v3.25.1
Fair Value Measurements
 3 Months Ended
Mar. 31, 2025
Fair Value Measurements [Abstract]  
FAIR VALUE MEASUREMENTS

NOTE 16. FAIR VALUE MEASUREMENTS

 

The Company accounts for certain assets and liabilities at fair value and classifies these assets and liabilities within the fair value hierarchy (Level 1, Level 2, or Level 3).

 

Assets and liabilities subject to fair value measurements are as follows:

 

   As of March 31, 2025 
   Level 1   Level 2   Level 3   Total 
Liabilities                
Warrant liabilities – Common Share Warrants  $
    -
   $
    -
   $43,309   $43,309 
Warrant liabilities – Preferred Share Warrants   
-
    
-
    23    23 
Derivative Liability   
-
    
-
    89,729    89,729 
Total liabilities  $
-
   $
-
   $133,061   $133,061 

 

   As of December 31, 2024 
   Level 1   Level 2   Level 3   Total 
Liabilities                
Warrant liabilities – Common Share Warrants  $
    -
   $
    -
   $486,494   $486,494 
Warrant liabilities – Preferred Share Warrants   
-
    
-
    64    64 
Derivative Liability   
-
    
-
    313,191    313,191 
Total liabilities  $
-
   $
-
   $799,749   $799,749 

 

The Common Share Warrants and the Preferred Share Warrants were valued using a Black-Scholes option pricing model utilizing assumptions related to the contractual terms of the instruments, estimated volatility of the price of the Common Stock and current interest rates.

 

The following table provides quantitative information regarding Level 3 fair value measurements for Common Share Warrants and Preferred Share Warrants as of March 31, 2025.

 

   Preferred
Share
Warrant
March 31,
2025		   Common
Share
Warrant
March 31,
2025		 
Exercise price  $17.58   $11.50 
Share price  $0.59   $0.59 
Volatility   114.23%   114.23%
Expected life   1.00    1.70 
Risk-free rate   4.03%   1.35%
Dividend yield   
-
    
-
 

The following table provides quantitative information regarding Level 3 fair value measurements for initial value of the Common Share Warrants as of January 13, 2025.

 

   Common
Share
Warrant
January 13, 2025		 
Exercise price  $11.50 
Share price  $0.99 
Volatility   106.26%
Expected life   1.91 
Risk-free rate   2.06%
Dividend yield   
-
 

 

The following table provides quantitative information regarding Level 3 fair value measurements for Common Share Warrants and Preferred Share Warrants as of December 31, 2024.

 

   Preferred
Share
Warrant
December 31,
2024		   Common
Share
Warrant
December 31,
2024		 
Exercise price  $17.58   $11.50 
Share price  $0.96   $0.96 
Volatility   106.26%   106.26%
Expected life   1.00    4.95 
Risk-free rate   4.16%   4.38%
Dividend yield   
-
    
-
 

 

The following table presents a summary of the changes in the fair value of the Private Warrants and Representative’s Warrants, a Level 3 liability, measured on a recurring basis.

 

   Common
Share
Warrants		   Preferred
Share
Warrants		   Warrant
Liability		 
Fair value as of December 31, 2024  $486,494   $64   $486,558 
Initial Measurement, January 13, 2025   33,357    
-
    33,357 
Change in fair value   (476,542)   (41)   (476,583)
Fair value as of March 31, 2025   43,309    23    43,332 

 

The conversion upon the event of default derivative liability of the Convertible Promissory Note was valued using a Black Scholes option pricing model terms related to the terms of the Convertible Promissory Note (see Note 11), estimated volatility of the price of the Common Stock and current interest rates.

 

The following table provides quantitative information regarding Level 3 fair value measurements for the conversion upon the event of default derivative liability as of March 31, 2025, January 13, 2025 and December 31, 2024.

 

   March 31,
2025		   Initial Value
January 13,
2025		   December 31,
2024		 
Exercise price  $10.00   $10.00   $10.00 
Share price  $0.59   $0.99   $0.96 
Volatility   114.23%   106.26%   106.26%
Expected life   1.70    1.91    4.95 
Risk-free rate   1.35%   2.06%   4.38%
Dividend yield   
-
    
-
    - 

The following table presents a summary of the changes in the fair value of the conversion upon the event of default derivative liability, a Level 3 liability, measured on a recurring basis.

 

   Derivative
liability		 
Fair value as of December 31, 2024  $313,191 
Initial measurement, January 13, 2025   49,017 
Change in fair value   (272,479)
Fair value as of March 31, 2024   89,729