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Derivative Liabilities (Tables)
 6 Months Ended 12 Months Ended
Jun. 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 June 30, 2024, were as follows:

 

Net cash settlement and down round key valuation inputs – warrants*    
Annualized volatility   89.76% - 99.20%
Risk-free interest rate   4.61% - 5.48%
Quoted VWAP  $3.12 
Exercise price  $18.80 
Probability assessment   2.5% - 30%
Illiquidity discount   -15%
Time period (years)   0.11 - 2.53 

 

*Based on a Monte Carlo simulation analysis of 250,000 iterations

 

Acceleration option key valuation inputs*    
Annualized volatility   64.76% - 74.98%
Risk-free interest rate   5.23% - 5.48%
Quoted VWAP  $3.12 
Illiquidity discount   -15%
Time period (years)   0 - 0.7 

 

*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:

 

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:

 

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 
(Gain) loss on change in fair value   145,304    (1,531)
Balance - June 30, 2024  $359,919   $504 

The following table summarizes the changes in the 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.

 

 

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.

 

  

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:

 

 

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