| Schedule of Assets and Liabilities |
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 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 |
|
|
| Schedule of Valuation Assumptions |
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 |
|
|
— |
% |
|
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 |
|
|
—% |
|
|
| Schedule of Change in Fair Value of Derivative Liability |
|
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 |
|
$ |
— |
|
|