v3.25.1
Fair Value Measurements (Tables)
3 Months Ended
Mar. 31, 2025
Fair Value Measurements [Abstract]  
Schedule of Assets and Liabilities Subject to Fair Value Measurements

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 
Schedule of Level 3 Fair Value Measurements for Common Share Warrants and Preferred Share Warrants

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 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   
-
    
-
    - 
Schedule of 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

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 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