Fair Value of Financial Instruments (Tables)

3 Months Ended

Mar. 31, 2025

Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]

Assets and Liabilities Measured and Recorded at Fair Value on Recurring Basis

Level 3 assets and liabilities measured and recorded at fair value on a recurring basis at March 31, 2025 and December 31, 2024 were as follows:



	March 31, 2025		December 31, 2024
Derivative Liability – Contingent Interest April Note	$	136,000	$	47,000
Derivative Liability – Contingent Interest September Note	$	73,000	$	94,000
Derivative Liability – Contingent Interest December Note	$	232,000	$	275,000

April Note [Member]

Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]

Key Assumptions Used in Model at Inception

The April Note derivative liability – contingent interest was valued using a Monte Carlo Geometric Brownian Stock Path Model. The key assumptions used in the model at March 31, 2025 and December 31, 2024 are as follows:



	March 31, 2024			December 31, 2024
Stock Price	$	1.22		$	1.29
Conversion Price of conversion feature	$	5.00		$	5.00
Term	0.5 years			0.29 years
Risk Free Interest Rate		4.23	%		4.37	%
Credit Adjusted Discount Rate		13.86	%		12.43	%
Volatility		126	%		152	%
Dividend Rate		0	%		0	%

Roll Forward of Derivative Liability - Contingent Interest

The roll forward of the April Note derivative liability – contingent interest is as follows for the three months ended March 31, 2025 and 2024:

Balance – December 31, 2024	$	47,000
Fair Value Adjustment		89,000
Balance – March 31, 2025	$	136,000

Balance – December 31, 2023	$	431,000
Fair Value Adjustment		447,000
Balance – March 31, 2024	$	878,000

September Note [Member]

Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]

Key Assumptions Used in Model at Inception

The September Note derivative liability – contingent interest was valued using a Monte Carlo Geometric Brownian Stock Path Model. The key assumptions used in the model at March 31, 2025 and December 31, 2024 are as follows:


	March 31, 2025			December 31, 2024
Stock Price	$	1.22		$	1.29
Conversion Price of conversion feature	$	8.64		$	8.64
Term	0.47 years			0.72 years
Risk Free Interest Rate		4.23	%		4.16	%
Credit Adjusted Discount Rate		13.86	%		12.43	%
Volatility		130	%		111	%
Dividend Rate		0	%		0	%

Roll Forward of Derivative Liability - Contingent Interest

The roll forward of the September Note derivative liability – contingent interest is as follows:

Balance – December 31, 2024	$	94,000
Fair Value Adjustment		(21,000	)
Balance – March 31, 2025	$	73,000

Balance – December 31, 2023	$	169,000
Fair Value Adjustment		138,000
Balance – March 31, 2024	$	307,000

December Note [Member]

Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]

Key Assumptions Used in Model at Inception

The December Note derivative liability – contingent interest was valued using a Monte Carlo Geometric Brownian Stock Path Model. The key assumptions used in the model at March 31, 2025 and December 31, 2024 are as follows:



	March 31, 2025			December 31, 2024
Stock Price	$	1.22		$	1.29
Conversion Price of conversion feature	$	5.43		$	5.43
Term	0.72 years			0.97 years
Risk Free Interest Rate		4.03	%		4.16	%
Credit Adjusted Discount Rate		13.86	%		12.43	%
Volatility		111	%		102	%
Dividend Rate		0	%		0	%

Roll Forward of Derivative Liability - Contingent Interest

The roll forward of the December Note derivative liability – contingent interest is as follows:

Balance – December 31, 2024	$	275,000
Fair Value Adjustment		(43,000)
Balance – March 31, 2025	$	232,000

Balance – December 31, 2023	$	404,000
Fair Value Adjustment		284,000
Balance – March 31, 2024	$	688,000