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Fair Value of Financial Instruments

12 Months Ended

Dec. 31, 2023

Fair Value of Financial Instruments [Abstract]

6.	Fair Value of Financial Instruments

There were no level 1 or 2 assets or liabilities at December 31, 2023 or 2022.

Level 3 assets and liabilities measured and recorded at fair value on a recurring basis at December 31, 2023 and 2022 were as follows:

	December 31, 2023		December 31, 2022
Derivative Liability – Contingent Interest April Note	$	431,000	$	249,000
Derivative Liability – Contingent Interest September Note	$	169,000	$	109,000
Derivative Liability – Contingent Interest December Note	$	404,000	$	214,000

The April 2021 Note derivative liability – contingent interest was valued using a Monte Carlo Geometric Brownian Stock Path Model. The key assumptions used in the model at December 31, 2023 and 2022 are as follows:

	December 31, 2023			December 31, 2022
Stock Price	$	1.66		$	1.13
Conversion Price of conversion feature	$	5.00		$	5.00
Term	1.29 years			2.29 years
Risk Free Interest Rate		4.79	%		4.41	%
Credit Adjusted Discount Rate		12.86	%		14.76	%
Volatility		69	%		81	%
Dividend Rate		0	%		0	%

The roll forward of the April 2021 Note derivative liability – contingent interest is as follows:

Balance – December 31, 2021	$	495,000
Fair Value Adjustment		(246,000	)
Balance – December 31, 2022		249,000
Fair Value Adjustment		182,000
Balance – December 31, 2023	$	431,000

The September 2021 Note derivative liability – contingent interest was valued using a Monte Carlo Geometric Brownian Stock Path Model. The key assumptions used in the model at inception, and at December 31, 2023 and 2022 are as follows:

	December 31, 2023			December 31, 2022
Stock Price	$	1.66		$	1.13
Conversion Price of conversion feature	$	8.64		$	8.64
Term	1.72 years			2.72 years
Risk Free Interest Rate		4.23	%		4.22	%
Credit Adjusted Discount Rate		12.86	%		14.76	%
Volatility		75	%		81	%
Dividend Rate		0	%		0	%

The roll forward of the September 2021 Note derivative liability – contingent interest is as follows:

Balance – December 31, 2021	$	250,000
Fair Value Adjustment		(141,000	)
Balance – December 31, 2022		109,000
Fair Value Adjustment		60,000
Balance – December 31, 2023	$	169,000

The December 2021 Note derivative liability – contingent interest was valued using a Monte Carlo Geometric Brownian Stock Path Model. The key assumptions used in the model at inception, and at December 31, 2023 and 2022 are as follows:

	December 31, 2023			December 31, 2022
Stock Price	$	1.66		$	1.13
Conversion Price of conversion feature	$	5.43		$	5.43
Term	1.97 years			2.97 years
Risk Free Interest Rate		4.23	%		4.22	%
Credit Adjusted Discount Rate		12.86	%		14.76	%
Volatility		72	%		83	%
Dividend Rate		0	%		0	%

The roll forward of the December 2021 Note derivative liability – contingent interest is as follows:

Balance – December 31, 2021	$	384,000
Fair Value Adjustment		(170,000	)
Balance – December 31, 2022		214,000
Fair Value Adjustment		(190,000	)
Balance – December 31, 2023	$	404,000

- Definition

The entire disclosure for the fair value of financial instruments (as defined), including financial assets and financial liabilities (collectively, as defined), and the measurements of those instruments as well as disclosures related to the fair value of non-financial assets and liabilities. Such disclosures about the financial instruments, assets, and liabilities would include: (1) the fair value of the required items together with their carrying amounts (as appropriate); (2) for items for which it is not practicable to estimate fair value, disclosure would include: (a) information pertinent to estimating fair value (including, carrying amount, effective interest rate, and maturity, and (b) the reasons why it is not practicable to estimate fair value; (3) significant concentrations of credit risk including: (a) information about the activity, region, or economic characteristics identifying a concentration, (b) the maximum amount of loss the entity is exposed to based on the gross fair value of the related item, (c) policy for requiring collateral or other security and information as to accessing such collateral or security, and (d) the nature and brief description of such collateral or security; (4) quantitative information about market risks and how such risks are managed; (5) for items measured on both a recurring and nonrecurring basis information regarding the inputs used to develop the fair value measurement; and (6) for items presented in the financial statement for which fair value measurement is elected: (a) information necessary to understand the reasons for the election, (b) discussion of the effect of fair value changes on earnings, (c) a description of [similar groups] items for which the election is made and the relation thereof to the balance sheet, the aggregate carrying value of items included in the balance sheet that are not eligible for the election; (7) all other required (as defined) and desired information.

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