Derivative Financial Instruments

6 Months Ended

Jun. 30, 2023

Derivative Financial Instruments [Abstract]

DERIVATIVE FINANCIAL INSTRUMENTS

NOTE 4 - DERIVATIVE FINANCIAL INSTRUMENTS

Warrants have an exercise price in Canadian dollars while the Company’s functional currency is US dollars. Therefore, in accordance with ASU 815 - Derivatives and Hedging, the Warrants have a derivative liability value.

The value of the October 2020 Warrants of $11,439,156 was calculated on the date of issuance of October 26, 2020 using Black-Scholes valuation technique. For the six months ending June 30, 2023, the warrant liability was valued at $2,990,833 with the following assumptions:

	10/26/20			12/31/22			6/30/23
Fair market value of common stock	$	1.26		$	1.40		$	0.75
Exercise price	$	1.38		$	1.33		$	1.36
Term		4 years			1.8 years			1.3 years
Volatility range		68.4	%		101.5	%		84.6	%
Risk-free rate		0.18	%		4.41	%		5.40	%

The value of the March 2021 Warrants of $3,306,758 has been calculated on the date of issuance of March 4, 2021, using Black-Scholes valuation technique. For the six months ending June 30, 2023, the warrant liability was valued at $41,536 with the following assumptions:

	3/4/21			12/31/22			6/30/23
Fair market value of common stock	$	1.97		$	1.40		$	0.75
Exercise price	$	2.21		$	2.07		$	2.11
Term		3 years			1.2 years			0.7 years
Volatility range		72.7	%		116.0	%		69.4	%
Risk-free rate		0.32	%		4.73	%		5.40	%

The value of the January 2023 Warrants of $1,668,671 has been calculated on the date of issuance of January 20, 2023, using Black-Scholes valuation technique. For the six months ending June 30, 2023, the warrant liability was valued at $690,739 with the following assumptions:

	1/20/23			6/30/23
Fair market value of common stock	$	1.13		$	0.75
Exercise price	$	1.71		$	1.74
Term		3.0 years			2.6 years
Volatility range		80.0	%		77.1	%
Risk-free rate		3.83	%		4.49	%