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Fair Value Measurements

12 Months Ended

Dec. 31, 2023

Fair Value Disclosures [Abstract]

Fair Value Measurements

11. Fair Value Measurements

The following tables summarize the fair values and levels within the fair value hierarchy in which the fair value measurements fall for assets and liabilities measured on a recurring basis as of:

 Schedule of Fair Value Measurements for Assets and Liabilities

December 31, 2023

Description		Level 1				Level 2				Level 3				Total
Liabilities
Common stock warrants		$	—			$	—			$	35,453			$	35,453
Total		$	—			$	—			$	35,453			$	35,453

December 31, 2022

Description		Level 1				Level 2				Level 3				Total
Liabilities
Common stock warrants		$	—			$	—			$	70,283			$	70,283
2022 Convertible Notes			—				—				5,600,000				5,600,000
Total		$	—			$	—			$	5,670,283			$	5,567,283

The following table presents the changes in Level 3 instruments measured on a recurring basis for the period ended December 31, 2023:

 Schedule of Changes in Level 3 Instruments Measured on a Recurring Basis

Balance at December 31, 2021		$	71,104
Change in fair value of warrants			(821	)
Issuance of 2022 Convertible Notes			4,350,000
Change in fair value of 2022 Convertible Notes			1,250,000
Balance at December 31, 2022			5,670,283
Changes in fair value of warrants			(34,830	)
Changes in fair value of 2022 Convertible Notes			3,630,100
Conversion of 2022 Convertible Notes			(9,230,100	)
Balance at December 31, 2023			35,453

AZITRA, INC.

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS

For the Years Ended December 31, 2023 and 2022

11. Fair Value Measurements (continued)

At December 31, 2023 and 2022, the Company estimated the fair value of the warrants using the Black-Scholes option pricing model with the following assumptions:

 Schedule of Fair Value of Warrants Using Black Scholes Option Pricing Model

		December 31, 2023				December 31, 2022
Underlying common stock value		$	0.92			$	1.70
Expected term (years)			4.29				5.00
Expected volatility			99	%			86	%
Risk free interest rate			4	%			3	%
Dividend yield			—	%			—	%

Fluctuation in the fair value of the Company’s Common stock is the primary driver for the change in the Common Stock Warrant liability valuation during each year. As the fair value of the Common stock increases the value to the holder of the instrument generally increases.

Prior to their redemption, fluctuations in the various inputs, including the enterprise value, time to liquidity, volatility, and discount rate are the primary drivers for the changes in valuation of the 2022 Convertible Notes each reporting period. As the fair value of the enterprise value, estimated time to liquidity, volatility, and discount rate increase, the value to the holder of the 2022 Convertible Notes generally increases.

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- References

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- Definition

The entire disclosure of the fair value measurement of assets and liabilities, which includes financial instruments measured at fair value that are classified in shareholders' equity, which may be measured on a recurring or nonrecurring basis.

+ References

Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef
-Topic 820
-Name Accounting Standards Codification
-Publisher FASB
-URI https://asc.fasb.org//820/tableOfContent

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