DERIVATIVE LIABILITIES

9 Months Ended

Sep. 30, 2023

Derivative Instruments and Hedging Activities Disclosure [Abstract]

DERIVATIVE LIABILITIES

NOTE 11 – DERIVATIVE LIABILITIES

The Company has issued certain convertible notes payable that contain conversion options with variable settlement features which make their conversion options a derivative liability. The conversion option derivatives are embedded in their respective note payables and for accounting purposes have been bifurcated from the host instruments. Please see Note 10 – Convertible Notes Payable for more information.

On February 12, 2021, the Company granted 25,000 warrants (the “Platinum Point Warrants”) that have a term of three-years and an exercise price of $11.60 to Platinum Point Capital, LLC. The warrants granted contain certain price protections, that make the value of the warrants a derivative liability.

The fair value of each convertible note embedded derivative is estimated using a Monte Carlo valuation model. The model used a “with or without” scenario analysis. Changes to the inputs used in the model could produce a significantly higher or lower fair value. The following assumptions were used as of September 30, 2023 and December 31, 2022:

	Nine Months Ended September 30, 2023			Year Ended December 31, 2022
Expected term (years)		0.584 – 0.597			-
Expected volatility		412.6	%		-
Expected dividend yield		0.00	%		-
Risk-free interest rate		5.40	%		-

The fair value of the Platinum Point Warrants derivative liability is estimated using a Black-Scholes valuation model with a stock price of $11.60. Changes to the inputs used in the model could produce a significantly higher or lower fair value. The following assumptions were used as of September 30, 2023 and December 31, 2022:

	Nine Months Ended September 30, 2023			Year Ended December 31, 2022
Expected term (years)		0.370			-
Expected volatility		875	%		-
Expected dividend yield		0.00	%		-
Risk-free interest rate		5.46	%		-

The derivative liabilities as of September 30, 2023 and December 31, 2022 were as follows:

	September 30, 2023		December 31, 2022
Fair value of the Platinum Point Warrants (25,000 warrants)	$	16,391	$	-
Fair value of the Diagonal Lending conversion option		9,518		-
	$	25,909	$	-

Activity related to the derivative liabilities for the nine months ended September 30, 2023 is as follows:

Beginning balance as of December 31, 2022	$	-
Warrants/conversion option – derivative liabilities recognized due to reverse acquisition		219,172
Extinguishment of conversion option derivative liabilities due to debt extinguishment		(160,002	)
Change in fair value of warrants/conversion option - derivative liabilities		(33,261	)
Ending balance as of September 30, 2023	$	25,909