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Fair Value
6 Months Ended
Jun. 30, 2023
Fair Value Disclosures [Abstract]  
Fair Value

Note 4 - Fair Value

 

The following table provides a summary of the changes in fair value, including net transfers in and/or out, of all Level 3 liabilities measured at fair value on a recurring basis using unobservable inputs during the three and six months ended June 30, 2023 and 2022:

 Schedule of Changes in Fair Value of Liabilities Measured at Fair Value on a Recurring Basis

   Accrued   Accrued     
   Interest   Compensation   Total 
             
Balance - January 1, 2023  $504,700   $59,220   $563,920 
                
Accrual of warrant obligation   40,167    -    40,167 
Change in fair value   (46,131)   (1,095)   (47,226)
                
Balance - March 31, 2023   498,736    58,125    556,861 
                
Accrual of common stock obligation   -    9,438    9,438 
Issuance of warrants   (40,167)   -    (40,167)
Change in fair value   27,272    73    27,345 
                
Balance - June 30, 2023  $485,841   $67,636   $553,477 

 

   Accrued   Accrued     
   Interest   Compensation   Total 
             
Balance - January 1, 2022  $402,344   $61,306   $463,650 
                
Change in fair value   33,609    (412)   33,197 
Accrual of warrant obligation   114,727    -    114,727 
                
Balance - March 31, 2022   550,680    60,894    611,574 
                
Change in fair value   29,658    74    29,732 
                
Balance - June 30, 2022  $580,338   $60,968   $641,306 

 

 

CELL SOURCE, INC.

 

NOTES TO CONDENSED CONSOLIDATED FINANCIAL STATEMENTS

 

(Unaudited)

 

Financial assets are considered Level 3 when their fair values are determined using pricing models, discounted cash flow methodologies or similar techniques and at least one significant model assumption or input is unobservable. The Company’s Level 3 liabilities shown in the above table consist of accrued obligations to issue warrants and common stock to non-employees and is recorded at fair value at inception and subsequent changes in fair value are charged to the condensed consolidated statement of operations at each reporting period.

 

In applying the Black-Scholes option pricing model utilized in the valuation of Level 3 liabilities, the Company used the following approximate assumptions:

 Schedule of Assumptions Used for Valuation of Level 3 Liabilities  

   For the Three Months Ended   For the Six Months Ended 
   June 30,   June 30, 
   2023   2022   2023   2022 
                 
Risk-free interest rate   4.13% - 4.31%    3.00% - 3.01%    3.60% - 4.31%    2.42% - 3.01% 
Expected term (years)   4.00-5.00    4.00-5.00    4.00-5.00    4.00-5.00 
Expected volatility   80%   90%   80%   90%
Expected dividends   0.00%   0.00%   0.00%   0.00%

 

The expected term used is the contractual life of the instrument being valued. Since the Company’s stock does not have significant trading volume, the Company is utilizing an expected volatility based on a review of the historical volatilities, over a period of time, equivalent to the expected life of the instrument being valued, of similarly positioned public companies within its industry. The risk-free interest rate was determined from the implied yields from U.S. Treasury zero-coupon bonds with a remaining term consistent with the expected term of the instrument being valued.

 

As of June 30, 2023 and December 31, 2022, the Company had an obligation to issue 183,095 and 154,495 shares of common stock, respectively, to service providers that had a fair value of $60,421 and $50,983, respectively, which was a component of accrued compensation on the condensed consolidated balance sheets. The fair value of the common stock underlying this obligation has a per share value of $0.33 as of June 30, 2023 and December 31, 2022.

 

See Note 6, Stockholders’ Deficiency – Common Stock and Stock Warrants for additional details associated with the issuance of common stock and warrants.