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Fair Value Measurements

6 Months Ended

Jun. 30, 2025

Fair Value Measurements

Fair Value Measurements

(3)Fair Value Measurements

ASC 820, “Fair Value Measurements”, provides guidance on the development and disclosure of fair value measurements. The Company follows this guidance for fair value measurements, which defines fair value, establishes a framework for measuring fair value under U.S. GAAP, and expands disclosures about fair value measurements. The guidance requires fair value measurements be classified and disclosed in one of the following three categories:

Level 1:   Quoted prices (unadjusted) in active markets that are accessible at the measurement date for identical assets or liabilities.

Level 2:   Observable prices that are based on inputs not quoted on active markets but corroborated by market data.

Level 3:   Unobservable inputs which are supported by little or no market activity with values determined using pricing models, discounted cash flow methodologies, or similar techniques, as well as instruments for which the determination of fair value requires significant judgment or estimation.

Fair value measurements discussed herein are based upon certain market assumptions and pertinent information available to management as of the dates of the Company’s balance sheets herein. The carrying amount of cash, grant receivable, prepaid expenses and other current assets, right-of-use asset, accounts payable and accrued expenses, deferred grant income, and current and long-term portion of lease liability approximated their fair value due to their short-term or fixed arrangements nature. Warrant liabilities were recorded based on their assessed fair value.

The Company records warrant liability for warrants issued in the December 2, 2024, PIPE transaction at assessed fair value, a Level 3 measurement on the fair value hierarchy due to the significant unobservable inputs used in their valuation such as probability-weighted outcomes regarding shareholder approval and potential de-listing of the Company stock. The fair value of the warrant liability at December 31, 2024, was determined using a Monte Carlo simulation model within a risk-neutral framework. This widely accepted financial modeling approach is employed to value complex instruments, including warrants with strike price reset and anti-dilution provisions. The model simulates multiple potential future paths for the Company’s stock price, accounting for the reset provision by adjusting the strike price if the stock price falls below a specified level, but not lower than the specified Floor Price. Upon each reset of the strike price, the quantity of warrants was also adjusted based on the warrants’ anti-dilution provisions. For each simulated path, the warrant’s payoff is calculated using the final stock price and the potentially adjusted strike price and quantity, then discounted to present value. The fair value is estimated as the average of these discounted payoffs across all simulated paths. This method ensures the valuation reflects the impact of the strike price reset provision and anti-dilution provision on the warrants’ potential values.

The table below lists key assumptions used in the valuations of the warrant liability as of June 30, 2025, and December 31, 2024. The $554 thousand fair value of the Series C Warrants as of June 30, 2025, was an increase of $36 thousand from December 31, 2024, which increase was recorded as change in fair value of warrant liability. Fair value as of June 30, 2025, was determined using a Black-Scholes valuation model which the Company deemed appropriate as both the exercise price of the warrants and the number of shares issuable were known, no longer requiring use of a simulation model, such as the Monte Carlo valuation model, used to determine fair value at December 31, 2024.

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Assumptions	June 30, 2025	December 31, 2024
Risk-free rate	3.74%	4.33%
Volatility	115.00%	150.00%
Expiration date of Series C	November 29, 2029	November 29, 2029
Expiration date of Series D	N/A	May 29, 2027
Shareholder approval date	N/A	February 25, 2025
Potential de-listing date	N/A	N/A

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The fair value of the warrant liability is as follows:

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​	​	​	​	​	​	​	​	​	​
​	​	PIPE Warrants		​	PIPE Warrants		​	Total Warrant
Level 3 Rollforward:	​	Series C		​	Series D		​	Liability
Balance, December 31, 2023	​	$	—	​	$	—	​	$	—
Additions	​	​	501,961	​	​	5,100,746	​	​	5,602,707
Change in fair value	​	​	15,910	​	​	922,780	​	​	938,690
Balance, December 31, 2024	​	​	517,871	​	​	6,023,526	​	​	6,541,397
Additions	​	​	—	​	​	—	​	​	—
Change in fair value	​	​	35,843	​	​	9,360,793	​	​	9,396,636
Exercise of Series D warrants	​	​	—	​	​	(15,384,319)	​	​	(15,384,319)
Balance, June 30, 2025	​	$	553,714	​	$	—	​	$	553,714

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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.

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