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Fair Value Measurements
 12 Months Ended
Dec. 31, 2024
Fair Value Measurements  
Fair Value Measurements

(3) Fair Value Measurements

The Company measures certain assets and liabilities at fair value in accordance with ASC 820, Fair Value Measurements and Disclosures. ASC 820 defines fair value as the price that would be received to sell an asset or paid to transfer a liability (the exit price) in an orderly transaction between market participants at the measurement date. The guidance in ASC 820 outlines a valuation framework and creates a fair value hierarchy that serves to increase the consistency and comparability of fair value measurements and the related disclosures. In determining fair value, the Company maximizes the use of quoted prices and observable inputs. Observable inputs are inputs that market participants would use in pricing the asset or liability based on market data obtained from independent sources. The fair value hierarchy is broken down into three levels based on the source of inputs as follows:

Level 1—Valuations based on unadjusted quoted prices in active markets for identical assets or liabilities.

Level 2—Valuations based on observable inputs and quoted prices in active markets for similar assets and liabilities.

Level 3—Valuations based on unobservable inputs and models that are supported by little or no market activity.

The following tables provides the carrying value and fair value of certain financial assets and liabilities of the Company measured at fair value on a recurring basis as of December 31, 2024 and 2023:

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Fair Value Measurement at

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December 31, 2024

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Carrying Value

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Level 1

    

Level 2

    

Level 3

Assets:

​

​

​

​

​

​

​

​

​

​

​

​

Cash equivalents

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$

491,006

​

$

491,006

​

$

—

​

$

—

Total assets measured and recorded at fair value

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$

491,006

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$

491,006

​

$

—

​

$

—

Liabilities:

​

​

​

​

​

​

​

​

​

​

​

​

Warrant liability

​

$

737,000

​

$

—

​

$

—

​

$

737,000

Total liabilities measured and recorded at fair value

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$

737,000

​

$

—

​

$

—

​

$

737,000

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​

​

​

​

​

​

​

​

​

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​

​

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​

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Fair Value Measurement at

​

​

​

​

​

December 31, 2023

​

​

Carrying Value

​

Level 1

    

Level 2

    

Level 3

Assets:

​

​

​

​

​

​

​

​

​

​

​

​

Cash equivalents

​

$

5,136,677

​

$

5,136,677

​

$

—

​

$

—

Total assets measured and recorded at fair value

​

$

5,136,677

​

$

5,136,677

​

$

—

​

$

—

Liabilities:

​

​

​

​

​

​

​

​

​

​

​

​

Warrant liability

​

$

13,680,000

​

$

—

​

$

—

​

$

13,680,000

Total liabilities measured and recorded at fair value

​

$

13,680,000

​

$

—

​

$

—

​

$

13,680,000

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The Company did not transfer any financial instruments into or out of Level 3 classification, during the year ended December 31, 2024 or 2023.

(a)Canaccord Warrants

The common stock warrants issued in connection with the Company’s equity financing in November 2023 (“Canaccord Warrants”) were classified as liabilities at the time of issuance due to certain cash settlement adjustment features that are outside of the Company’s control or not deemed to be indexed to the Company’s stock. The Canaccord Warrant liability is remeasured each reporting period with the change in fair value recorded to other income (expense), net in the statements of operations until the warrants are exercised, expired, reclassified, or otherwise settled. From their date of issuance until the period ended June 30, 2024, the fair value of the Canaccord Warrants was estimated using a Monte Carlo simulation model, given the performance conditions outlined further below. However, during the quarter ended September 30, 2024, the Company determined that certain performance conditions could not be met and that going forward, their use as inputs for determining fair value was no longer appropriate. As such, after the period ended June 30, 2024, the fair value of the Canaccord Warrants is estimated using a Black-Scholes option-pricing model.

The estimated fair value of the Canaccord Warrants is determined using Level 3 inputs. Inherent in both a Monte Carlo simulation model and a Black-Scholes option-pricing model are assumptions related to expected stock-price volatility, expected life, risk-free interest rate and other inputs. The Company estimates the volatility of its warrants based on an implied asset volatility calculated and believed to be reasonable for the Company over the holding period remaining. The risk-free interest rate is based on the market yield of U.S. Treasuries over a term commensurate with the remaining term to expiration. Any changes in these assumptions can change the associated valuation significantly.

The following tables provide quantitative information regarding Level 3 fair value measurements inputs as of their respective measurement dates. The table for the year ending December 31, 2024 presents inputs used under a Black-Scholes option-pricing model. The table for the year ending December 31, 2023 presents inputs used under a Monte Carlo simulation model:

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December 31, 2024

    

December 31, 2023

 

Exercise price

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$

9.00

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$

9.00

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Closing stock price

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$

5.03

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$

18.70

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Number of warrants outstanding

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308,333

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1,200,000

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Phase III data probability of success

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—

%  

 

60

%

Volatility

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80

%  

 

55

%

Term (time to expiration in years)

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3.84

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4.84

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Redemption hurdle price

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$

—

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$

14.25

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Risk-free rate

​

 

4.3

%  

 

3.9

%

​

The Canaccord Warrants were exercisable immediately at an exercise price of $9.00 per unit, and redeemable at the Company’s option, in whole or in part, at a redemption price equal to $0.001 per Warrant upon 30 days’ prior written notice, at any time after:

●the Company’s public announcement of Positive Topline Data (as defined in the Warrant Agreement) from its Phase 3 in patients with Parkinson’s Disease; and
●the date on which (a) the closing price of the Company’s common stock on the principal exchange or trading facility on which it is then traded has equaled or exceeded $14.25 and (b) the average daily trading value (“ADTV”) of the Company’s common stock is equal to or exceeds $2,000,000, for two consecutive Trading Days.

During the year ended December 31, 2024, the Company released topline data from its Phase 3 study in patients with Parkinson’s Disease. It was determined that based on the data, both criteria required for redemption of the Canaccord Warrants were not met. As such, the probability of success and redemption hurdle price inputs were no longer used in the Black-Scholes option-pricing model outlined above for the year ending December 31, 2024.

The Warrants were exercisable immediately and will expire on November 2, 2028, five years from the date of issuance. See Note 7 – Stockholders’ Equity (Deficit) for additional background.