Quarterly report pursuant to Section 13 or 15(d)

Fair Value Measurements

v3.23.1
Fair Value Measurements
 3 Months Ended
Mar. 31, 2023
Fair Value Disclosures [Abstract]  
Fair Value Measurements

Note 8 – Fair Value Measurements

 

The following tables present information about the Company’s assets and liabilities that are measured at fair value on a recurring basis as of March 31, 2023 and December 31, 2022 and indicate the fair value hierarchy of the valuation inputs utilized to determine such fair value:

 

 

 

Balance as of March 31, 2023

 

 

 

Level 1

 

 

Level 2

 

 

Level 3

 

 

Total

 

Assets:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Cash and cash equivalents

 

$

26,339,960

 

 

$

–

 

 

$

–

 

 

$

26,339,960

 

Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Warrant liability

 

$

–

 

 

$

–

 

 

$

3,135,000

 

 

$

3,135,000

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Balance as of December 31, 2022

 

 

 

Level 1

 

 

Level 2

 

 

Level 3

 

 

Total

 

Assets:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Cash and cash equivalents

 

$

26,287,293

 

 

$

–

 

 

$

–

 

 

$

26,287,293

 

Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Warrant liability

 

$

–

 

 

$

–

 

 

$

–

 

 

$

–

 

 

 

 

There were no transfers among Level 1, Level 2, or Level 3 categories during the periods presented.

 

2023 Warrants

 

The Company utilizes a Monte Carlo simulation model for the 2023 Warrants at each reporting period, with changes in fair value recognized in the statements of operations. The estimated fair value of the 2023 Warrant liability is determined using Level 3 inputs. Inherent in a Monte Carlo simulation model are assumptions related to expected share-price volatility, expected life, risk-free interest rate, and dividend yield.

 

The key inputs into the Monte Carlo simulation model for the 2023 Warrants are as follows:

 

 

 

At March 31, 2023

 

Share price

 

$

0.54

 

Exercise price

 

$

0.40

 

Term (in years)

 

 

6

 

Volatility

 

 

65

%

Risk-free rate

 

 

3.6

%

Dividend yield

 

 

0

%

 

The change in the fair value of the 2023 Warrant liability was determined to be zero during the three months ended March 31, 2023 (see Note 7 – Warrant Liability).