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Fair Value Measurements | 12 Months Ended
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Dec. 31, 2024
Fair Value Disclosures [Abstract] |
Fair Value Measurements | NOTE 8 – FAIR VALUE MEASUREMENTS The Company did not have any financial assets measured on a recurring basis. The following tables summarize our fair value hierarchy for our financial liabilities measured at fair value on a recurring basis as of December 31, 2024 and 2023.
|  |  |  | Fair Value at December 31, |
|  | Level |  | 2024 |  |  | 2023 |
Liabilities |  |  |  |  |  |  |  |
37N Note embedded derivative |  | 3 |  | $ | — |  |  | $ | 702,291 |
Put option liability |  | 3 |  |  | — |  |  |  | 5,637,162 |
Litigation financing |  | 3 |  |  | 56,950,377 |  |  |  | 52,115,647 |
2022 Warrants |  | 3 |  |  | 2,060,773 |  |  |  | 13,399,822 |
March 2023 Warrants |  | 3 |  |  | 1,910,950 |  |  |  | — |
December 2023 Warrants |  | 3 |  |  | 827,036 |  |  |  | 2,392,563 |
March 2023 Note Conversion Option |  | 3 |  |  | 2,745,000 |  |  |  | — |
December 2023 Note Conversion Option |  | 3 |  |  | 307,000 |  |  |  | — |
Total of fair valued liabilities |  |  |  | $ | 64,801,136 |  |  | $ | 74,247,485 |
At December 31, 2023, the Company recorded the 37N Note at fair value, Level 3, for which the valuation techniques used to measure the fair value of the Company’s debt instruments are generally based on observable inputs other than quoted prices in an active market. The OML Put Option valuation as of December 31, 2023, was based on expected timing and likelihood of completing the subsequent closings, the exercise period of the equity exchange agreement, share price and volatility. At December 31, 2024 and 2023, the Litigation financing was measured at fair value, Level 3. The Litigation financing valuation was based on the following assumptions: amounts funded by the Funder, the corresponding IRR calculation, applicable percentage applicable to the recovery percentage calculation and management’s good-faith estimates for estimated outcome probabilities and estimated debt repayment dates. The 2022 Warrants, the December 2023 Warrants and the March 2023 Warrants are measured at fair value, Level 3, using a Black-Scholes valuation model. The assumptions used in this model included the use of key inputs, including expected stock volatility, the risk–free interest rate, the expected life of the option and the expected dividend yield. Expected volatility is calculated based on the historical volatility of our Common Stock over the term of the warrant. Risk–free interest rates are calculated based on risk–free rates for the appropriate term. The expected life is estimated based on contractual terms as well as expected exercise dates. The dividend yield is based on the historical dividends issued by us. If the volatility rate or risk-free interest rate were to change, the value of the warrants would be impacted. The embedded derivative for the conversion options on the March 2023 Notes and December 2023 Notes are measured at fair value, Level 3, using the with-and-without valuation method. The assumptions used in this model included the use of key inputs, including expected stock volatility, the risk–free interest rate, the expected life of the option, the expected dividend yield, and the appropriate discount rate. Expected volatility is calculated based on the historical volatility of our Common Stock over the term of the notes. Risk–free interest rates are calculated based on risk–free rates for the appropriate term. The expected life is estimated based on contractual terms. The dividend yield is based on the historical dividends issued by the Company. The discount rate is implied based on other inputs to backsolve the concluded issuance date valuation to the market rate. If the volatility rate or risk-free interest rate were to change, the value of the notes would be impacted. The following tables summarize the fair values and related carrying values of financial instruments at December 31, 2024 that are not required to be remeasured at fair value on a recurring basis.
|  |  |  | December 31, 2024 |
|  | Level |  | Carrying Value |  |  | Fair Value |
Liabilities |  |  |  |  |  |  |  |
March 2023 Note (1) |  | 2 |  | $ | 13,101,995 |  |  | $ | 12,422,050 |
December 2023 Note (1) |  | 2 |  | $ | 6,550,164 |  |  | $ | 6,622,108 |
(1) As of December 31, 2023, prior to the 2024 amendments disclosed in Note 7, Loans Payable which added a conversion feature, the carrying value of the March 2023 Notes and December 2023 Notes approximated their fair value. Items not included in the above disclosures include cash and cash equivalents, accounts and other related party receivables, other current assets and accounts payable. The carrying values of those items, as reflected in the Consolidated Balance Sheets, approximate their fair value at December 31, 2024 and 2023. The fair value of assets and liabilities whose carrying value approximates fair value is determined using Level 2 inputs, with the exception of cash and cash equivalents (Level 1). Changes in our Level 3 fair value measurements were as follows:
|  | 37N Note Conversion Option |  |  | March 2023 Warrants |  |  | December 2023 Warrants |  |  | Put option liability |  |  | March 2023 Conversion Option |  |  | December 2023 Conversion Option |  |  | Litigation financing |  |  | 2022 Warrants |  |  | Total |
Balance as of December 31, 2022 |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | 45,368,948 |  |  | $ | 13,602,467 |  |  | $ | 58,971,415 |
Issuance of new instrument |  |  | 423,696 |  |  |  | — |  |  |  | 2,392,563 |  |  |  | 4,516,007 |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | 7,332,266 |
Issuance of new funding |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | 4,633 |  |  |  | — |  |  |  | 4,633 |
Change in fair value |  |  | 457,690 |  |  |  | — |  |  |  | — |  |  |  | 1,121,155 |  |  |  | — |  |  |  | — |  |  |  | 6,742,066 |  |  |  | (18,045 | ) |  |  | 8,302,866 |
Warrants Exercised |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | (184,600 | ) |  |  | (184,600 | )
Debt conversion to equity |  |  | (179,095 | ) |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | (179,095 | )
Balance as of December 31, 2023 |  | $ | 702,291 |  |  | $ | — |  |  | $ | 2,392,563 |  |  | $ | 5,637,162 |  |  | $ | — |  |  | $ | — |  |  | $ | 52,115,647 |  |  | $ | 13,399,822 |  |  | $ | 74,247,485 |
Debt conversion to equity |  |  | (341,601 | ) |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | (341,601 | )
Added conversion option (embedded derivative) |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | 690,000 |  |  |  | 161,000 |  |  |  | — |  |  |  | — |  |  |  | 851,000 |
Classification of warrants as liability |  |  | — |  |  |  | 7,754,438 |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | 7,754,438 |
Warrant repricing (Note 7) |  |  | — |  |  |  | 808,508 |  |  |  | 348,168 |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | 1,156,676 |
Change in fair value |  |  | (360,690 | ) |  |  | (6,651,996 | ) |  |  | (1,913,695 | ) |  |  | (5,637,162 | ) |  |  | 2,055,000 |  |  |  | 146,000 |  |  |  | 4,834,730 |  |  |  | (11,339,049 | ) |  |  | (18,866,862 | )
Balance as of December 31, 2024 |  | $ | — |  |  | $ | 1,910,950 |  |  | $ | 827,036 |  |  | $ | — |  |  | $ | 2,745,000 |  |  | $ | 307,000 |  |  | $ | 56,950,377 |  |  | $ | 2,060,773 |  |  | $ | 64,801,136 |
Additional information about the litigation financing liability and embedded derivative liability related to the March 2023 Notes and December 2023 Notes is included in Note 9, Derivative Financial Instruments.

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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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