v3.25.1
Fair Value Measurements
 3 Months Ended 12 Months Ended
Mar. 31, 2025
Dec. 31, 2024
Fair Value Measurements [Abstract]    
Fair Value Measurements
6. Fair Value Measurements

 

The following table presents information about the Company’s assets and liabilities that are measured at fair value on a recurring basis as of March 31, 2025 and December 31, 2024, and indicates the fair value hierarchy of the valuation inputs the Company’s utilized to determine such fair value:

 

       March 31,     December 31, 
Description  Level   2025     2024 
Assets:            
Forward purchase agreement asset (Note 10)   3   $
-
   $155 
SEPA put rights asset (Note 11)   3    32    188 
Liabilities:               
Embedded derivative liability (Note 11)   3   $111   $80 

 

The Forward Purchase Agreement was fully settled on January 28, 2025 for $132 cash received by the Company. The fair value of the Company’s position under the Forward Purchase Agreement was calculated as of December 31, 2024 by multiplying the number of shares under the Forward Purchase Agreement by the market price at the settlement date estimated using a Monte-Carlo simulation incorporating the following assumptions:

 

   December 31, 
   2024 
Stock price  $1.79 
Risk-free interest rate   4.4%
Expected term (in years)   0.1 
Expected volatility   98%
Expected dividend yield   0%

 

The fair value of the SEPA Put Rights was estimated as the sum of the fair values of the put rights under each assumed advance notice over the term of the SEPA. The number of shares under each advance notice was based on the historical trading volumes of the Company’s stock taking into account various beneficial ownership and daily volume limitations. The fair value of the put rights under each advance notice was estimated using the Black Scholes model, incorporating the following assumptions:

 

    March 31,     December 31,  
    2025     2024  
Stock price   $ 0.41     $ 1.79  
Risk-free interest rate     4.2 %     4.2 %
Exercise price     0.40       1.72  
Expected term (in years)     0.62 - 1.67       1 - 2  
Expected volatility      90-100 %       93-99 %
Expected dividend yield     0 %     0 %
Number of shares under each advance notice     54,200       56,500  

 

The fair value of the Embedded Derivative Feature was estimated at $111 and $80 as of March 31, 2025 and December 31, 2024, respectively, based on the difference between the fair value of the convertible note with these embedded features and the fair value without each one of these embedded features. As of March 31, 2025, the assumptions incorporated into the valuation model included the stock price of $0.41, the estimated future price per share of $0.33 (derived using Monte Carlo Simulation), the expected volatility of 100%, the risk-free rate of 4.18% and the term of 0.6 years. As of December 31, 2024, the assumptions incorporated into the valuation model included the stock price of $1.79, the estimated future price per share of $2.06 (derived using Monte Carlo Simulation), the expected volatility of 99%, the risk-free rate of 4.18% and the term of 0.9 years.

The changes in the fair value of Level 3 financial assets and liabilities for the three months ended March 31, 2025 are as follows: 

 

   Forward
Purchase
Agreement
asset		   SEPA
Put Rights
Asset		  

Embedded

Derivative

Liability

 
Fair value as of January 1, 2025  $155   $188   $80 
Settlement   (132)          
Change in fair value   (23)   (156)   31 
                
Fair value as of March 31, 2025  $
-
   $32   $111 
6. Fair Value Measurements

 

The following table presents information about the Company’s assets and liabilities that are measured at fair value on a recurring basis at December 31, 2024, and indicates the fair value hierarchy of the valuation inputs the Company’s utilized to determine such fair value:

 

       December 31, 
Description  Level   2024 
Assets:        
Forward purchase agreement asset (Note 11)  3   $155 
SEPA put rights asset (Note 13)  3    188 
Liabilities:         
Embedded derivative liability (Note 13)  3   $80 

 

There were no assets or liabilities measured at fair value on a recurring basis as of December 31, 2023.

 

The fair value of the Company’s position under the Forward Purchase Agreement was calculated by multiplying the number of shares under the Forward Purchase Agreement by the market price at the settlement date estimated using a Monte-Carlo simulation incorporating the following assumptions:

 

   November 13,   December 31, 
   2024   2024 
Stock price  $5.77   $1.79 
Risk-free interest rate   4.6%   4.4%
Expected term (in years)   0.3    0.1 
Expected volatility   90%   98%
Expected dividend yield   0%   0%

 

The fair value of the SEPA Put Rights was estimated as the sum of the fair values of the put rights under each assumed advance notice over the term of the SEPA. The number of shares under each advance notice was based on the historical trading volumes of the Company’s stock taking into account various beneficial ownership and daily volume limitations. The fair value of the put rights under each advance notice was estimated using the Black Scholes model, incorporating the following assumptions:

 

   November 13,   December 31, 
   2024   2024 
Stock price  $5.77   $1.79 
Risk-free interest rate   4.3%   4.2%
Exercise price   5.54    1.72 
Expected term (in years)   1 to 2 years    1 to 2 years 
Expected volatility   82-90%   93-99%
Expected dividend yield   0%   0%
Number of shares   165,000    56,500 

The fair value of the Embedded Derivative Feature was estimated at $69 at the issuance date based on the difference between the fair value of the convertible note with these embedded features and the fair value without each one of these embedded features. The assumptions incorporated into the valuation model as of November 13, 2024, the issuance date of the Convertible Note included the stock price of $5.77, the estimated future price per share of $4.36 (derived using Monte Carlo Simulation), the expected volatility of 90%, the risk-free rate of 4.31% and the term of 1 year. As of December 31, 2024 the assumptions incorporated into the valuation model included the stock price of $1.79, the estimated future price per share of $2.06 (derived using Monte Carlo Simulation), the expected volatility of 99%, the risk-free rate of 4.18% and the term of 0.9 years.

 

The changes in the fair value of Level 3 financial assets and liabilities for the year ended December 31, 2024 are as follows:

 

   Forward
Purchase
Agreement
asset		   SEPA
Put Rights
Asset		   Embedded
Derivative Liability		 
Fair value as of January 1, 2024  $
-
   $    $
-
 
Initial measurement at the issuance date   494    1,551    69 
Change in fair value   (339)   (1,363)   11 
                
Fair value as of December 31, 2024  $155   $188   $80