Quarterly report pursuant to Section 13 or 15(d)

Fair Value Measurements (Tables)

v3.23.3
Fair Value Measurements (Tables)
 9 Months Ended
Sep. 30, 2023
Fair Value Disclosures [Abstract]  
Schedule of Fair Value of Assets and Liabilities Measured on Recurring Basis

The following tables present information about the Company’s assets and liabilities that are measured at fair value on a recurring basis as of September 30, 2023 and December 31, 2022 and indicate the fair value hierarchy of the valuation inputs utilized to determine such fair value:

 

 

 

Balance as of September 30, 2023

 

 

 

Level 1

 

 

Level 2

 

 

Level 3

 

 

Total

 

Assets:

 

 

 

 

 

 

 

 

 

 

 

 

Cash and cash equivalents

 

$

16,578,659

 

 

$

–

 

 

$

–

 

 

$

16,578,659

 

Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

Warrant liability

 

$

–

 

 

$

–

 

 

$

450,000

 

 

$

450,000

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

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

 

$

–

 

 

$

–

 

 

$

–

 

 

$

–

 
Schedule of Estimated Fair Value of the Warrant Liability

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

 

 

 

At March 31, 2023

 

 

At June 30, 2023

 

 

At September 30, 2023

 

Share price

 

$

10.80

 

 

$

4.80

 

 

$

1.60

 

Exercise price

 

$

8.00

 

 

$

8.00

 

 

$

1.66

 

Term (in years)

 

 

6.0

 

 

 

5.7

 

 

 

5.5

 

Volatility

 

 

65

%

 

 

65

%

 

 

75

%

Risk-free rate

 

 

3.6

%

 

 

4.1

%

 

 

4.6

%

Dividend yield

 

 

0

%

 

 

0

%

 

 

0

%