Fair Value of Financial Assets and Liabilities

9 Months Ended

Sep. 30, 2024

Fair Value of Financial Assets and Liabilities [Abstract]

FAIR VALUE OF FINANCIAL ASSETS AND LIABILITIES

NOTE 7 - 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 was held at fair value until the Conversion Date. After the conversion, there are no assets and liabilities measured at fair value.

The following table presents the Company’s assets and liabilities that are measured at fair value as of December 31, 2023:

	Fair value measured as of December 31, 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	$	2,310,000	$	-	$	-	$	2,310,000

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		111,782
Change in fair value		385,243
Ending balance, December 31, 2023		2,310,000
Accrued interest receivable		27,219
Change in fair value		(560,473	)
Conversion of note receivable		(1,776,746	)
Ending balance, September 30, 2024	$	-

The fair value of the Augmenta Note was 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 included 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 was based on the total principal and accrued interest through the maturity date. At the Conversion Date, the fair value of the Augmenta Note was determined by the derived equity value of Augmenta, based on the ownership percentage obtained by all notes that were converted on the Conversion Date.