| Schedule of Fair Value, Liabilities Measured on a Recurring Basis |
A reconciliation of the fair value of the convertible notes is as follows: | | | | | | | | | June 30, | | 2024 | | | | Fair value of convertible notes, beginning of period | $ | 20,180,100 | | | | | Fair value of convertible notes issued during period | 30,756,875 | | | | Payments on convertible notes | (20,180,100) | | | | Change in fair value of convertible notes (1) | (2,208,921) | | | | | | | | | Fair value of convertible notes exchanged for common stock | (18,898,924) | | | | | Fair value of convertible notes, end of period | $ | 9,649,030 | | | |
(1) The Company recognizes changes in fair value of convertible notes for Common Stock in Interest income (expense), net in the Condensed Consolidated Statements of Operations.
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| Schedule of Fair Value Measurement Inputs |
We determined the fair value by using the following key inputs to the Monte Carlo Simulation Model: | | | | | | | | | | Issuance Date | | March 15, 2024 | | Maturity Date | | March 15, 2025 | | Principal Balance as of the Valuation Date | | $ | 9,000,000 | | | Risk-Free Rate (Annual) | | 5.3 | % | | Corporate Bond Yield | | 15.78 | % | | Volatility (Annual) | | 85.00 | % |
| | | | | | | | | | Issuance Date | | May 10, 2024 | | Maturity Date | | May 10, 2025 | | Principal Balance as of the Valuation Date | | $ | 6,285,714 | | | Risk-Free Rate (Annual) | | 5.3 | % | | Corporate Bond Yield | | 15.59 | % | | Volatility (Annual) | | 95.00 | % |
| | | | | | | | | | Issuance Date | | May 29, 2024 | | Maturity Date | | May 29, 2025 | | Principal Balance as of the Valuation Date | | $ | 7,000,000 | | | Risk-Free Rate (Annual) | | 5.3 | % | | Corporate Bond Yield | | 15.60 | % | | Volatility (Annual) | | 90.00 | % |
| | | | | | | | | | | | | Valuation Assumptions | June 30, 2024 | | Initial Recognition on March 15, 2024 | | Fair Value | $ | 1,266,294 | | | $ | 4,749,754 | | | Stock Price | $ | 1.57 | | $ | 5.32 | | Strike Price | $ | 7.0000 | | $ | 7.0000 | | Volatility (annual) | 65.0% | | 45.0% | | Risk-Free Rate | 4.3% | | 4.2% | | Estimated time to expiration (years) | 10 | | 10 | | Dividend Yield | 0.0% | | 0.0% |
| | | | | | | | | | | | | Valuation Assumptions | June 30, 2024 | | Initial Recognition on May 10, 2024 | | Fair Value | $ | 1,564,661 | | | $ | 3,706,121 | | | Stock Price | $ | 1.57 | | $ | 3.60 | | Strike Price | $ | 5.8860 | | $ | 5.8860 | | Volatility (annual) | 65.0% | | 50.0% | | Risk-Free Rate | 4.3% | | 4.4% | | Estimated time to expiration (years) | 10 | | 10 | | Dividend Yield | 0.0% | | 0.0% |
| | | | | | | | | | | | | Valuation Assumptions | June 30, 2024 | | Initial Recognition on May 29, 2024 | | Fair Value | $ | 1,749,487 | | | $ | 4,099,389 | | | Stock Price | $ | 1.57 | | $ | 3.80 | | Strike Price | $ | 5.8880 | | $ | 5.8880 | | Volatility (annual) | 65.0% | | 45.0% | | Risk-Free Rate | 4.3% | | 4.5% | | Estimated time to expiration (years) | 10 | | 10 | | Dividend Yield | 0.0% | | 0.0% |
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