Fair Value

9 Months Ended

Sep. 30, 2024

Fair Value Disclosures [Abstract]

Fair Value

(5) Fair Value

The Company utilizes valuation techniques that maximize the use of observable inputs and minimize the use of unobservable inputs to the extent possible. The Company determines fair value based on assumptions that market participants would use in pricing an asset or liability in the principal or most advantageous market. When considering market participant assumptions in fair value measurements, the following fair value hierarchy distinguishes between observable and unobservable inputs, which are categorized in one of the following levels:

● Level 1 Inputs: Quoted prices for identical instruments in active markets.

● Level 2 Inputs: Quoted prices for similar instruments in active markets, quoted prices for identical or similar instruments in markets that are not active, and model-derived valuation in which all significant inputs and significant value drivers are observable in active markets.

● Level 3 Inputs: Valuations derived from valuation techniques in which one or more significant inputs or significant value drivers are unobservable.

All of the Company’s financial instruments are valued using quoted prices in active markets or based on other observable inputs. For accrued interest income, prepaid and other current assets, accounts payable, and accrued expenses, the carrying amounts approximate fair value because of the short maturity of these instruments. The following table presents the placement in the fair value hierarchy of assets and liabilities that are measured at fair value on a recurring basis as of September 30, 2024 and December 31, 2023:

				Fair value measurements at reporting date using
		September 30, 2024		Level 1 inputs		Level 2 inputs		Level 3 inputs
Assets:
Cash equivalents - money market funds	$	3,742,941	$	3,742,941	$	-	$	-
Government treasury bills		16,080,691		16,080,691		-		-
	$	19,823,632	$	19,823,632	$	-	$	-
Liabilities:
Warrant liability	$	3,586	$	-	$	-	$	3,586
	$	19,827,218	$	19,823,632	$	-	$	3,586

			Fair value measurements at reporting date using
	Deember 31, 2023		Level 1 inputs		Level 2 inputs		Level 3 inputs
Assets:
Cash equivalents - money market funds	$	4,695,491	$	4,695,491	$	-	$	-
Government treasury bills		14,281,104		14,281,104		-		-
U.S. government agency securities		2,982,684		-		2,982,684		-
	$	21,959,279	$	18,976,595	$	2,982,684	$	-
Liabilities:
Warrant liability	$	17,166	$	-	$	-	$	17,166
	$	21,976,445	$	18,976,595	$	2,982,684	$	17,166

The following methods and assumptions were used to determine the fair value of each class of assets and liabilities recorded at fair value in the balance sheets:

Cash equivalents: Cash equivalents primarily consist of highly rated money market funds and treasury bills with original maturities to the Company of three months or less and are purchased daily at par value with specified yield rates. Cash equivalents related to money market funds and treasury bills are classified within Level 1 of the fair value hierarchy because they are valued using quoted market prices or broker or dealer quotations for similar assets.

Government treasury bills: The Company uses a third-party pricing service to value these investments. United States treasury bills are classified within Level 1 of the fair value hierarchy because they are valued using quoted market prices in active markets for identical assets and reportable trades.

U.S. government agency securities: The Company uses a third-party pricing service to value these investments. U.S. government agency securities are classified within Level 2 of the fair value hierarchy because they are valued using broker/dealer quotes, bids and offers, benchmark yields and credit spreads and other observable inputs.

Warrant liability: The warrant liability (which relates to warrants to purchase shares of common stock) is marked-to-market each reporting period with the change in fair value recorded to other income (expense) in the accompanying statements of operations until the warrants are exercised, expire or other facts and circumstances lead the warrant liability to be reclassified to stockholders’ equity. The fair value of the warrant liability is estimated using a Black-Scholes option-pricing model. The significant assumptions used in preparing the option pricing model for valuing the warrant liability as of September 30, 2024, include (i) volatility of 107.82%, (ii) risk free interest rate of 4.87%, (iii) strike price of $8.50, (iv) fair value of common stock of $4.49, and (v) with the warrants expiring on November 17, 2024, expected life of 0.1 years. The significant assumptions used in preparing the option pricing model for valuing the warrant liability as of December 31, 2023, include (i) volatility of 100%, (ii) risk free interest rate of 4.79%, (iii) strike price of $8.50, (iv) fair value of common stock of $2.79, and (v) expected life of 0.9 years.

The Company’s accounting policy is to recognize transfers between levels of the fair value hierarchy on the date of the event or changes in circumstances that caused the transfer. There were no transfers into or out of Level 1, Level 2, or Level 3 for the three or nine months ended September 30, 2024.