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Note N - Fair Value of Financial Instruments | 12 Months Ended
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Dec. 31, 2024
Notes to Financial Statements |
Fair Value Disclosures [Text Block] |
N. | Fair Value of Financial Instruments
The accounting standard for fair value measurements provides a framework for measuring fair value and requires disclosures regarding fair value measurements. Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date, based on the Company’s principal or, in absence of a principal, most advantageous market for the specific asset or liability. The Company uses a three-tier fair value hierarchy to classify and disclose all assets and liabilities measured at fair value on a recurring basis, as well as assets and liabilities measured at fair value on a non-recurring basis, in periods subsequent to their initial measurement. The hierarchy requires the Company to use observable inputs when available, and to minimize the use of unobservable inputs, when determining fair value. The three tiers are defined as follows:
| ● | Level 1—Observable inputs that reflect quoted market prices (unadjusted) for identical assets or liabilities in active markets;
| ● | Level 2—Observable inputs other than quoted prices in active markets that are observable either directly or indirectly in the marketplace for identical or similar assets and liabilities; and
| ● | Level 3—Unobservable inputs that are supported by little or no market data, which require the Company to develop its own assumptions.
The carrying amounts of certain financial instruments, including cash and cash equivalents, accounts and other receivables, accounts payable and accrued expenses, the Nantahala Note, and the margin account approximate their respective fair values due to the short-term nature of such instruments. Assets and Liabilities Measured at Fair Value on a Recurring Basis The Company evaluates its financial assets and liabilities subject to fair value measurements on a recurring basis to determine the appropriate level in which to classify them for each reporting period. This determination requires significant judgments to be made. The following table summarizes the conclusions reached regarding fair value measurements as of December 31, 2024, and 2023 (in thousands):
|  |  |  |  |  | Quoted Prices |  |  | Significant |  |  |  |  |
|  |  |  |  |  | in Active |  |  | Other |  |  | Significant |
|  | Balance at |  |  | Markets for |  |  | Observable |  |  | Unobservable |
|  | December 31, |  |  | Identical Assets |  |  | Inputs |  |  | Inputs |
|  | 2024 |  |  | (Level 1) |  |  | (Level 2) |  |  | (Level 3) |
CVR liability (Note T) |  | $ | 3,500 |  |  | $ | - |  |  | $ | - |  |  | $ | 3,500 |
Warrant liabilities |  |  | 17,804 |  |  |  | - |  |  |  | - |  |  |  | 17,804 |
Total liabilities |  | $ | 21,304 |  |  | $ | - |  |  | $ | - |  |  | $ | 21,304 |
Securities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
U.S. Treasury securities |  | $ | 35,711 |  |  | $ | 35,711 |  |  | $ | - |  |  | $ | - |
Corporate bonds |  |  | 6,010 |  |  |  | - |  |  |  | 6,010 |  |  |  | - |
Total assets |  | $ | 41,721 |  |  | $ | 35,711 |  |  | $ | 6,010 |  |  | $ | - |
|  |  |  |  |  | Quoted Prices |  |  | Significant |  |  |  |  |
|  |  |  |  |  | in Active |  |  | Other |  |  | Significant |
|  | Balance at |  |  | Markets for |  |  | Observable |  |  | Unobservable |
|  | December 31, |  |  | Identical Assets |  |  | Inputs |  |  | Inputs |
|  | 2023 |  |  | (Level 1) |  |  | (Level 2) |  |  | (Level 3) |
CVR liability (Note T) |  | $ | 7,262 |  |  | $ | - |  |  | $ | - |  |  | $ | 7,262 |
Warrant liabilities |  |  | 16,100 |  |  |  | - |  |  |  | - |  |  |  | 16,100 |
Total liabilities |  | $ | 23,362 |  |  | $ | - |  |  | $ | - |  |  | $ | 23,362 |
Securities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
U.S. Treasury securities |  | $ | 24,688 |  |  | $ | 24,688 |  |  |  | - |  |  | $ | - |
Total assets |  | $ | 24,688 |  |  | $ | 24,688 |  |  | $ | - |  |  | $ | - |
The common stock warrant liabilities were recorded at fair value using the Black-Scholes option pricing model. The following assumptions were used in determining the fair value of the warrant liabilities valued using the Black-Scholes option pricing model as of December 31, 2024, and 2023:
|  | December 31, 2024 |  |  | December 31, 2023 |
Risk-free interest rate |  |  | 4.08% | - | 4.23% |  |  |  | 3.76% | - | 4.12% |
Volatility |  |  | 62.14% | - | 68.68% |  |  |  | 62.01% | - | 92.42% |
Dividend yield |  |  | —% |  |  |  | —% |
Expected term (years) |  |  | 1.02 | - | 3.89 |  |  |  | 2.0 | - | 4.9 |
Weighted average fair value |  |  | $3.25 |  |  |  | $2.94 |
The following table is a reconciliation for the common stock warrant liabilities measured at fair value using Level 3 unobservable inputs (in thousands):
Balance at December 31, 2023 |  | $ | 16,100 |
Change in fair value measurement |  |  | 1,704 |
Balance at December 31, 2024 |  | $ | 17,804 |
For the year ended December 31, 2024, the changes in fair value of the warrant liabilities primarily resulted from the volatility of the Company's common stock and the change in the risk-free interest rates.

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- Definition The entire disclosure for the fair value of financial instruments (as defined), including financial assets and financial liabilities (collectively, as defined), and the measurements of those instruments as well as disclosures related to the fair value of non-financial assets and liabilities. Such disclosures about the financial instruments, assets, and liabilities would include: (1) the fair value of the required items together with their carrying amounts (as appropriate); (2) for items for which it is not practicable to estimate fair value, disclosure would include: (a) information pertinent to estimating fair value (including, carrying amount, effective interest rate, and maturity, and (b) the reasons why it is not practicable to estimate fair value; (3) significant concentrations of credit risk including: (a) information about the activity, region, or economic characteristics identifying a concentration, (b) the maximum amount of loss the entity is exposed to based on the gross fair value of the related item, (c) policy for requiring collateral or other security and information as to accessing such collateral or security, and (d) the nature and brief description of such collateral or security; (4) quantitative information about market risks and how such risks are managed; (5) for items measured on both a recurring and nonrecurring basis information regarding the inputs used to develop the fair value measurement; and (6) for items presented in the financial statement for which fair value measurement is elected: (a) information necessary to understand the reasons for the election, (b) discussion of the effect of fair value changes on earnings, (c) a description of [similar groups] items for which the election is made and the relation thereof to the balance sheet, the aggregate carrying value of items included in the balance sheet that are not eligible for the election; (7) all other required (as defined) and desired information. + References Reference 1: http://www.xbrl.org/2003/role/exampleRef -Topic 820 -SubTopic 10 -Name Accounting Standards Codification -Section 55 -Paragraph 107 -Publisher FASB -URI https://asc.fasb.org/1943274/2147482078/820-10-55-107 Reference 2: http://www.xbrl.org/2003/role/exampleRef -Topic 820 -SubTopic 10 -Name Accounting Standards Codification -Section 55 -Paragraph 100 -Publisher FASB -URI https://asc.fasb.org/1943274/2147482078/820-10-55-100 Reference 3: http://www.xbrl.org/2003/role/disclosureRef -Topic 820 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 2 -Subparagraph (c)(3) -Publisher FASB -URI https://asc.fasb.org/1943274/2147482106/820-10-50-2 Reference 4: http://www.xbrl.org/2003/role/disclosureRef -Topic 820 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 6A -Subparagraph (a) -Publisher FASB -URI https://asc.fasb.org/1943274/2147482106/820-10-50-6A Reference 5: http://www.xbrl.org/2003/role/disclosureRef -Topic 820 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 2E -Publisher FASB -URI https://asc.fasb.org/1943274/2147482106/820-10-50-2E Reference 6: http://www.xbrl.org/2003/role/disclosureRef -Topic 820 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 6A -Subparagraph (h) -Publisher FASB -URI https://asc.fasb.org/1943274/2147482106/820-10-50-6A Reference 7: http://www.xbrl.org/2003/role/disclosureRef -Topic 820 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 6A -Subparagraph (f) -Publisher FASB -URI https://asc.fasb.org/1943274/2147482106/820-10-50-6A Reference 8: http://www.xbrl.org/2003/role/disclosureRef -Topic 820 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 6A -Subparagraph (e) -Publisher FASB -URI https://asc.fasb.org/1943274/2147482106/820-10-50-6A Reference 9: http://www.xbrl.org/2003/role/disclosureRef -Topic 820 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 6A -Subparagraph (d) -Publisher FASB -URI https://asc.fasb.org/1943274/2147482106/820-10-50-6A Reference 10: http://www.xbrl.org/2003/role/disclosureRef -Topic 820 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 2 -Subparagraph (h) -Publisher FASB -URI https://asc.fasb.org/1943274/2147482106/820-10-50-2 Reference 11: http://www.xbrl.org/2003/role/disclosureRef -Topic 820 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 2 -Subparagraph (g) -Publisher FASB -URI https://asc.fasb.org/1943274/2147482106/820-10-50-2 Reference 12: http://www.xbrl.org/2003/role/disclosureRef -Topic 940 -SubTopic 820 -Name Accounting Standards Codification -Section 50 -Paragraph 1 -Subparagraph (a) -Publisher FASB -URI https://asc.fasb.org/1943274/2147478119/940-820-50-1 + Details
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