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FAIR VALUE MEASUREMENTS (Tables)
 9 Months Ended 12 Months Ended
Sep. 30, 2025
Dec. 31, 2024
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]    
Schedule of Fair Value of Financial Assets and Financial Liabilities

The following tables set forth the fair value of the Company’s financial assets and liabilities by level within the fair value hierarchy as of September 30, 2025 and December 31, 2024:

 

 

At September 30, 2025

 

 

 

Level 1

 

 

Level 2

 

 

Level 3

 

 

Total

 

Assets:

 

 

 

 

 

 

 

 

 

 

 

 

Convertible Note Receivable

 

$

—

 

 

$

—

 

 

$

2,011,700

 

 

$

2,011,700

 

Total assets

 

$

—

 

 

$

—

 

 

$

2,011,700

 

 

$

2,011,700

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

Junior Note Warrants

 

$

—

 

 

$

—

 

 

$

57,593

 

 

$

57,593

 

Offering Common Stock Warrants

 

 

—

 

 

 

—

 

 

 

21,604,491

 

 

 

21,604,491

 

Notes payable - fair value option

 

 

—

 

 

 

—

 

 

 

10,861,237

 

 

 

10,861,237

 

SEPA liability

 

 

—

 

 

 

—

 

 

 

3,467,142

 

 

 

3,467,142

 

Claims settlement liability

 

 

—

 

 

 

—

 

 

 

502,196

 

 

 

502,196

 

Total liabilities

 

$

—

 

 

$

—

 

 

$

36,492,659

 

 

$

36,492,659

 

 

 

 

 

At December 31, 2024

 

 

 

Level 1

 

 

Level 2

 

 

Level 3

 

 

Total

 

Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

Junior Note Warrants

 

$

—

 

 

$

—

 

 

$

128,615

 

 

$

128,615

 

Convertible note derivative liability (1)

 

 

—

 

 

 

—

 

 

 

37,900

 

 

 

37,900

 

Total liabilities

 

$

—

 

 

$

—

 

 

$

166,515

 

 

$

166,515

 

 

(1)
Represents the August 2024 Convertible Note Derivative Liability, as defined and described in Note 8. In March 2025, the remaining August 2024 Convertible Notes were purchased by Indigo Capital and subsequently extinguished. For additional information, see Note 8.

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

 

 

At December 31, 2024

 

 

 

Level 1

 

 

Level 2

 

 

Level 3

 

 

Total

 

Junior Note Warrants

 

$

—

 

 

$

—

 

 

$

128,615

 

 

$

128,615

 

Convertible note derivative liability (1)

 

 

—

 

 

 

—

 

 

 

37,900

 

 

 

37,900

 

 

 

 

At December 31, 2023

 

 

 

Level 1

 

 

Level 2

 

 

Level 3

 

 

Total

 

Junior Note Warrants

 

$

—

 

 

$

—

 

 

$

2,238,519

 

 

$

2,238,519

 

 

(1)
Represents the August 2024 Convertible Note Derivative Liability, as defined and described in Note 8, Notes and Convertible Notes Payable.
Schedule of Changes in Fair Value of Financial Assets

The following table sets forth a summary of the changes in fair value of the Company's Convertible Note Receivable:

 

 

 

 

 

 

Three Months Ended
September 30,

 

 

Nine Months Ended
September 30,

 

 

 

 

 

 

 

2025

 

 

2025

 

Fair value, beginning balance

 

 

 

 

 

$

748,600

 

 

$

—

 

Fair value at issuance

 

 

 

 

 

 

—

 

 

 

260,000

 

Principal additions

 

 

 

 

 

 

2,307,394

 

 

 

2,957,394

 

Contributions from related party

 

 

 

 

 

 

—

 

 

 

(150,000

)

Change in fair value

 

 

 

 

 

 

(1,044,294

)

 

 

(1,055,694

)

Fair value, ending balance

 

 

 

 

 

$

2,011,700

 

 

$

2,011,700

 
 
Schedule of company's assets and liabilities that are measured at fair value on a recurring basis

The following tables set forth the fair value of the Company’s financial assets and liabilities by level within the fair value hierarchy as of September 30, 2025 and December 31, 2024:

 

 

At September 30, 2025

 

 

 

Level 1

 

 

Level 2

 

 

Level 3

 

 

Total

 

Assets:

 

 

 

 

 

 

 

 

 

 

 

 

Convertible Note Receivable

 

$

—

 

 

$

—

 

 

$

2,011,700

 

 

$

2,011,700

 

Total assets

 

$

—

 

 

$

—

 

 

$

2,011,700

 

 

$

2,011,700

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

Junior Note Warrants

 

$

—

 

 

$

—

 

 

$

57,593

 

 

$

57,593

 

Offering Common Stock Warrants

 

 

—

 

 

 

—

 

 

 

21,604,491

 

 

 

21,604,491

 

Notes payable - fair value option

 

 

—

 

 

 

—

 

 

 

10,861,237

 

 

 

10,861,237

 

SEPA liability

 

 

—

 

 

 

—

 

 

 

3,467,142

 

 

 

3,467,142

 

Claims settlement liability

 

 

—

 

 

 

—

 

 

 

502,196

 

 

 

502,196

 

Total liabilities

 

$

—

 

 

$

—

 

 

$

36,492,659

 

 

$

36,492,659

 

 

 

 

 

At December 31, 2024

 

 

 

Level 1

 

 

Level 2

 

 

Level 3

 

 

Total

 

Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

Junior Note Warrants

 

$

—

 

 

$

—

 

 

$

128,615

 

 

$

128,615

 

Convertible note derivative liability (1)

 

 

—

 

 

 

—

 

 

 

37,900

 

 

 

37,900

 

Total liabilities

 

$

—

 

 

$

—

 

 

$

166,515

 

 

$

166,515

 

 

(1)
Represents the August 2024 Convertible Note Derivative Liability, as defined and described in Note 8. In March 2025, the remaining August 2024 Convertible Notes were purchased by Indigo Capital and subsequently extinguished. For additional information, see Note 8.

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

 

 

At December 31, 2024

 

 

 

Level 1

 

 

Level 2

 

 

Level 3

 

 

Total

 

Junior Note Warrants

 

$

—

 

 

$

—

 

 

$

128,615

 

 

$

128,615

 

Convertible note derivative liability (1)

 

 

—

 

 

 

—

 

 

 

37,900

 

 

 

37,900

 

 

 

 

At December 31, 2023

 

 

 

Level 1

 

 

Level 2

 

 

Level 3

 

 

Total

 

Junior Note Warrants

 

$

—

 

 

$

—

 

 

$

2,238,519

 

 

$

2,238,519

 

 

(1)
Represents the August 2024 Convertible Note Derivative Liability, as defined and described in Note 8, Notes and Convertible Notes Payable.
Notes Payable Fair Value Option [Member]    
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]    
Schedule of Fair Value Notes Payable Recorded Under Fair Value Option

The fair value of the Company's notes payable recorded under the fair value option was estimated using Level 3 fair value measurements. The range of significant inputs to the calculation of the fair value of the notes payable recorded under the fair value option at issuance through September 30, 2025 were as follows:

 

 

Nine Months Ended September 30, 2025

Valuation Inputs:

 

Indigo Capital Convertible Notes(1)

 

Diagonal
Convertible Note(1)

 

Agile Note(2)

 

Brick Lane
Convertible Notes(1)(3)

 

Bomore
Convertible Notes(3)

Stock price

$

0.15 - 0.35

$

0.14 - 0.35

 

N/A

$

0.15 - 0.35

$

0.15 - 0.35

Expected term (in years)

 

0.42 - 1.00

 

0.41 - 0.79

 

0.24 - 0.58

 

0.67 - 1.00

 

0.71 - 1.00

Expected volatility

 

194.6% - 268.7%

 

145.6% - 245.4%

 

N/A

 

258.4%

 

N/A

Risk-free interest rate

 

3.7% - 4.2%

 

3.8% - 4.2%

 

N/A

 

4.1%

 

N/A

Risk-adjusted discount rate

 

0.0% - 12.9%

 

N/A

 

18.0% - 19.1%

 

N/A

 

N/A

Expected dividend yield

 

N/A

 

N/A

 

N/A

 

N/A

 

N/A

 

 

 

 

Nine Months Ended September 30, 2025

Valuation Inputs:

 

Boot
Convertible Note(1)

 

Torcross Convertible Note(3)

 

TAG Promissory Note(1)

 

AZ Promissory Note (Related Party)(1)

 

Yorkville Promissory Note (Related Party)(1)

Stock price

$

0.14 - 0.35

$

0.15 - 0.35

$

0.15 - 0.32

$

0.15 - 0.35

$

0.35

Expected term (in years)

 

0.41 - 0.79

 

0.73 - 1.00

 

0.33 - 0.55

 

0.58 - 0.81

 

2.90

Expected volatility

 

157.9% - 245.4%

 

N/A

 

120.5% - 196.2%

 

146.0% - 231.3%

 

206.0%

Risk-free interest rate

 

3.9% - 4.2%

 

N/A

 

4.0% - 4.3%

 

3.8% - 4.2%

 

3.7%

Risk-adjusted discount rate

 

N/A

 

N/A

 

N/A

 

N/A

 

N/A

Expected dividend yield

 

N/A

 

N/A

 

N/A

 

N/A

 

N/A
(1)
Fair value was estimated using a Monte Carlo simulation model, which incorporates significant assumptions including the expected volatility of the Company's stock price, the risk-free interest rate, and the timing and probability of future liquidity events.
(2)
Fair value was estimated using a discounted cash flow method, which applies a risk-adjusted discount rate to projected future cash flows. The valuation involves significant judgment in determining key inputs such as forecasted revenue growth, margin expectations and discount rates.
(3)
Fair value was estimated using the current value method, which allocates the Company's most recent enterprise value to the various classes of equity based on their respective rights and preferences.
  
Schedule of Changes in Fair Value of Financial Liabilities

The following tables set forth a summary of the changes in fair value of the Company's notes payable recorded under the fair value option:

 

 

Three Months Ended September 30, 2025

 

 

 

Beginning Balance

 

 

Issuance

 

 

Additions & (Payments)

 

 

Conversion

 

 

Change in Fair Value

 

 

Ending Balance

 

Indigo Capital Convertible Notes

 

$

6,262,378

 

 

$

468,158

 

 

$

—

 

 

$

(2,284,909

)

 

$

27,888

 

 

$

4,473,515

 

AZ Promissory Note (related party)

 

 

—

 

 

 

2,645,200

 

 

 

—

 

 

 

—

 

 

 

34,300

 

 

 

2,679,500

 

TAG Promissory Note (related party)

 

 

—

 

 

 

1,639,914

 

 

 

—

 

 

 

—

 

 

 

26,212

 

 

 

1,666,126

 

Diagonal Convertible Notes

 

 

393,220

 

 

 

299,242

 

 

 

—

 

 

 

—

 

 

 

(38,124

)

 

 

654,338

 

Agile Note

 

 

874,560

 

 

 

—

 

 

 

(400,001

)

 

 

—

 

 

 

(38,759

)

 

 

435,800

 

Brick Lane Convertible Notes

 

 

270,839

 

 

 

177,366

 

 

 

—

 

 

 

(131,452

)

 

 

16,773

 

 

 

333,526

 

Bomore Convertible Notes

 

 

1,383,639

 

 

 

—

 

 

 

—

 

 

 

(1,112,798

)

 

 

20,468

 

 

 

291,309

 

Boot Convertible Note

 

 

189,961

 

 

 

—

 

 

 

—

 

 

 

—

 

 

 

(8,492

)

 

 

181,469

 

Torcross Convertible Note

 

 

135,420

 

 

 

—

 

 

 

—

 

 

 

—

 

 

 

10,234

 

 

 

145,654

 

Yorkville Promissory Note

 

 

—

 

 

 

1,255,700

 

 

 

(1,250,000

)

 

 

—

 

 

 

(5,700

)

 

 

—

 

Total

 

$

9,510,017

 

 

$

6,485,580

 

 

$

(1,650,001

)

 

$

(3,529,159

)

 

$

44,800

 

 

$

10,861,237

 

 

 

 

Nine Months Ended September 30, 2025

 

 

 

Beginning Balance

 

 

Issuance

 

 

Additions & (Payments)

 

 

Conversion

 

 

Change in Fair Value

 

 

Ending Balance

 

Indigo Capital Convertible Notes

 

$

—

 

 

$

9,482,632

 

 

$

—

 

 

$

(5,953,849

)

 

$

944,732

 

 

$

4,473,515

 

AZ Promissory Note (related party)

 

 

—

 

 

 

2,645,200

 

 

 

—

 

 

 

—

 

 

 

34,300

 

 

 

2,679,500

 

TAG Promissory Note (related party)

 

 

—

 

 

 

1,639,914

 

 

 

—

 

 

 

—

 

 

 

26,212

 

 

 

1,666,126

 

Diagonal Convertible Notes

 

 

—

 

 

 

699,197

 

 

 

—

 

 

 

—

 

 

 

(44,859

)

 

 

654,338

 

Agile Note

 

 

—

 

 

 

500,000

 

 

 

(341,584

)

 

 

—

 

 

 

277,384

 

 

 

435,800

 

Brick Lane Convertible Notes

 

 

—

 

 

 

2,742,750

 

 

 

—

 

 

 

(2,396,025

)

 

 

(13,199

)

 

 

333,526

 

Bomore Convertible Notes

 

 

—

 

 

 

1,411,829

 

 

 

—

 

 

 

(1,112,798

)

 

 

(7,722

)

 

 

291,309

 

Boot Convertible Note

 

 

—

 

 

 

193,215

 

 

 

—

 

 

 

—

 

 

 

(11,746

)

 

 

181,469

 

Torcross Convertible Note

 

 

—

 

 

 

133,883

 

 

 

—

 

 

 

—

 

 

 

11,771

 

 

 

145,654

 

Yorkville Promissory Note

 

 

—

 

 

 

1,255,700

 

 

 

(1,250,000

)

 

 

—

 

 

 

(5,700

)

 

 

—

 

Total

 

$

—

 

 

$

20,704,320

 

 

$

(1,591,584

)

 

$

(9,462,672

)

 

$

1,211,173

 

 

$

10,861,237

 
 
Schedule of changes in fair value of warrant liabilities

The following tables set forth a summary of the changes in fair value of the Company's notes payable recorded under the fair value option:

 

 

Three Months Ended September 30, 2025

 

 

 

Beginning Balance

 

 

Issuance

 

 

Additions & (Payments)

 

 

Conversion

 

 

Change in Fair Value

 

 

Ending Balance

 

Indigo Capital Convertible Notes

 

$

6,262,378

 

 

$

468,158

 

 

$

—

 

 

$

(2,284,909

)

 

$

27,888

 

 

$

4,473,515

 

AZ Promissory Note (related party)

 

 

—

 

 

 

2,645,200

 

 

 

—

 

 

 

—

 

 

 

34,300

 

 

 

2,679,500

 

TAG Promissory Note (related party)

 

 

—

 

 

 

1,639,914

 

 

 

—

 

 

 

—

 

 

 

26,212

 

 

 

1,666,126

 

Diagonal Convertible Notes

 

 

393,220

 

 

 

299,242

 

 

 

—

 

 

 

—

 

 

 

(38,124

)

 

 

654,338

 

Agile Note

 

 

874,560

 

 

 

—

 

 

 

(400,001

)

 

 

—

 

 

 

(38,759

)

 

 

435,800

 

Brick Lane Convertible Notes

 

 

270,839

 

 

 

177,366

 

 

 

—

 

 

 

(131,452

)

 

 

16,773

 

 

 

333,526

 

Bomore Convertible Notes

 

 

1,383,639

 

 

 

—

 

 

 

—

 

 

 

(1,112,798

)

 

 

20,468

 

 

 

291,309

 

Boot Convertible Note

 

 

189,961

 

 

 

—

 

 

 

—

 

 

 

—

 

 

 

(8,492

)

 

 

181,469

 

Torcross Convertible Note

 

 

135,420

 

 

 

—

 

 

 

—

 

 

 

—

 

 

 

10,234

 

 

 

145,654

 

Yorkville Promissory Note

 

 

—

 

 

 

1,255,700

 

 

 

(1,250,000

)

 

 

—

 

 

 

(5,700

)

 

 

—

 

Total

 

$

9,510,017

 

 

$

6,485,580

 

 

$

(1,650,001

)

 

$

(3,529,159

)

 

$

44,800

 

 

$

10,861,237

 

 

 

 

Nine Months Ended September 30, 2025

 

 

 

Beginning Balance

 

 

Issuance

 

 

Additions & (Payments)

 

 

Conversion

 

 

Change in Fair Value

 

 

Ending Balance

 

Indigo Capital Convertible Notes

 

$

—

 

 

$

9,482,632

 

 

$

—

 

 

$

(5,953,849

)

 

$

944,732

 

 

$

4,473,515

 

AZ Promissory Note (related party)

 

 

—

 

 

 

2,645,200

 

 

 

—

 

 

 

—

 

 

 

34,300

 

 

 

2,679,500

 

TAG Promissory Note (related party)

 

 

—

 

 

 

1,639,914

 

 

 

—

 

 

 

—

 

 

 

26,212

 

 

 

1,666,126

 

Diagonal Convertible Notes

 

 

—

 

 

 

699,197

 

 

 

—

 

 

 

—

 

 

 

(44,859

)

 

 

654,338

 

Agile Note

 

 

—

 

 

 

500,000

 

 

 

(341,584

)

 

 

—

 

 

 

277,384

 

 

 

435,800

 

Brick Lane Convertible Notes

 

 

—

 

 

 

2,742,750

 

 

 

—

 

 

 

(2,396,025

)

 

 

(13,199

)

 

 

333,526

 

Bomore Convertible Notes

 

 

—

 

 

 

1,411,829

 

 

 

—

 

 

 

(1,112,798

)

 

 

(7,722

)

 

 

291,309

 

Boot Convertible Note

 

 

—

 

 

 

193,215

 

 

 

—

 

 

 

—

 

 

 

(11,746

)

 

 

181,469

 

Torcross Convertible Note

 

 

—

 

 

 

133,883

 

 

 

—

 

 

 

—

 

 

 

11,771

 

 

 

145,654

 

Yorkville Promissory Note

 

 

—

 

 

 

1,255,700

 

 

 

(1,250,000

)

 

 

—

 

 

 

(5,700

)

 

 

—

 

Total

 

$

—

 

 

$

20,704,320

 

 

$

(1,591,584

)

 

$

(9,462,672

)

 

$

1,211,173

 

 

$

10,861,237

 
 
Junior Note Warrants [Member]    
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]    
Schedule of Aggregate Fair value of Warrants The range of significant inputs to the calculation of the fair value of the Junior Note Warrant liability during the periods presented were as follows:

 

 

 

Nine Months Ended September 30,

 

 

 

2025

 

 

2024

Junior Note Warrants:

 

 

 

 

 

 

Stock price

 

$

0.15 - 0.35

 

$

0.03 - 0.51

Expected term (in years)

 

 

3.2 - 4.4

 

 

4.2 - 4.9

Expected volatility

 

 

62.4% - 182%

 

 

58.9% - 76.9%

Risk-free interest rate

 

 

3.7% - 3.9%

 

 

3.6% - 4.3%

Expected dividend yield

 

 

0.0%

 

 

0.0%

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:

 

 

Year Ended December 31,

 

 

2024

 

2023

Common Stock Warrants:

 

 

 

 

 

 

Stock price

 

$

0.03 - 0.67

 

$

0.15 - 0.18

Expected term (in years)

 

 

3.9 - 4.9

 

 

4.9 - 5.0

Expected volatility

 

 

58.9% - 79.6%

 

 

66.3%

Risk-free interest rate

 

 

3.6% - 4.3%

 

 

3.8% - 4.1%

Expected dividend yield

 

 

0.0%

 

 

0.0%
Schedule of Changes in Fair Value of Financial Liabilities

The following table sets forth a summary of the changes in fair value of the Company's Junior Note Warrants issued in November 2023:

 

 

 

 

 

 

Three Months Ended September 30,

 

 

Nine Months Ended September 30,

 

 

 

 

 

 

 

2025

 

 

2024

 

 

2025

 

 

2024

 

Fair value, beginning balance

 

 

 

 

 

$

18,301

 

 

$

452,007

 

 

$

128,615

 

 

$

2,238,519

 

Change in fair value

 

 

 

 

 

 

39,292

 

 

 

(369,674

)

 

 

(71,022

)

 

 

(2,156,186

)

Fair value, ending balance

 

 

 

 

 

$

57,593

 

 

$

82,333

 

 

$

57,593

 

 

$

82,333

 

 

The following tables set forth a summary of the changes in fair value of the Company's Junior Note Warrants issued in November 2023:

 

Year Ended
December 31,

 

 

2024

 

Fair value as of December 31, 2023

$

2,238,519

 

Change in fair value

 

(2,109,904

)

Fair value as of December 31, 2024

$

128,615

 

 

 

Year Ended
December 31,

 

 

2023

 

Fair value at issuance

$

—

 

Recognition of Junior Note Warrants upon issuance

 

2,668,169

 

Change in fair value

 

(429,650

)

Fair value as of December 31, 2023

$

2,238,519

 
Schedule of changes in fair value of warrant liabilities

The following table sets forth a summary of the changes in fair value of the Company's Junior Note Warrants issued in November 2023:

 

 

 

 

 

 

Three Months Ended September 30,

 

 

Nine Months Ended September 30,

 

 

 

 

 

 

 

2025

 

 

2024

 

 

2025

 

 

2024

 

Fair value, beginning balance

 

 

 

 

 

$

18,301

 

 

$

452,007

 

 

$

128,615

 

 

$

2,238,519

 

Change in fair value

 

 

 

 

 

 

39,292

 

 

 

(369,674

)

 

 

(71,022

)

 

 

(2,156,186

)

Fair value, ending balance

 

 

 

 

 

$

57,593

 

 

$

82,333

 

 

$

57,593

 

 

$

82,333

 

 

The following tables set forth a summary of the changes in fair value of the Company's Junior Note Warrants issued in November 2023:

 

Year Ended
December 31,

 

 

2024

 

Fair value as of December 31, 2023

$

2,238,519

 

Change in fair value

 

(2,109,904

)

Fair value as of December 31, 2024

$

128,615

 

 

 

Year Ended
December 31,

 

 

2023

 

Fair value at issuance

$

—

 

Recognition of Junior Note Warrants upon issuance

 

2,668,169

 

Change in fair value

 

(429,650

)

Fair value as of December 31, 2023

$

2,238,519

 
August 2024 Convertible Note Derivative Liability [Member]    
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 year ended December 31, 2024 were as follows:

 

 

Year Ended December 31, 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%
Schedule of Changes in Fair Value of Financial Liabilities

The following table sets forth a summary of the changes in fair value of the Company's August 2024 Convertible Note Derivative Liability:

 

 

 

 

 

 

Three Months Ended September 30,

 

 

Nine Months Ended September 30,

 

 

 

 

 

 

 

2025

 

 

2024

 

 

2025

 

 

2024

 

Fair value, beginning balance

 

 

 

 

 

$

—

 

 

$

—

 

 

$

37,900

 

 

$

—

 

Initial recognition at fair value

 

 

 

 

 

 

—

 

 

 

179,000

 

 

 

—

 

 

$

179,000

 

Change in fair value

 

 

 

 

 

 

—

 

 

 

(141,100

)

 

 

—

 

 

$

(141,100

)

Extinguishment of August 2024 Convertible Notes

 

 

 

 

 

 

—

 

 

 

—

 

 

 

(37,900

)

 

 

—

 

Fair value, ending balance

 

 

 

 

 

$

—

 

 

$

37,900

 

 

$

—

 

 

$

37,900

 

The following table sets forth a summary of the changes in fair value of the Company's August 2024 Convertible Note Derivative Liability:

Fair value as of December 31, 2023

$

—

 

Initial recognition at fair value

 

179,000

 

Change in fair value

 

(141,100

)

Fair value as of December 31, 2024

$

37,900

 
Schedule of changes in fair value of warrant liabilities

The following table sets forth a summary of the changes in fair value of the Company's August 2024 Convertible Note Derivative Liability:

 

 

 

 

 

 

Three Months Ended September 30,

 

 

Nine Months Ended September 30,

 

 

 

 

 

 

 

2025

 

 

2024

 

 

2025

 

 

2024

 

Fair value, beginning balance

 

 

 

 

 

$

—

 

 

$

—

 

 

$

37,900

 

 

$

—

 

Initial recognition at fair value

 

 

 

 

 

 

—

 

 

 

179,000

 

 

 

—

 

 

$

179,000

 

Change in fair value

 

 

 

 

 

 

—

 

 

 

(141,100

)

 

 

—

 

 

$

(141,100

)

Extinguishment of August 2024 Convertible Notes

 

 

 

 

 

 

—

 

 

 

—

 

 

 

(37,900

)

 

 

—

 

Fair value, ending balance

 

 

 

 

 

$

—

 

 

$

37,900

 

 

$

—

 

 

$

37,900

 

The following table sets forth a summary of the changes in fair value of the Company's August 2024 Convertible Note Derivative Liability:

Fair value as of December 31, 2023

$

—

 

Initial recognition at fair value

 

179,000

 

Change in fair value

 

(141,100

)

Fair value as of December 31, 2024

$

37,900

 
Offering Common Stock Warrants [Member]    
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]    
Schedule of Aggregate Fair value of Warrants The range of significant inputs to the calculation of the fair value of the warrant liability related to the Offering Common Stock Warrants at issuance through September 30, 2025 were as follows:

 

 

 

 

 

 

Nine Months Ended September 30,

 

 

 

 

 

 

2025

Offering Common Stock Warrants:

 

 

 

 

 

 

Stock price

 

 

 

 

$

0.1395 - 0.1488

Expected term (in years)

 

 

 

 

 

5

Expected volatility

 

 

 

 

 

144.0% - 145.0%

Risk-free interest rate

 

 

 

 

 

3.6% - 3.7%

Expected dividend yield

 

 

 

 

 

0.0%
 
Schedule of Changes in Fair Value of Financial Liabilities

The following table sets forth a summary of the changes in fair value of the Company's Offering Common Stock Warrants:

 

 

 

 

 

 

Three and Nine Months Ended September 30,

 

 

 

 

 

 

 

2025

 

Fair value, beginning balance

 

 

 

 

 

$

—

 

Fair value allocation at issuance

 

 

 

 

 

 

20,747,899

 

Exercises

 

 

 

 

 

 

(496,714

)

Change in fair value

 

 

 

 

 

 

1,353,306

 

Fair value, ending balance

 

 

 

 

 

$

21,604,491

 
 
Schedule of changes in fair value of warrant liabilities

The following table sets forth a summary of the changes in fair value of the Company's Offering Common Stock Warrants:

 

 

 

 

 

 

Three and Nine Months Ended September 30,

 

 

 

 

 

 

 

2025

 

Fair value, beginning balance

 

 

 

 

 

$

—

 

Fair value allocation at issuance

 

 

 

 

 

 

20,747,899

 

Exercises

 

 

 

 

 

 

(496,714

)

Change in fair value

 

 

 

 

 

 

1,353,306

 

Fair value, ending balance

 

 

 

 

 

$

21,604,491

 
 
SEPA Liability [Member]    
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]    
Schedule of Changes in Fair Value of the Company's SEPA Liability

The following table sets forth a summary of the changes in fair value of the Company's SEPA liability:

 

 

 

 

 

 

Three Months Ended
September 30,

 

 

Nine Months Ended
September 30,

 

 

 

 

 

 

 

2025

 

 

2025

 

Fair value, beginning balance

 

 

 

 

 

$

3,297,922

 

 

$

—

 

Fair value at issuance

 

 

 

 

 

 

—

 

 

 

3,582,724

 

Common stock issued (1)

 

 

 

 

 

 

(2,308,076

)

 

 

(2,853,385

)

Settlement of Yorkville Promissory Note

 

 

 

 

 

 

1,261,880

 

 

 

1,261,880

 

Cash receipts under SEPA liability

 

 

 

 

 

 

568,973

 

 

 

568,973

 

Change in fair value

 

 

 

 

 

 

646,443

 

 

 

906,950

 

Fair value, ending balance

 

 

 

 

 

$

3,467,142

 

 

$

3,467,142

 

 

(1)
Includes the fair value of the shares issued to the SEPA Investor in connection with the commitment fee payable under the SEPA in an amount equal to 1% of the Commitment Amount, or $1,000,000, to be paid 50% on execution of the SEPA and 50% to be paid 90 days after execution of the SEPA, as further detailed in Note 11.
  
Schedule of Significant Inputs to Calculation of Fair Value SEPA Liability The range of significant inputs to the calculation of the fair value of the SEPA liability at issuance through September 30, 2025 were as follows:

 

 

 

 

 

 

 

Nine Months Ended September 30,

 

 

 

 

 

 

2025

SEPA Liability

 

 

 

 

 

 

Stock price

 

 

 

 

$

0.15 - 0.37

Expected term (in years)

 

 

 

 

 

2.70 - 3.00

Expected volatility

 

 

 

 

 

198.0% - 205.0%

Risk-free interest rate

 

 

 

 

 

3.6% - 3.9%

Expected dividend yield

 

 

 

 

 

0.0%

 

  
Claims Settlement [Member]    
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]    
Schedule of Changes in Fair Value of Financial Assets

The following table sets forth a summary of the changes in fair value of the Company's Claims Settlement liability:

 

 

 

 

 

 

Three and Nine Months Ended September 30,

 

 

 

 

 

 

 

2025

 

Fair value, beginning balance

 

 

 

 

 

$

—

 

Fair value at issuance

 

 

 

 

 

 

9,627,408

 

Common stock issued

 

 

 

 

 

 

(6,540,488

)

Change in fair value

 

 

 

 

 

 

(2,584,724

)

Fair value, ending balance

 

 

 

 

 

$

502,196

 
 
Schedule of Aggregate Fair value of Warrants The range of significant inputs to the calculation of the fair value of the claims settlement liability at issuance and September 30, 2025 were as follows:

 

 

 

 

 

 

Nine Months Ended September 30,

 

 

 

 

 

 

2025

Claims Settlement Liability

 

 

 

 

 

 

Stock price

 

 

 

 

$

0.15 - 0.31

Expected term (in years)

 

 

 

 

 

0.50 - 0.70

Expected volatility

 

 

 

 

 

143.1% - 213.4%

Risk-free interest rate

 

 

 

 

 

3.8% - 4.2%
 
Convertible Notes Receivable [Member]    
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]    
Schedule of Aggregate Fair value of Warrants The significant inputs to the calculation of the fair value of the Convertible Note Receivable at issuance through September 30, 2025 were as follows:

 

 

 

 

 

 

Nine Months Ended September 30,

 

 

 

 

 

 

2025

Convertible Note Receivable

 

 

 

 

 

 

Stock price

 

 

 

 

$

0.000038 - 0.000048

Expected term (in years)

 

 

 

 

 

0.75 - 1.25

Expected volatility

 

 

 

 

 

157.7% - 188.1%

Risk-free interest rate

 

 

 

 

 

3.8% - 4.2%

Expected dividend yield

 

 

 

 

 

0.0%