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Fair Value Measurements | 12 Months Ended
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Dec. 31, 2024
Fair Value Measurements [Abstract] |
FAIR VALUE MEASUREMENTS | 4. FAIR VALUE MEASUREMENTS The following table presents information about the Company’s financial liabilities that are measured at fair value on a recurring basis as of December 31, 2024 and December 31, 2023, by level within the fair value hierarchy (in thousands):
|  | Fair value measured as of December 31, 2024 |
|  | Fair value at December 31, 2024 |  |  | Quoted prices in active markets (Level 1) |  |  | Significant other observable inputs (Level 2) |  |  | Significant unobservable inputs (Level 3) |
Warrant liabilities |  | $ | 6,451 |  |  | $ | 6,409 |  |  | $ | - |  |  | $ | 41 |
Short-term notes payable- Yorkville |  |  | 2,365 |  |  |  | - |  |  |  | - |  |  |  | 2,365 |
|  | $ | 8,816 |  |  | $ | 6,409 |  |  | $ | - |  |  | $ | 2,406 |
|  | Fair value measured as of December 31, 2023 |
|  | Fair value at December 31, 2023 |  |  | Quoted prices in active markets (Level 1) |  |  | Significant other observable inputs (Level 2) |  |  | Significant unobservable inputs (Level 3) |
Warrant liabilities |  | $ | 1,818 |  |  | $ | 1,771 |  |  | $ | - |  |  | $ | 47 |
There were no transfers between Level 1, 2 or 3 during the years ended December 31, 2024 and 2023. Fair values of cash, accounts receivable, accounts payable, accrued expenses, and short-term debt (other than the notes payable with Yorkville) are carried at cost, which management believes approximates fair value due to the short-term nature of these instruments. The fair value of the Public Warrants, which trade in active markets, is based on quoted market prices and classified in Level 1 of the fair value hierarchy. The SP Angel Warrants are classified within Level 3 of the fair value hierarchy because their fair values are based on significant inputs that are unobservable in the market. The following table presents changes in Level 3 warrant liabilities measured at fair value for the years ended December 31, 2024 and 2023 (in thousands):
Balance - January 1, 2023 |  | $ | 129 |
Change in fair value |  |  | (82 | )
Balance - January 1, 2024 |  | $ | 47 |
Change in fair value |  |  | (6 | )
Balance - December 31, 2024 |  | $ | 41 |
Both observable and unobservable inputs were used to determine the fair value of warrants that the Company has classified within the Level 3 category. Unrealized gains and losses associated with warrant liabilities within the Level 3 category include changes in fair value that were attributable to both observable (e.g., changes in market interest rates) and unobservable (e.g., changes in unobservable long- dated volatilities) inputs. The following table provides quantitative information regarding Level 3 warrant liability fair value measurements inputs at their measurement:
|  | December 31, |  |  | December 31, |
|  | 2024 |  |  | 2023 |
Strike price (per share) |  | $ | 7.32 |  |  | $ | 7.32 |
Contractual term (years) |  |  | 2.5 |  |  |  | 3.5 |
Volatility (annual) |  |  | 70.6 | % |  |  | 71.2 | %
Risk-free rate |  |  | 4.3 | % |  |  | 4.0 | %
Dividend yield (per share) |  |  | 0.0 | % |  |  | 0.0 | %
Valuation of short-term notes payable – Yorkville The Company elected the fair value option to account for the financial instrument with Yorkville signed on March 20, 2024 (see Note 7). The estimate of the fair value as of December 31, 2024 was determined using a binomial lattice model. The fair value measurement of the debt is determined using Level 3 inputs and assumptions unobservable in the market. Changes in the fair value of debt that is accounted for at fair value, inclusive of related accrued interest expense, are presented as gains or losses as a component of other income (expense) in the accompanying consolidated statements of operations and comprehensive loss under change in fair value of debt. The actual settlement of the short-term debt could differ from current estimates based on the timing of when and if Yorkville elects to convert amounts into common shares, potential cash repayment by the Company prior to maturity, and movements in the Company’s common stock price. The following table provides a rollforward of the aggregate fair values of the Company’s Yorkville debt for which fair values are determined using Level 3 inputs (in thousands):
Balance as of January 1, 2024 |  | $ | - |
Addition of short-term notes payable |  |  | 11,500 |
Principal repayments |  |  | (9,355 | )
Fair value adjustment |  |  | 220 |
Balance as of December 31, 2024 |  |  | 2,365 |
The following table provides quantitative information regarding Level 3 fair value measurements inputs at their measurement:
|  | December 31, |
|  | 2024 |
Expected term (years) |  |  | 0.05 – 0.13 |
Volatility (annual) |  |  | 100 | %
Risk-free rate |  |  | 4.34 – 4.35 | %
Valuation of forward options in B. Riley ELOC and Yorkville SEPA The B. Riley ELOC and Yorkville SEPA are accounted for as derivatives and will be recognized at fair value. The Company has determined the fair value of the purchase put option in the Company’s shares to be immaterial. Any changes in fair value between the carrying amount of the forward issuance contracts and the settlement amounts will be recognized in other income (expense) in the consolidated statement of operations and comprehensive loss. For the year ended December 31, 2024, the Company determined there were immaterial changes in derivative liability fair value related to the B. Riley ELOC the Yorkville SEPA. The Company recorded no liability for the forward issuance contract, as there are no such contracts outstanding at December 31, 2024.

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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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