Fair Value of Financial Assets and Liabilities

6 Months Ended

Jun. 30, 2023

Fair Value of Financial Assets and Liabilities [Abstract]

FAIR VALUE OF FINANCIAL ASSETS AND LIABILITIES

NOTE 6 - FAIR VALUE OF FINANCIAL ASSETS AND LIABILITIES

The carrying value of cash and cash equivalents, accounts payable and accrued liabilities approximate fair value because of their short-term nature. The Augmenta Note is held at fair value.

The following table presents the Company’s assets and liabilities that are measured at fair value as of June 30, 2023:

	Fair value measured as of June 30, 2023
			Quoted prices in active markets		Significant other observable inputs		Significant unobservable inputs
	Total		(Level 1)		(Level 2)		(Level 3)
Assets
Augmenta Note at fair value	$	1,830,000	$	-	$	-	$	1,830,000

Level 3 Measurement

The following table sets forth a summary of the changes in the fair value of the Company’s Level 3 financial assets that are measured at fair value on a recurring basis:

	Fair Value of Level 3 Augmenta Note
Beginning balance, January 1, 2023	$	1,812,975
Accrued interest receivable		54,441
Change in fair value		(37,416	)
Ending balance, June 30, 2023	$	1,830,000

The fair value of the Augmenta Note is measured using Level 3 (unobservable) inputs. The Company determined the fair value for the Augmenta Note using a probability weighted-scenario valuation model with the assistance of a third-party valuation specialist. The unobservable inputs include estimates of the equity value of Augmenta and the timing and probability of future financing events, optional conversion to common stock, and repayment at maturity. The conversion upon a qualified financing scenario valued the Augmenta Note based on a bond plus call option model. The optional conversion to common stock valued the Augmenta Note based on the present value of common stock, determined using an adjusted net assets method and option-pricing model, and implied number of common shares upon conversion. The repayment upon maturity is based on the total principal and accrued interest through the maturity date.