FAIR VALUE MEASUREMENTS

12 Months Ended

Dec. 31, 2023

Fair Value Disclosures [Abstract]

FAIR VALUE MEASUREMENTS

NOTE 4. 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 December 31, 2023
	Fair value on December 31, 2023		Quoted prices in active markets (Level 1)		Significant other observable inputs (Level 2)		Significant unobservable inputs (Level 3)
Warrant liability	$	289,165	$	–	$	–	$	289,165
Derivative Liability		121,326		–		–		121,326
Total Fair value	$	410,491	$	–	$	–	$	410,491

There were no transfers between Level 1, 2, and 3 during the year ended December 31, 2023.

The following table presents changes in Level 3 liabilities measures at fair value for the year ended December 31, 2023. 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 - January 1, 2023	$	–		$	–		$	–
Additional warrant and derivative liability		736,249			320,561			1,056,810
Change in fair value		(447,084	)		(199,235	)		(646,319	)
Balance – December 31, 2023	$	289,165		$	121,326		$	410,491

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.

	As of Issuance		As of Dec 31, 2023
	Warrant Liability		Warrant Liability
Strike Price	$	0.63	$	0.27
Contractual term (years)		5.0		5.0
Volatility (annual)		80.0%		80.0%
Risk-free rate		3.52%		3.89%
Floor Financing price	$	0.50	$	0.14