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Fair Value | 3 Months Ended
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Mar. 31, 2025
Fair Value Disclosures [Abstract] |
Fair Value | 2. Fair Value During the period ended March 31, 2025, there were no transfers between Level 1 and Level 2, nor into or out of Level 3. The following table presents as of March 31, 2025 the Company’s 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 March 31, 2025 |
|  | Level 1 |  |  | Level 2 |  |  | Level 3 |  |  | Total |
Assets: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Cash equivalents |  | $ | 4 |  |  | $ | - |  |  | $ | - |  |  | $ | 4 |
Total Assets |  | $ | 4 |  |  | $ | - |  |  | $ | - |  |  | $ | 4 |
Liabilities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Convertible note payable, at fair value |  | $ | - |  |  | $ | - |  |  | $ | 2,663 |  |  | $ | 2,663 |
Liability Classified Warrants |  |  | - |  |  |  | - |  |  |  | 8 |  |  |  | 8 |
Total Liabilities |  | $ | - |  |  | $ | - |  |  | $ | 2,671 |  |  | $ | 2,671 |
The following table presents as of December 31, 2024 the Company’s liabilities subject to measurement at fair value on a recurring basis (in thousands):
|  | 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 |  |  | - |  |  |  | - |  |  |  | 138 |  |  |  | 138 |
Total Liabilities |  | $ | - |  |  | $ | - |  |  | $ | 5,994 |  |  | $ | 5,994 |
Cash equivalents consist of highly liquid money market funds with maturities of three months or less and are reflected in the Condensed 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, 2024 |  | $ | 5,856 |  |  | $ | 138 |
Repayment of convertible note |  |  | (1,054 | ) |  |  | - |
Change in fair value |  |  | (2,139 | ) |  |  | (131 | )
Balance as of March 31, 2025 |  | $ | 2,663 |  |  | $ | 7 |
Convertible Notes Payable As discussed in Note 4, on October 31, 2024, the Company and Nirland agreed to amend the Senior Secured Promissory Note entered into by the Company and Nirland on August 6, 2024 (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. On February 12, 2025, the August 2024 Nirland Note was repaid in full. Additionally, as discussed in Note 4, 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. As of March 31, 2025, no obligations remain under the August 2024 Nirland Note (refer to Note 4 for details) and therefore only the fair value of the A.G.P. Convertible Note was estimated using a binomial lattice model. 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 March 31, 2025, and December 31, 2024: Schedule of Fair Value of Assumptions
|  | March 31, 2025 |  |  | December 31, 2024 |
Stock Price |  | $ | 0.78 |  |  | $ | 6.90 |
Term (years) |  |  | 0.65 |  |  |  | 0.9 |
Corporate bond yield |  |  | 11.1 | % |  |  | 9.0 | %
Credit Spread |  |  | 26.2 | % |  |  | 26.2 | %
Probability of Default |  |  | 40 | % |  |  | 40 | %
Recovery upon default |  |  | 0 | % |  |  | 0 | %
Volatility |  |  | 167.0 | % |  |  | 101.6 | %
Liability Classified Warrants The A.G.P. 2024 Warrants, as defined in Note 14, are accounted for as liabilities in accordance with ASC 815-40 and are presented within Warrant liabilities in the condensed 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 condensed consolidated statements of operations and comprehensive loss. 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 A.G.P. 2024 Warrants as of March 31, 2025 and December 31, 2024, utilizing a Black-Scholes option-pricing model with the following assumptions: Schedule of Fair Value of Assumptions
|  | March 31, 2025 |  |  | December 31, 2024 |
Closing stock price |  | $ | 0.78 |  |  | $ | 6.90 |
Contractual exercise price |  | $ | 10.48 |  |  | $ | 10.48 |
Risk-free rate |  |  | 4.78 | % |  |  | 4.38 | %
Estimated volatility |  |  | 97.0 | % |  |  | 98.6 | %
Time period to expiration (in years) |  |  | 4.78 |  |  |  | 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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