Fair Value

12 Months Ended

Dec. 31, 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 of the Company’s instruments recorded at fair value, which were all Level 3 liabilities measured at fair value on a recurring basis using unobservable inputs during the years ended December 31, 2023 and 2022:

	Accrued			Accrued			Derivative
	Interest			Compensation			Liability			Total
Balance - January 1, 2022	$	402,344		$	61,306		$	-		$	463,650
Accrual of warrant obligation		173,712			-			-			173,712
Issuance of warrants		(173,712	)		-			-			(173,712	)
Change in fair value		102,356			(2,086	)		-			100,270
Balance - December 31, 2022	$	504,700		$	59,220		$	-		$	563,920
Accrual of warrant obligation		40,167			-			-			40,167
Accrual of common stock obligation		-			37,959			-			37,959
Issuance of warrants		(40,167	)		-			-			(40,167	)
Issuance of warrants and conversion option		-			-			43,900			43,900
Change in fair value		(148,190	)		(77	)		(10,900	)		(159,167	)
Balance - December 31, 2023	$	356,510		$	97,102		$	33,000		$	486,612

See Note 6, Accrued Compensation, Note 8, Notes Payable, Note 10, Stockholders’ Deficiency, and Note 11, Commitments and Contingencies for additional details.

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 warrants with “down-round protection”, as the Company is unable to determine if it will have sufficient authorized common stock to settle such arrangements, warrants deemed to be derivative liabilities according to the Company’s sequencing policy in accordance with ASC 815-40-35-12, the embedded conversion options within its convertible notes payable and an accrued obligation to issue warrants and common stock.

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

	For the Years Ended
	December 31,
	2023			2022
Risk-free interest rate		3.60% - 4.70	%		2.42% - 4.25	%
Expected term (years)		4.00 - 5.00			4.00 - 5.00
Expected volatility		65%- 80	%		80% - 90	%
Expected dividends		0.00	%		0.00	%

The expected term used is the contractual life of the instrument being valued. Since the Company’s stock has not been publicly traded for a sufficiently long period of time or with significant 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 December 31, 2023 and 2022, the Company had an obligation to issue 363,095 and 154,495 shares of common stock, respectively, to certain service providers and as a legal settlement to a certain holder of the Company’s common stock that had a fair value of $90,774 and $50,983, respectively, which was a component of accrued compensation on the consolidated balance sheets. Furthermore, as of December 31, 2023 and 2022, the Company has an obligation to issue warrants to purchase 42,930 shares of the Company’s common stock to service providers that had a fair value of $6,328 and $8,237, respectively. See Note 10, Stockholders’ Deficiency – Common Stock and Stock Warrants and Note 13, Subsequent Events – Common Stock for additional details associated with the issuance of common stock and warrants.