v3.25.1
Fair Value Measurements
 3 Months Ended 12 Months Ended
Mar. 31, 2025
Dec. 31, 2024
Fair Value Disclosures [Abstract]    
Fair Value Measurements
5.
Fair Value Measurements

The following tables present the Company’s fair value hierarchy for its assets and liabilities that are measured at fair value on a recurring basis and indicate the level within the fair value hierarchy of the valuation techniques the Company utilized to determine such fair value:

 

 

Fair Value Measurements at
March 31, 2025

 

 

Level 1

 

 

Level 2

 

 

Level 3

 

 

Total

 

Assets:

 

 

 

 

 

 

 

 

 

 

 

 

Cash equivalents:

 

 

 

 

 

 

 

 

 

 

 

 

Money market mutual funds

 

$

1,504

 

 

$

—

 

 

$

—

 

 

$

1,504

 

Investments in Securities

 

 

—

 

 

 

8,021

 

 

 

—

 

 

 

8,021

 

 

$

1,504

 

 

$

8,021

 

 

$

—

 

 

$

9,525

 

Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

Warrant liability - public warrants

 

$

252

 

 

$

—

 

 

$

—

 

 

$

252

 

Warrant liability - private placement warrants

 

 

—

 

 

 

433

 

 

 

—

 

 

 

433

 

Warrant liability - Series A penny warrants

 

 

—

 

 

 

—

 

 

 

1,760

 

 

 

1,760

 

 

$

252

 

 

$

433

 

 

$

1,760

 

 

$

2,445

 

 

 

Fair Value Measurements at
December 31, 2024

 

 

Level 1

 

 

Level 2

 

 

Level 3

 

 

Total

 

Assets:

 

 

 

 

 

 

 

 

 

 

 

 

Cash equivalents:

 

 

 

 

 

 

 

 

 

 

 

 

Money market mutual funds

 

$

2,710

 

 

$

—

 

 

$

—

 

 

$

2,710

 

Investments in Securities

 

 

849

 

 

 

64,692

 

 

 

—

 

 

 

65,541

 

 

$

3,559

 

 

$

64,692

 

 

$

—

 

 

$

68,251

 

Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

Warrant liability - public warrants

 

$

454

 

 

$

—

 

 

$

—

 

 

$

454

 

Warrant liability - private placement warrants

 

 

—

 

 

$

780

 

 

$

—

 

 

 

780

 

Warrant liability - Series A penny warrants

 

 

—

 

 

 

—

 

 

 

1,780

 

 

 

1,780

 

 

$

454

 

 

$

780

 

 

$

1,780

 

 

$

3,014

 

 

The fair values of government money market funds have been measured on a recurring basis using Level 1 inputs, which are based on unadjusted quoted market prices within active markets. The short-term investments, including investments in fixed income securities, have been measured using quoted pricing on active markets for Level 1 investments and inputs based on alternative pricing sources and models utilizing observable market inputs for Level 2 investments.

The fair value of the Public Warrants is classified as Level 1 due to the use of an observable market quote in an active market. The fair value of the Private Placement Warrants is classified as Level 2 due to the use of an observable market quote for the Public Warrants, which are considered to be a similar asset in an active market. The warrant liability is calculated by multiplying the quoted market price of the Company’s Public Warrants by the total number of Public Warrants and Private Placement Warrants.

The Company’s Level 3 liability consists of the Series A Penny Warrants associated with the issuance of Series A Preferred Stock. This liability has been classified as Level 3 due to the use of unobservable inputs within the valuation, namely volatility.

The fair value of the Series A Penny Warrant liability as of March 31, 2025 and December 31, 2024 was determined utilizing a Monte Carlo simulation valuation method, using the following inputs and assumptions:

 

$ in thousands, except for Stock price, Strike price, and share amounts

 

March 31, 2025

 

Warrant Shares

 

 

1,304,742

 

Aggregate Value Cap

 

$

11,250

 

Stock price

 

$

3.11

 

Strike price

 

$

0.01

 

Term (in years)

 

3.9 years

 

Volatility

 

 

105.0

%

Risk free rate

 

 

3.9

%

Dividend Rate

 

 

—

%

 

$ in thousands, except for Stock price, Strike price, and share amounts

 

December 31, 2024

 

Warrant Shares

 

 

1,274,742

 

Aggregate Value Cap

 

$

11,250

 

Stock price

 

$

3.15

 

Strike price

 

$

0.01

 

Term (in years)

 

4.2

 

Volatility

 

 

100.0

%

Risk free rate

 

 

4.3

%

Dividend Rate

 

 

—

%

 

There have been no other changes in valuation techniques and related inputs. As of March 31, 2025 and December 31, 2024, there were no transfers between Level 1, Level 2, and Level 3.

5.
Fair Value Measurements

The following tables present the Company’s fair value hierarchy for its assets and liabilities that are measured at fair value on a recurring basis and indicate the level within the fair value hierarchy of the valuation techniques the Company utilized to determine such fair value:

 

(in thousands)

 

 

Fair Value Measurements at
December 31, 2024

 

 

 

 

Level 1

 

 

Level 2

 

 

Level 3

 

 

Total

 

Assets:

 

 

 

 

 

 

 

 

 

 

 

 

 

Cash equivalents:

 

 

 

 

 

 

 

 

 

 

 

 

 

Money market mutual funds

 

$

2,710

 

$

—

 

$

—

 

$

2,710

 

Investments in securities

 

 

849

 

 

64,692

 

 

—

 

 

65,541

 

 

 

$

3,559

 

$

64,692

 

$

—

 

$

68,251

 

Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

 

Warrant liability - public warrants

 

$

454

 

$

—

 

$

—

 

$

454

 

Warrant liability - private placement warrants

 

 

—

 

 

780

 

 

—

 

 

780

 

Warrant liability - Series A penny warrants

 

$

—

 

$

—

 

$

1,780

 

$

1,780

 

 

 

$

454

 

$

780

 

$

1,780

 

$

3,014

 

 

(in thousands)

 

 

Fair Value Measurements at
December 31, 2023

 

 

 

 

Level 1

 

 

Level 2

 

 

Level 3

 

 

Total

 

Assets:

 

 

 

 

 

 

 

 

 

 

 

 

 

Cash equivalents:

 

 

 

 

 

 

 

 

 

 

 

 

 

Money market mutual funds

 

$

887

 

$

—

 

$

—

 

$

887

 

Investments in securities

 

 

849

 

 

70,381

 

 

—

 

 

71,230

 

 

 

$

1,736

 

$

70,381

 

$

—

 

$

72,117

 

Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

 

Warrant liability - public warrants

 

$

1,555

 

$

—

 

$

—

 

$

1,555

 

Warrant liability - private placement warrants

 

$

—

 

$

953

 

$

—

 

$

953

 

 

 

$

1,555

 

$

953

 

$

—

 

$

2,508

 

 

The fair values of government money market funds have been measured on a recurring basis using Level 1 inputs, which are based on unadjusted quoted market prices within active markets. The investments in securities, including investments in fixed income securities, have been measured using quoted pricing on active markets for Level 1 investments and inputs based on alternative pricing sources and models utilizing observable market inputs for Level 2 investments.

The fair value of the Public Warrants is classified as Level 1 due to the use of an observable market quote in an active market. The fair value of the Private Placement Warrants is classified as Level 2 due to the use of an observable market quote for the Public Warrants, which are considered to be a similar asset in an active market. The warrant liability is calculated by multiplying the quoted market price of the Company’s Public Warrants by the total number of Public Warrants and Private Placement Warrants.

The Company’s Level 3 liability consists of the Series A Penny Warrants associated with the issuance of Series A Preferred Stock and Series B Preferred Stock. This liability has been classified as Level 3 due to the use of unobservable inputs within the valuation, namely volatility.

The fair value of the Series A Penny Warrant liability as of March 4, 2024 and December 31, 2024 was determined utilizing a Monte Carlo simulation valuation method, using the following inputs and assumptions:

 

$ in thousands, except for Stock price, Strike price, and share amounts

 

 

March 4, 2024

 

Warrant Shares

 

 

1,304,907

 

Aggregate Value Cap

 

$

11,250

 

Stock price

 

$

15.49

 

Strike price

 

$

0.01

 

Term (in years)

 

 

5 years

 

Volatility

 

 

95.0%

 

Risk free rate

 

 

4.2%

 

Dividend Rate

 

 

—%

 

 

$ in thousands, except for Stock price, Strike price, and share amounts

 

 

December 31, 2024

 

Warrant Shares

 

 

1,274,742

 

Aggregate Value Cap

 

$

11,250

 

Stock price

 

$

3.15

 

Strike price

 

$

0.01

 

Term (in years)

 

 

4.2 years

 

Volatility

 

 

100.0%

 

Risk free rate

 

 

4.3%

 

Dividend Rate

 

 

—%

 

 

The following table shows the change in the fair value of the Series A Penny Warrant liability for the year ended December 31, 2024

 

(in thousands)

 

 

Amount

 

Balance as of December 31, 2023

 

$

—

 

Issuance of Series A Penny Warrants

 

 

3,747

 

Change in fair value of Penny Warrant liability

 

 

(1,967)

 

Balance as of December 31, 2024

 

$

1,780

 

 

The following table shows the change in the fair value of the derivative liability associated with the Company's Bridge Notes for the year ended December 31, 2024 and December 31, 2023:

 

(in thousands)

 

 

Amount

 

Balance as of December 31, 2022

 

$

971

 

Change in fair value of derivative liability

 

 

14,589

 

Derecognition of derivative liability

 

 

(15,560)

 

Balance as of December 31, 2023

 

 

—

 

Change in fair value of derivative liability

 

 

—

 

Derecognition of derivative liability

 

 

—

 

Balance as of December 31, 2024

 

$

—

 

 

There have been no changes in valuation techniques and related inputs. As of December 31, 2024 and December 31, 2023, there were no transfers between Level 1, Level 2, and Level 3.