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FAIR VALUE MEASUREMENT
 6 Months Ended
Jun. 30, 2024
Investments, All Other Investments [Abstract]  
FAIR VALUE MEASUREMENT

NOTE 6 – FAIR VALUE MEASUREMENT

 

On February 8, 2024, in connection with the Warrant Exercise and Issuance, the Company estimated the aggregate fair value of the Existing Warrants (see Note 4 - Stockholders’ Equity for details) to be $1,115,334 using the Black-Scholes option pricing model (Level 3 inputs). The following table shows the detail of the valuation assumptions used:

 

   February 8, 2024 
Risk free interest rate   4.20 - 4.28%
Expected term (years)   2.75 - 2.76 
Expected volatility   102%
Expected dividends   0.00%

 

On February 8, 2024, the Company estimated the aggregate issuance date fair value of the derivative liability related to the New Warrants (see Note 4 - Stockholders’ Equity for details) as $2,189,420 using the Black-Scholes option pricing model (Level 3 inputs).

 

 

The following table shows the detail of the valuation assumptions used:

 

   February 8, 2024 
Risk free interest rate   4.12%
Expected term (years)   5.00 
Expected volatility   101%
Expected dividends   0.00%

 

On June 30, 2024, the Company estimated the aggregate fair value of warrants that are accounted for as derivative liabilities to be $4,491,969 using the Black-Scholes option price model (Level 3 inputs) and, accordingly, recognized a loss on the change in fair value of these derivative liabilities of $1,873,930 during the six months ended June 30, 2024. The following table shows the detail of the valuation assumptions used:

 

   June 30, 2024 
Risk free interest rate   4.37 - 4.62%
Expected term (years)   2.36 - 4.61 
Expected volatility   103% - 106%
Expected dividends   0.00%

 

The following table sets forth a summary of the changes in the fair value of Level 3 liabilities that are measured at fair value on a recurring basis during the six months ended June 30, 2024:

 

Balance, January 1, 2024 (as restated)  $1,543,953 
Issuance of warrants   2,189,420 
Exercise of warrants   (1,115,334)
Change in fair value of derivative liability   1,873,930 
Balance, June 30, 2024  $4,491,969 

 

Assets and liabilities measured at fair value on a recurring basis are as follows:

 

   Fair value measurements at reporting date using: 
   Quoted prices in active markets for identical liabilities (Level 1)   Significant other observable inputs (Level 2)   Significant unobservable inputs (Level 3)   Total Fair Value 
Assets:                    
Marketable securities as of June 30, 2024  $12,428,218   $-   $-   $12,428,218 
Marketable securities as of December 31, 2023  $10,181,618   $-   $-   $10,181,618 
                     
Liabilities:                    
Marketable securities as of June 30, 2024  $-   $-   $4,491,969   $4,491,969 
Derivative liabilities as of December 31, 2023 (as restated)  $-   $-   $1,543,953   $1,543,953