date)		95	%		95	%

Mark to Market	December 31, 2022
Stock price	$	5.00
Volatility		101.9	%
Expected term (in years) - Notes		0.39 - 0.41
Expected term (in years) - Warrants		4.39
Risk-free interest rate		4.06	%
Dividend yield		0	%
IPO probability (prior to note maturity date)		95	%