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Fair Value Measurements
 9 Months Ended
Sep. 30, 2025
Fair Value Disclosures [Abstract]  
Fair Value Measurements

NOTE 11 – FAIR VALUE MEASUREMENTS

 

The Company did not have any financial assets measured on a recurring basis. The following tables summarize our fair value hierarchy for our financial liabilities measured at fair value on a recurring basis as of September 30, 2025 and December 31, 2024.

 

 

 

 

Fair Value at

 

 

 

Level

 

September 30, 2025

 

 

December 31, 2024

 

Liabilities

 

 

 

 

 

 

 

 

Litigation financing

 

3

 

$

64,716,855

 

 

$

56,950,377

 

2022 Warrants

 

3

 

 

7,706,773

 

 

 

2,060,773

 

March 2023 Warrants

 

3

 

 

3,708,615

 

 

 

1,910,950

 

December 2023 Warrants

 

3

 

 

2,785,926

 

 

 

827,036

 

March 2023 Note Conversion Option

 

3

 

 

986,000

 

 

 

2,745,000

 

December 2023 Note Conversion Option

 

3

 

 

488,000

 

 

 

307,000

 

Total of fair valued liabilities

 

 

 

$

80,392,169

 

 

$

64,801,136

 

 

The Litigation financing valuation was based on the following assumptions: amounts funded by the Funder, the corresponding IRR calculation, applicable percentage applicable to the recovery percentage calculation and management’s good-faith estimates for estimated outcome probabilities and estimated debt repayment dates.

The 2022 Warrants, the December 2023 Warrants and the March 2023 Warrants are measured using a Black-Scholes valuation model. The assumptions used in this model included the use of key inputs, including expected stock volatility, the risk–free interest rate, the expected life of the option and the expected dividend yield. Expected volatility is calculated based on the historical volatility of our Common Stock over the term of the warrant. Risk–free interest rates are calculated based on risk–free rates for the appropriate term. The expected life is estimated based on contractual terms as well as expected exercise dates. The dividend yield is based on the historical dividends issued by us. If the volatility rate or risk-free interest rate were to change, the value of the warrants would be impacted.

The embedded derivatives for the conversion options on the March 2023 Notes and December 2023 Notes are measured at fair value, Level 3, using the with-and-without valuation method. The assumptions used in this model included key inputs, including expected stock volatility, the risk–free interest rate, the expected life of the option, the expected dividend yield, and the appropriate discount rate. Expected volatility is calculated based on the historical volatility of our Common Stock over the term of the notes. Risk–free interest rates are calculated based on risk–free rates for the appropriate term. The expected life is estimated based on contractual terms. The dividend yield is based on the historical dividends issued by the Company. The discount rate is derived based on a risk-adjusted market rate for CCC-rated corporate bond yields. If the volatility rate or risk-free interest rate were to change, the value of the notes would be impacted.

The following table summarizes the fair values and related carrying values of financial instruments at September 30, 2025 and December 31, 2024 that are not required to be remeasured at fair value on a recurring basis.

 

 

 

September 30, 2025

 

 

December 31, 2024

 

 

 

Level

 

Carrying Value

 

 

Fair Value

 

 

Carrying Value

 

 

Fair Value

 

Liabilities

 

 

 

 

 

 

 

 

 

 

 

 

 

 

March 2023 Note

 

2

 

$

2,659,732

 

 

$

3,109,625

 

 

$

11,561,365

 

 

$

12,422,050

 

December 2023 Note

 

2

 

$

2,749,226

 

 

$

2,996,296

 

 

$

6,024,342

 

 

$

6,622,108

 

 

Items not included in the above disclosures include cash and cash equivalents, accounts and other related party receivables, other current assets and accounts payable. The carrying values of those items, as reflected in the condensed consolidated balance sheets, approximate their fair value at September 30, 2025 and December 31, 2024. The fair value of assets and liabilities whose carrying value approximates fair value is determined using Level 2 inputs, with the exception of cash and cash equivalents, which is determined using Level 1.

 

The table above also does not include the intangible assets related to the mining concession rights. As discussed in Note 7 – Joint Venture, the Company contributed concession rights to Phosagmex, subject to reinstatement of the concessions. As these rights have not been reinstated, the carrying value in the Company’s financial statements is zero; however, the Company estimated the fair value of the concession rights to be $1.9 million as of August 29, 2025, the contribution date. The fair value was determined under the Guideline Public Company method. Significant inputs include the estimated discount due to uncertainty of reinstatement (85%-95%), estimated capital expenditures necessary to commence mining operations ($91.2 million), discount rate (12.5%), estimated market multiple (0.65 x), and debt to true interest cost ratio (35%).

 

Changes in our Level 3 fair value measurements were as follows:

 

 

 

37N Note
Conversion Option

 

 

March 2023
Warrants

 

 

December 2023
Warrants

 

 

Put option
liability

 

 

March 2023
Conversion Option

 

 

December 2023
Conversion Option

 

 

Litigation
financing

 

 

2022 Warrants

 

 

Total

 

Balance as of December 31, 2024

 

$

—

 

 

$

1,910,950

 

 

$

827,036

 

 

$

—

 

 

$

2,745,000

 

 

$

307,000

 

 

$

56,950,377

 

 

$

2,060,773

 

 

$

64,801,136

 

Change in fair value

 

 

—

 

 

 

(967,708

)

 

 

(420,606

)

 

 

—

 

 

 

(2,317,000

)

 

 

(141,000

)

 

 

1,713,439

 

 

 

(1,090,063

)

 

 

(3,222,938

)

Balance as of March 31, 2025

 

 

—

 

 

 

943,242

 

 

 

406,430

 

 

 

—

 

 

 

428,000

 

 

 

166,000

 

 

 

58,663,816

 

 

 

970,710

 

 

 

61,578,198

 

Warrants Exercised

 

 

—

 

 

 

(615,685

)

 

 

—

 

 

 

—

 

 

 

—

 

 

 

—

 

 

 

—

 

 

 

—

 

 

 

(615,685

)

Change in fair value

 

 

—

 

 

 

2,249,835

 

 

 

1,205,399

 

 

 

—

 

 

 

2,667,000

 

 

 

343,000

 

 

 

806,206

 

 

 

3,413,384

 

 

 

10,684,824

 

Balance as of June 30, 2025

 

 

—

 

 

 

2,577,392

 

 

 

1,611,829

 

 

 

—

 

 

 

3,095,000

 

 

 

509,000

 

 

 

59,470,022

 

 

 

4,384,094

 

 

 

71,647,337

 

Change in fair value

 

 

—

 

 

 

1,131,223

 

 

 

1,174,097

 

 

 

—

 

 

 

(2,109,000

)

 

 

(21,000

)

 

 

5,246,833

 

 

 

3,322,679

 

 

 

8,744,832

 

Balance as of September 30, 2025

 

$

—

 

 

$

3,708,615

 

 

$

2,785,926

 

 

$

—

 

 

$

986,000

 

 

$

488,000

 

 

$

64,716,855

 

 

$

7,706,773

 

 

$

80,392,169

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Balance as of December 31, 2023

 

$

702,291

 

 

$

—

 

 

$

2,392,563

 

 

$

5,637,162

 

 

$

—

 

 

$

—

 

 

$

52,115,647

 

 

$

13,399,822

 

 

$

74,247,485

 

Change in fair value

 

 

(365,434

)

 

 

(2,491,420

)

 

 

(124,091

)

 

 

(1,252,385

)

 

 

—

 

 

 

—

 

 

 

576,173

 

 

 

(4,197,744

)

 

 

(7,854,901

)

Classification of warrants as liability

 

 

—

 

 

 

7,754,438

 

 

 

—

 

 

 

—

 

 

 

—

 

 

 

—

 

 

 

—

 

 

 

—

 

 

 

7,754,438

 

Balance as of March 31, 2024

 

 

336,857

 

 

 

5,263,018

 

 

 

2,268,472

 

 

 

4,384,777

 

 

 

—

 

 

 

—

 

 

 

52,691,820

 

 

 

9,202,078

 

 

 

74,147,022

 

 Debt conversion - 55,000 common shares

 

 

(96,582

)

 

 

—

 

 

 

—

 

 

 

—

 

 

 

—

 

 

 

—

 

 

 

—

 

 

 

—

 

 

 

(96,582

)

Change in fair value

 

 

11,023

 

 

 

2,161,967

 

 

 

1,128,816

 

 

 

1,009,132

 

 

 

—

 

 

 

—

 

 

 

769,995

 

 

 

3,844,530

 

 

 

8,925,463

 

Balance as of June 30, 2024

 

 

251,298

 

 

 

7,424,985

 

 

 

3,397,288

 

 

 

5,393,909

 

 

 

—

 

 

 

—

 

 

 

53,461,815

 

 

 

13,046,608

 

 

 

82,975,903

 

 Debt conversion - 55,000 common shares

 

 

(97,056

)

 

 

—

 

 

 

—

 

 

 

—

 

 

 

—

 

 

 

—

 

 

 

—

 

 

 

—

 

 

 

(97,056

)

Change in fair value

 

 

(6,279

)

 

 

(5,913,083

)

 

 

(2,745,188

)

 

 

(5,285,472

)

 

 

—

 

 

 

—

 

 

 

5,206,553

 

 

 

(10,798,965

)

 

 

(19,542,434

)

Balance as of September 30, 2024

 

$

147,963

 

 

$

1,511,902

 

 

$

652,100

 

 

$

108,437

 

 

$

—

 

 

$

—

 

 

$

58,668,368

 

 

$

2,247,643

 

 

$

63,336,413

 

 

Additional information about the litigation financing liability and embedded derivative liability related to the March 2023 Notes and December 2023 Notes is included in Note 12 – Derivative Financial Instruments.