Fair Value

9 Months Ended

Sep. 30, 2024

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 nine months ended September 30, 2024 and 2023:

	Accrued			Accrued			Derivative
	Interest			Compensation			Liabilities			Total
Balance - January 1, 2024	$	356,510		$	97,102		$	33,000		$	486,612
Accrual of warrant obligation		6,666			-			-			6,666
Issuance of warrants and conversion option		-			-			5,100			5,100
Common stock issued in satisfaction of accrued compensation		-			(45,000	)		-			(45,000	)
Change in fair value		(74,316	)		(766	)		(5,800	)		(80,882	)
Balance - March 31, 2024	$	288,860		$	51,336		$	32,300		$	372,496
Reclassification of warrant obligation to derivative liabilities		(6,666	)		-			6,666			-
Issuance of warrants and conversion option		-			-			349,638			349,638
Change in fair value		12,502			1,815			(11,146	)		3,171
Balance - June 30, 2024	$	294,696		$	53,151		$	377,458		$	725,305
Issuance of warrants and conversion option		-			-			311,263			311,263
Change in fair value		129,783			3,284			98,550			231,617
Balance - September 30, 2024	$	424,479		$	56,435		$	787,271		$	1,268,185

	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
Satisfaction of warrant obligation		(40,167	)		-			(40,167	)
Change in fair value		27,272			73			27,345
Balance - June 30, 2023		485,841			67,636			553,477
Change in fair value		47,554			2,204			49,758
Balance - September 30, 2023	$	533,395		$	69,840		$	603,235

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:

	For the Three Months Ended						For the Nine Months Ended
	September 30,						September 30,
	2024			2023			2024			2023
Risk-free interest rate		3.58% - 5.33	%		4.60% - 4.70	%		3.58% - 5.33	%		3.60% - 4.70	%
Expected term (years)		0.82 - 10.00			4.00 - 5.00			0.82 - 10.00			4.00-5.00
Expected volatility		75	%		80	%		65% - 75	%		80	%
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 September 30, 2024 and December 31, 2023, the Company had an obligation to issue 183,095 and 363,095 shares of common stock to service providers that had a fair value of $51,267 and $90,774, respectively, which was a component of accrued compensation in the condensed consolidated balance sheets. The fair value of the common stock underlying this obligation has a per share value of $0.28 and $0.26 as of September 30, 2024 and December 31, 2023, respectively. Furthermore, as of September 30, 2024 and December 31, 2023, 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 $5,168 and $6,328, respectively, which was a component of accrued compensation in the condensed consolidated balance sheets.

See Note 6, Notes Payable and Note 7, Stockholders’ Deficiency for additional details associated with the issuances of common stock, warrants and embedded conversion options.