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Fair Value Measurements | 9 Months Ended
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Sep. 30, 2025
Fair Value Measurements [Abstract] |
Fair Value Measurements |
5. | Fair Value Measurements
The following table presents information about the Company’s assets and liabilities that are measured at fair value on a recurring basis as of September 30, 2025 and December 31, 2024, and indicates the fair value hierarchy of the valuation inputs the Company’s utilized to determine such fair value:
|  |  |  |  | September 30, |  |  | December 31, |
Description |  | Level |  |  | 2025 |  |  | 2024 |
Assets: |  |  |  |  |  |  |  |  |
Forward purchase agreement asset (Note 9) |  | 3 |  |  | $ | - |  |  | $ | 155 |
SEPA put rights asset (Note 11) |  | 3 |  |  |  | 243 |  |  |  | 188 |
Liabilities: |  |  |  |  |  |  |  |  |  |  |
Embedded derivative liability (Note 11) |  | 3 |  |  | $ | - |  |  | $ | 80 |
The Forward Purchase Agreement was fully settled on January 28, 2025 for $132 cash received by the Company. The fair value of the Company’s position under the Forward Purchase Agreement was calculated as of December 31, 2024 by multiplying the number of shares under the Forward Purchase Agreement by the market price at the settlement date estimated using a Monte-Carlo simulation incorporating the following assumptions:
|  | December 31, |
|  | 2024 |
Stock price |  | $ | 53.70 |
Risk-free interest rate |  |  | 4.4 | %
Expected term (in years) |  |  | 0.1 |
Expected volatility |  |  | 98 | %
Expected dividend yield |  |  | 0 | %
The fair value of the SEPA put rights asset was estimated as the sum of the fair values of the put rights under each assumed advance notice over the term of the SEPA. The number of shares under each advance notice was based on the historical trading volumes of the Company’s stock taking into account the beneficial ownership and daily volume limitations. The fair value of the put rights under each advance notice was estimated using the Black Scholes model, incorporating the following assumptions:
|  | September 30, |  |  | December 31, |
|  | 2025 |  |  | 2024 |
Stock price |  | $ | 6.72 |  |  | $ | 53.70 |
Risk-free interest rate |  |  | 3.7 – 4.1 | % |  |  | 4.2 | %
Exercise price |  | $ | 6.45 |  |  | $ | 51.60 |
Expected term (in years) |  |  | 0.1 - 1.2 |  |  |  | 1 - 2 |
Expected volatility |  |  | 100 | % |  |  | 93-99 | %
Expected dividend yield |  |  | 0 | % |  |  | 0 | %
Number of shares under each advance notice |  |  | 26,667 |  |  |  | 1,883 |
The fair value of the embedded derivative feature was $0 as of September 30, 2025 and estimated to be $80 as of December 31, 2024, based on the difference between the fair value of the convertible note with these embedded features and the fair value without each one of these embedded features. As of December 31, 2024, the assumptions incorporated into the valuation model included the stock price of $53.70, the estimated future price per share of $61.80 (derived using Monte Carlo Simulation), the expected volatility of 99%, the risk-free rate of 4.18% and the term of 0.9 years. The fair values of the Embedded Derivative Liability associated with the conversion of the First and Second Convertible Notes (see Note 11) of $703 and $243, respectively, were based on the difference between the fair value of the common stock shares issued upon conversion and the outstanding note balance at the conversion date. The changes in the fair value of Level 3 financial assets and liabilities for the nine months ended September 30, 2025 are as follows:
|  | Forward Purchase Agreement Asset |  |  | SEPA Put Rights Asset |  |  | Embedded Derivative Liabilities |
Fair value as of January 1, 2025 |  | $ | 155 |  |  | $ | 188 |  |  | $ | 80 |
Initial measurement at the issuance date (see Note 11) |  |  | - |  |  |  | - |  |  |  | 93 |
Settlement |  |  | (132 | ) |  |  | - |  |  |  | (946 | )
Change in fair value |  |  | (23 | ) |  |  | 55 |  |  |  | 773 |
Fair value as of September 30, 2025 |  | $ | - |  |  | $ | 243 |  |  | $ | - |

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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/disclosureRef -Topic 820 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 2 -Subparagraph (bbb)(1) -Publisher FASB -URI https://asc.fasb.org/1943274/2147482106/820-10-50-2 Reference 2: 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 3: 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 4: 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 5: 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 6: 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 7: 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 8: 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 9: 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 10: 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 11: 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 12: 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 13: 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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