Schedule of Fair Value of Financial Liabilities

The following tables set forth the fair value of the Company’s financial liabilities by level within the fair value hierarchy as of September 30, 2024 and December 31, 2023:


	At September 30, 2024
	Level 1		Level 2		Level 3		Total
Public Warrants(1)	$	—	$	—	$	—	$	—
Junior Note Warrants		—		—		82,333		82,333
Convertible note derivative liability(2)		—		—		37,900		37,900


	At December 31, 2023
	Level 1		Level 2		Level 3		Total
Public Warrants(1)	$	—	$	—	$	—	$	—
Junior Note Warrants		—		—		2,238,519		2,238,519

(1) The Public Warrants are a Level 1 fair value measurement, as noted further below and in Note 10, Warrants, of these consolidated financial statements.

(2) Represents the August 2024 Convertible Note Derivative Liability, as defined and described in Note 8, Notes and Convertible Notes Payable.

Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]

Schedule of Aggregate Fair value of Warrants

The aggregate fair value of the Junior Note Warrants was estimated using a Monte Carlo simulation based approach, a Level 3 valuation. The significant inputs to the calculation of the fair value of the Junior Note Warrant liability were as follows:


	Nine Months Ended September 30, 2024		Year Ended December 31, 2023
Common Stock Warrants:
Stock price	$	0.03 - 0.51	$	0.15 - 0.18
Expected term (in years)		4.2 - 4.9		4.9 - 5.0
Expected volatility		58.9% - 76.9%		66.3%
Risk-free interest rate		3.6% - 4.3%		3.8% - 4.1%
Expected dividend yield		0.0%		0.0%

Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]

Schedule of Aggregate Fair value of Warrants

The aggregate fair value of the August 2024 Convertible Note Derivative Liability was estimated using a Monte Carlo simulation based approach, a Level 3 valuation. The significant inputs to the calculation of the fair value of the August 2024 Convertible Note Derivative Liability during the nine months ended September 30, 3034 were as follows:


	Nine Months Ended September 30, 2024
August 2024 Convertible Note Derivative Liability:
Stock price	$	$0.51 - $1.82
Expected term (in years)		0.35 - 0.46
Expected volatility		253.0% - 285.4%
Risk-free interest rate		4.6% - 5.0%
Expected dividend yield		0.0%

Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]