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Fair Value Measurements (Tables)
9 Months Ended
Sep. 30, 2024
Schedule of carrying value and fair value of financial assets and liabilities measured at fair value on a recurring basis

The following table provides the carrying value and fair value of certain financial assets and liabilities of the Company measured at fair value on a recurring basis as of September 30, 2024 and December 31, 2023:

    

    

Fair Value Measurement at

September 30, 2024

Carrying Value

Level 1

Level 2

Level 3

Assets:

Cash equivalents

$

485,308

$

485,308

$

$

Total assets measured and recorded at fair value

$

485,308

$

485,308

$

$

Liabilities:

Derivative liability

$

442,500

$

$

$

442,500

Warrant liability

1,464,000

1,464,000

Total liabilities measured and recorded at fair value

$

1,906,500

$

$

$

1,906,500

    

    

Fair Value Measurement at

December 31, 2023

Carrying Value

Level 1

Level 2

Level 3

Assets:

Cash equivalents

$

5,136,677

$

5,136,677

$

$

Total assets measured and recorded at fair value

$

5,136,677

$

5,136,677

$

$

Liabilities:

Warrant liability

$

13,680,000

$

$

$

13,680,000

Total liabilities measured and recorded at fair value

$

13,680,000

$

$

$

13,680,000

Canaccord Warrants  
Schedule of quantitative information regarding Level 3 fair value measurements inputs

The following tables provide quantitative information regarding Level 3 fair value measurements inputs as of their respective measurement dates. The table for the period ending September 30, 2024 presents inputs used under a Black-Scholes option-pricing model. The table for the period ending December 31, 2023 presents inputs used under a Monte Carlo simulation model:

    

September 30, 2024

    

Exercise price

$

9.00

 

Closing stock price

$

8.06

 

Number of warrants

 

308,333

 

Volatility

 

80

%  

Term (time to expiration in years)

 

4.09

 

Risk-free rate

 

3.6

%  

December 31, 2023

Exercise price

$

9.00

Closing stock price

$

18.70

Number of warrants

 

1,200,000

Phase 3 data probability of success

 

60

%

Volatility

 

55

%

Term (time to expiration in years)

 

4.84

Redemption hurdle price

$

14.25

Risk-free rate

 

3.9

%

ELOC derivative liability  
Schedule of quantitative information regarding Level 3 fair value measurements inputs

The following table provides quantitative information regarding fair value measurements inputs used with respect to the ELOC derivative liability, as of their respective measurement dates:

    

September 30, 2024

    

April 25, 2024

 

Closing stock price

$

8.06

 

$

13.60

Volatility

 

125

%  

110

%

Term (time to expiration in years)

 

2.40

 

2.80

Risk-free rate

 

3.6

%  

4.8

%