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Fair Value of Financial Instruments | 12 Months Ended
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Dec. 31, 2024
Fair Value of Financial Instruments [Abstract] |
Fair Value of Financial Instruments |
6. | Fair Value of Financial Instruments
There were no level 1 or 2 assets or liabilities at December 31, 2024 or 2023. Level 3 assets and liabilities measured and recorded at fair value on a recurring basis at December 31, 2024 and 2023 were as follows:
|  | December 31, 2024 |  |  | December 31, 2023 |
Derivative Liability – Contingent Interest April Note |  | $ | 47,000 |  |  | $ | 431,000 |
Derivative Liability – Contingent Interest September Note |  | $ | 94,000 |  |  | $ | 169,000 |
Derivative Liability – Contingent Interest December Note |  | $ | 275,000 |  |  | $ | 404,000 |
The April 2021 Note derivative liability – contingent interest was valued using a Monte Carlo Geometric Brownian Stock Path Model. The key assumptions used in the model at December 31, 2024 and 2023 are as follows:
|  | December 31, 2024 |  |  | December 31, 2023 |
Stock Price |  | $ | 1.29 |  |  | $ | 1.66 |
Conversion Price of conversion feature |  | $ | 5.00 |  |  | $ | 5.00 |
Term |  | 0.29 years |  |  | 1.29 years |
Risk Free Interest Rate |  |  | 4.37 | % |  |  | 4.79 | %
Credit Adjusted Discount Rate |  |  | 12.43 | % |  |  | 12.86 | %
Volatility |  |  | 152 | % |  |  | 69 | %
Dividend Rate |  |  | 0 | % |  |  | 0 | %
The roll forward of the April 2021 Note derivative liability – contingent interest is as follows:
Balance – December 31, 2022 |  | $ | 249,000 |
Fair Value Adjustment |  |  | 182,000 |
Balance – December 31, 2023 |  |  | 431,000 |
Fair Value Adjustment |  |  | (384,000 | )
Balance – December 31, 2024 |  | $ | 47,000 |
The September 2021 Note derivative liability – contingent interest was valued using a Monte Carlo Geometric Brownian Stock Path Model. The key assumptions used in the model at inception, and at December 31, 2024 and 2023 are as follows:
|  | December 31, 2024 |  |  | December 31, 2023 |
Stock Price |  | $ | 1.29 |  |  | $ | 1.66 |
Conversion Price of conversion feature |  | $ | 8.64 |  |  | $ | 8.64 |
Term |  | 0.72 years |  |  | 1.72 years |
Risk Free Interest Rate |  |  | 4.16 | % |  |  | 4.23 | %
Credit Adjusted Discount Rate |  |  | 12.43 | % |  |  | 12.86 | %
Volatility |  |  | 111 | % |  |  | 75 | %
Dividend Rate |  |  | 0 | % |  |  | 0 | %
The roll forward of the September 2021 Note derivative liability – contingent interest is as follows:
Balance – December 31, 2022 |  | $ | 109,000 |
Fair Value Adjustment |  |  | 60,000 |
Balance – December 31, 2023 |  |  | 169,000 |
Fair Value Adjustment |  |  | (75,000 | )
Balance – December 31, 2024 |  | $ | 94,000 |
The December 2021 Note derivative liability – contingent interest was valued using a Monte Carlo Geometric Brownian Stock Path Model. The key assumptions used in the model at inception, and at December 31, 2024 and 2023 are as follows:
|  | December 31, 2024 |  |  | December 31, 2023 |
Stock Price |  | $ | 1.29 |  |  | $ | 1.66 |
Conversion Price of conversion feature |  | $ | 5.43 |  |  | $ | 5.43 |
Term |  | 0.97 years |  |  | 1.97 years |
Risk Free Interest Rate |  |  | 4.16 | % |  |  | 4.23 | %
Credit Adjusted Discount Rate |  |  | 12.43 | % |  |  | 12.86 | %
Volatility |  |  | 102 | % |  |  | 72 | %
Dividend Rate |  |  | 0 | % |  |  | 0 | %
The roll forward of the December 2021 Note derivative liability – contingent interest is as follows:
Balance – December 31, 2022 |  | $ | 214,000 |
Fair Value Adjustment |  |  | 190,000 |
Balance – December 31, 2023 |  |  | 404,000 |
Fair Value Adjustment |  |  | (129,000 | )
Balance – December 31, 2024 |  | $ | 275,000 |

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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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