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FAIR VALUE MEASUREMENTS

3 Months Ended

Mar. 31, 2024

NOTE 3: FAIR VALUE MEASUREMENTS

In accordance with ASC 820 (Fair Value Measurements and Disclosures), the Company uses various inputs to measure the outstanding warrants, certain embedded redemption features associated with the senior note to Aclarion, Inc. on a recurring basis to determine the fair value of the liability.


	Fair value measured as of March 31, 2024
	Fair value on March 31, 2024		Quoted prices in active markets (Level 1)		Significant other observable inputs (Level 2)		Significant unobservable inputs (Level 3)
Warrant liability	$	34,825	$	–	$	–	$	34,825
Derivative Liability		32,994		–		–		32,994
Total Fair value	$	67,819	$	–	$	–	$	67,819

There were no transfers between Level 1, 2, and 3 during the three months ended March 31, 2024.

The following table presents changes in Level 3 liabilities measures at fair value for the three months ended March 31, 2024. Both observable and unobservable inputs were used to determine the fair value positions that the Company has classified within the Level 3 category.


	Warrant Liability			Derivative Liability			Total
Balance – December 31, 2023	$	289,165		$	121,326		$	410,491
Exchange and Payoff of Notes Payable		–			(44,988	)		(44,988	)
Change in fair value		(254,340	)		(43,344	)		(297,684	)
Balance – March 31, 2024	$	34,825		$	32,994		$	67,819

The fair value of the embedded derivative liabilities associated with the Senior Notes Payable was estimated using a probability weighted discounted cash flow model to measure the fair value. This involves significant Level 3 inputs and assumptions including an (i) estimated probability and timing of certain financing events and event of default, and (ii) the Company’s risk-adjusted discount rate.

The fair value of the warrants to purchase shares of common stock was estimated using a Monte Carlo simulation using the following assumptions.

Schedule of assumptions
	As of Dec 31, 2023		As of March 31, 2024
	Warrant Liability		Warrant Liability
Strike Price	$	4.32	$	0.58
Contractual term (years)		5.0		5.0
Volatility (annual)		80.0%		80.0%
Risk-free rate		3.89%		4.29%
Floor Financing price	$	0.14	$	0.14