XML 46 R29.htm IDEA: XBRL DOCUMENT v3.24.1
FAIR VALUE (Tables)
 12 Months Ended
Dec. 31, 2023
SCHEDULE OF FAIR VALUE HIERARCHY OF VALUATION INPUTS ON RECURRING BASIS

The following table provides the financial liabilities measured on a recurring basis and reported at fair value on the balance sheet as of December 31, 2023 and 2022, and indicates the fair value of the valuation inputs the Company utilized to determine such fair value of warrant liabilities, derivative liability, and investment options:

 

   Level   December 31, 2023   December 31, 2022 
Warrant liabilities - January 2021 Warrants   3   $4   $81 
Warrant liabilities - February 2021 Warrants   3    4    79 
Warrant liabilities - February 2022 Warrants   3    25,462    185,055 
Fair value of warrant liability       $25,470   $185,215 

 

   Level   December 31, 2023   December 31, 2022 
Derivative liability - May 2022   3   $    —   $727,000 
Fair value of derivative liability       $—   $727,000 

 

   Level   December 31, 2023   December 31, 2022 
Wainwright investment options   3   $23,608   $44,904 
RD investment options   3    —    302,289 
PIPE investment options   3    —    503,815 
Fair value of investment option liability       $23,608   $851,008 
Initial Measurement [Member]  
SCHEDULE OF BLACK SCHOLES VALUATION MODELS OF WARRANT LIABILITIES AND INVESTMENT OPTIONS

The Company established the initial fair value of its warrant liabilities at the respective dates of issuance. The Company used a Black Scholes valuation model in order to determine their value. The key inputs into the Black Scholes valuation model for the initial valuations of the warrant liabilities are below:

 

   February 2022 Warrants   February 2022 Post-Modification Warrants (See Note 7) 
   February 15, 2022   July 26, 2022 
Term (years)   5.0    5.5 
Stock price  $15.75   $6.33 
Exercise price  $27.50   $7.78 
Dividend yield   —%   —%
Expected volatility   74.1%   80.0%
Risk free interest rate   1.9%   2.9%
           
Number of warrants   460,000    122,000 
Value (per share)  $8.00   $4.07 

 

 

ENVERIC BIOSCIENCES, INC. AND SUBSIDIARIES

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS

 

The Company established the initial fair value of its derivative liability at the respective date of issuance. The Company used a Weighted Expected Return valuation model in order to determine their value. The key inputs into the Weighted Expected Return valuation model for the initial valuations of the warrant liabilities are below:

 

   May 2022 Derivative Liability 
   May 5, 2022 
Principal  $1,000,000 
Dividend rate   5.0%
Market rate   4.4%

 

The Company established the initial fair value of its investment options at the respective dates of issuance. The Company used a Black Scholes valuation model in order to determine their value. The key inputs into the Black Scholes valuation model for the initial valuations of the investment options are below:

 

   Wainwright Options   RD Options   PIPE Options 
   July 26, 2022   July 26, 2022   July 26, 2022 
Term (years)   5.0    5.5    5.5 
Stock price  $6.33   $6.33   $6.33 
Exercise price  $10.00   $7.78   $7.78 
Dividend yield   —%   —%   —%
Expected volatility   80.0%   80.0%   80.0%
Risk free interest rate   2.9%   2.9%   2.9%
                
Number of investment options   70,000    375,000    625,000 
Value (per share)  $3.60   $4.07   $4.07 
Subsequent Measurement [Member]  
SCHEDULE OF BLACK SCHOLES VALUATION MODELS OF WARRANT LIABILITIES AND INVESTMENT OPTIONS

The key inputs into the Black Scholes valuation model for the Level 3 valuations of the warrant liabilities as of December 31, 2023 are below:

 

   January 2021 Warrants   February 2021 Warrants   February 2022 Warrants Unmodified 
Term (years)   2.0    2.1    3.1 
Stock price  $1.30   $1.30   $1.30 
Exercise price  $247.50   $245.00   $27.50 
Dividend yield   —%   —%   —%
Expected volatility   89.0%   88.0%   87.0%
Risk free interest rate   4.20%   4.20%   4.00%
                
Number of warrants   36,429    34,281    338,000 
Value (per share)  $0.00   $0.00   $0.08 

 

The key inputs into the Black Scholes valuation model for the Level 3 valuations of the investment options as of December 31, 2023 are below:

 

   H.C. Wainwright & Co., LLC Options 
Term (years)   3.6 
Stock price  $1.30 
Exercise price  $10.00 
Dividend yield   —%
Expected volatility   94.0%
Risk free interest rate   4.00%
      
Number of investment options   70,000 
Value (per share)  $0.34 
SCHEDULE OF FAIR VALUE OF WARRANT LIABILITIES AND DERIVATIVE LIABILITY AND INVESTMENT OPTIONS

The following table presents the changes in fair value of the warrant liabilities, derivative liability, and investment options that are classified as Level 3:

 

   Total Warrant Liabilities 
Fair value as of December 31, 2021  $653,674 
Issuance of February 2022 warrants   3,595,420 
Change in fair value due to modification of February 2022 warrants as part of July 2022 raise   251,357 
Change in fair value   (4,315,236)
Fair value as of December 31, 2022  $185,215 
Change in fair value   (94,396)
Exercise of warrants   (65,349)
Fair value as of December 31, 2023  $25,470 

 

   Total Derivative Liability 
Fair value as of December 31, 2021  $— 
Issuance of May 2022 convertible preferred stock   402,000 
Change in fair value   325,000 
Fair value as of December 31, 2022  $727,000 
Change in fair value arising from redemption of Akos Series A Preferred Stock - See Note 8   (727,000)
Fair value of derivative liability as of December 31, 2023  $— 

 

 

ENVERIC BIOSCIENCES, INC. AND SUBSIDIARIES

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS

 

   Total Investment Options 
Fair value as of December 31, 2021  $— 
Issuance of July 2022 investment options   4,323,734 
Change in fair value   (3,472,726)
Fair value as of December 31, 2022  $851,008 
Change in fair value   (208,752)
Exercise of investment options   (618,648)
Fair value of investment option liability as of December 31, 2023  $23,608