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Fair Value
 3 Months Ended
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):

 

   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):

 

  

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:

 

  

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:

 

   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