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Fair Value | 12 Months Ended
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Dec. 31, 2024
Fair Value Disclosures [Abstract] |
Fair Value | 3. Fair Value During the period ended December 31, 2024, there were no transfers between Level 1 and Level 2, nor into or out of Level 3. The following table presents as of December 31, 2024 the Company’s assets and liabilities subject to measurement at fair value on a recurring basis (in thousands): Schedule of Assets Subject to Measurement at Fair Value on Recurring Basis
|  | Fair Value Measurements as of December 31, 2024 |
|  | Level 1 |  |  | Level 2 |  |  | Level 3 |  |  | Total |
Assets: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Cash equivalents |  | $ | 192 |  |  | $ | - |  |  | $ | - |  |  | $ | 192 |
Total Assets |  | $ | 192 |  |  | $ | - |  |  | $ | - |  |  | $ | 192 |
Liabilities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Convertible notes payable at fair value |  | $ | - |  |  | $ | - |  |  | $ | 5,856 |  |  | $ | 5,856 |
Liability Classified Warrants |  |  | - |  |  |  | 0 |  |  |  | 138 |  |  |  | 138 |
Total Liabilities |  | $ | - |  |  | $ | - |  |  | $ | 5,994 |  |  | $ | 5,994 |
The following table presents as of December 31, 2023 the Company’s liabilities subject to measurement at fair value on a recurring basis (in thousands):
|  | Fair Value Measurements as of December 31, 2023 |
|  | Level 1 |  |  | Level 2 |  |  | Level 3 |  |  | Total |
Liabilities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Liability Classified Warrants |  | $ | - |  |  | $ | 142 |  |  | $ | - |  |  | $ | 142 |
Total Liabilities |  | $ | - |  |  | $ | 142 |  |  | $ | - |  |  | $ | 142 |
Cash equivalents consist of highly liquid money market funds with maturities of three months or less and are reflected in the Consolidated Balance Sheets at carrying value, which approximates fair value due to their short-term nature. The following table presents additional information about the Convertible Notes Payable subject to measurement at fair value on a recurring basis and warrant liabilities, for which the Company used significant unobservable inputs (Level 3) (in thousands): Schedule of Additional Information About the Financial Liabilities Subject To Measurement at Fair Value
|  | Convertible Notes Payable |  |  | Liability Classified Warrants |
Balance as of December 31, 2023 |  | $ | - |  |  | $ | - |
Fair value at Issuance |  |  | 7,899 |  |  |  | 229 |
Conversion of convertible note |  |  | (92 | ) |  |  | - |
Change in fair value |  |  | (1,951 | ) |  |  | (91 | )
Balance as of December 31, 2024 |  | $ | 5,856 |  |  | $ | 138 |
Convertible Notes Payable As discussed in Note 7, during on October 31, 2024, the Company and Nirland agreed to amend the August 2024 Nirland Note, whereby the August 2024 Nirland Note was amended to provide for the conversion of the August 2024 Nirland Note into shares of common stock, at Nirland’s discretion, in a multiple of any unpaid amounts, if not otherwise previously paid, pursuant to the conversion rate contained therein. The August 2024 Nirland Note was then amended for a second time on November 22, 2024.Additionally, as discussed in Note 7, during November 2024, the Company issued to A.G.P. a convertible promissory note (the “A.G.P. Convertible Note”) in the principal amount of $5.7 million to evidence the A.G.P.’s currently owed deferred commission payable. The Company elected to account for the August 2024 Nirland Note and A.G.P. Convertible Note (collectively the “Convertible Notes Payable”) at fair value. The fair value of the Convertible Notes Payable is estimated each period using a binomial lattice model. Significant estimates in the binomial lattice model include the Company’s stock price, volatility, risk-free rate, corporate bond yield, credit spread, probability of default, and recovery upon default. The fair value of the August 2024 Nirland Note and A.G.P. Convertible Note as of December 31, 2024 were estimated using a binomial lattice model. The following table outlines the range of significant unobservable inputs used in calculating the fair value of the August 2024 Nirland Note as of the dates noted below: Schedule of Fair Value of Assumptions
|  | October 31, 2024 |  |  | November 22, 2024 |  |  | December 31, 2024 |
Stock Price |  | $ | 9.10 |  |  | $ | 10.40 |  |  | $ | 6.90 |
Term (years) |  |  | 0.8 |  |  |  | 0.7 |  |  |  | 0.6 |
Corporate bond yield |  |  | 9.1 | % |  |  | 8.7 | % |  |  | 11.4 | %
Credit Spread |  |  | 15.9 | % |  |  | 15.9 | % |  |  | 15.9 | %
Probability of default |  |  | 40 | % |  |  | 40 | % |  |  | 40 | %
Recovery upon default |  |  | 20 | % |  |  | 20 | % |  |  | 20 | %
Volatility |  |  | 103.2 | % |  |  | 96.5 | % |  |  | 123.7 | %
The following table outlines the range of significant unobservable inputs used in calculating the fair value of the A.G.P. Convertible Note as of the dates noted below: Schedule of Fair Value of Assumptions
|  | November 25, 2024 |  |  | December 31, 2024 |
Stock Price |  | $ | 9.10 |  |  | $ | 6.90 |
Term (years) |  |  | 1 |  |  |  | 0.9 |
Corporate bond yield |  |  | 8.8 | % |  |  | 9.0 | %
Credit Spread |  |  | 26.2 | % |  |  | 26.2 | %
Probability of Default |  |  | 40 | % |  |  | 40 | %
Recovery upon default |  |  | 0 | % |  |  | 0 | %
Volatility |  |  | 108.7 | % |  |  | 101.6 | %
Liability Classified Warrants The PIPE Warrants, A.G.P. Warrants, and A.G.P. 2024 Warrants, as defined in Note 18, are accounted for as liabilities in accordance with ASC 815-40 and are presented within Warrant liabilities in the consolidated balance sheets. Warrant liabilities are measured at fair value at inception and on a recurring basis, with changes in fair value presented within other income (expense), net in the consolidated statements of operations and comprehensive income (loss). The measurement of the PIPE Warrants and the measurement of the A.G.P warrants are classified as Level 2 fair value measurements due to the use of an observable market quote for the Company’s publicly traded warrants, which are considered to be a similar asset in an active market. The PIPE Warrant and A.G.P. Warrant liabilities are calculated by multiplying the quoted market price of the Company’s publicly traded warrants by the number of liability classified warrants. On December 11, 2024, the Company amended the exercise price of the PIPE Warrants to be $8.83, at which time all PIPE Warrants were exercised. As the exercise price was amended on the same date that the PIPE Warrants were exercised, the Company remeasured the warrant liability immediately before exercise based on the difference between the closing stock price of the Company’s common stock on December 11, 2024, and the amendment exercise price of the PIPE Warrants, resulting in a gain on the change in fair value of warrant liability of approximately $12 thousand. Refer to Note 18 for additional information. Upon exercise of the PIPE Warrants, less than $1 thousand of Level 2 liability classified warrants remain on the consolidated balance sheet as of December 31, 2024. The measurement of the A.G.P. 2024 Warrants is classified as Level 3 due to the use of an option-pricing model that utilizes unobservable inputs and requires significant judgement. The Company estimated the fair value of the warrants issued as the issuance date, October 29, 2024, and as of December 31, 2024, using a Black-Scholes option-pricing model utilizing the following assumptions: Schedule of Fair Value of Assumptions
|  | October 29, 2024 |  |  | December 31, 2024 |
Closing stock price |  | $ | 10.48 |  |  | $ | 6.90 |
Contractual exercise price |  | $ | 10 |  |  | $ | 10.00 |
Risk-free rate |  |  | 4.11 | % |  |  | 4.38 | %
Estimated volatility |  |  | 98.4 | % |  |  | 98.6 | %
Time period to expiration (in years) |  |  | 5.2 |  |  |  | 5.0 |

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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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