Fair Value Measurement (Tables)
|
3 Months Ended |
Mar. 31, 2025 |
Dec. 31, 2024 |
| Fair Value Measurement [Abstract] |
|
|
| Schedule of Black-Scholes Option Pricing Model for Liability-Classified Stock Purchase Warrants |
The assumptions used for
the Black-Scholes option pricing model for liability-classified stock purchase warrants are as follows:
| June 2024 Warrants | |
March 31,
2025 | | |
November 2024
Modification | |
| Expected term (years) | |
| 4.2 years | | |
| 4.6 years | |
| Risk-free interest rate | |
| 3.9 | % | |
| 4.4 | % |
| Expected volatility | |
| 113.8 | % | |
| 113.8 | % |
| Expected dividend yield | |
| 0.0 | % | |
| 0.0 | % |
| November 2024 Warrants | |
March 31,
2025 | | |
November 2024
Issuance | |
| Expected term (years) | |
| 4.6 years | | |
| 5.0 years | |
| Risk-free interest rate | |
| 3.9 | % | |
| 4.2 | % |
| Expected volatility | |
| 113.8 | % | |
| 113.8 | % |
| Expected dividend yield | |
| 0.0 | % | |
| 0.0 | % |
| Pre-funded Warrants | |
March 31,
2025 | | |
December 2024
Issuance | |
| Expected term (years) | |
| 4.7 years | | |
| 5.0 years | |
| Risk-free interest rate | |
| 3.9 | % | |
| 4.3 | % |
| Expected volatility | |
| 113.8 | % | |
| 113.8 | % |
| Expected dividend yield | |
| 0.0 | % | |
| 0.0 | % |
The assumptions used for
the Monte Carlo simulation model for liability-classified stock purchase warrants and the embedded derivative liability issued in connection
with a convertible note are as follows:
| December 2024 Warrants | |
March 31,
2025 | | |
December 2024
Issuance | |
| Expected term (years) | |
| 4.7 years | | |
| 5.0 years | |
| Risk-free interest rate | |
| 3.9 | % | |
| 4.3 | % |
| Expected volatility | |
| 113.8 | % | |
| 113.8 | % |
| Expected dividend yield | |
| 0.0 | % | |
| 0.0 | % |
| Probability of a fundamental event | |
| 10.0 | % | |
| 10.0 | % |
| Embedded Derivative Liability | |
March 31,
2025 | | |
December 2024
Issuance | |
| Expected term (years) | |
| 0.7 years | | |
| 1.0 years | |
| Risk-free interest rate | |
| 4.2 | % | |
| 4.3 | % |
| Expected volatility | |
| 160.8 | % | |
| 157.5 | % |
| Expected dividend yield | |
| 0.0 | % | |
| 0.0 | % |
| Conversion discount | |
| 10.0 | % | |
| 10.0 | % |
| Interest rate | |
| 10.0 | % | |
| 10.0 | % |
| Redemption premium | |
$ | 50,000 | | |
$ | 50,000 | |
|
The assumptions used for the Black-Scholes option
pricing model for liability-classified stock purchase warrants are as follows:
| June 2024 Warrants | |
December 31,
2024 | | |
November
2024
Modification | |
| Expected term (years) | |
| 4.4 years | | |
| 4.6 years | |
| Risk-free interest rate | |
| 4.4 | % | |
| 4.4 | % |
| Expected volatility | |
| 114.2 | % | |
| 113.8 | % |
| Expected dividend yield | |
| 0.0 | % | |
| 0.0 | % |
| November 2024 Warrants | |
December 31,
2024 | | |
November
2024
Issuance | |
| Expected term (years) | |
| 4.9 years | | |
| 5.0 years | |
| Risk-free interest rate | |
| 4.2 | % | |
| 4.2 | % |
| Expected volatility | |
| 114.2 | % | |
| 113.8 | % |
| Expected dividend yield | |
| 0.0 | % | |
| 0.0 | % |
| Pre-funded Warrants | |
December 31,
2024 | | |
December
2024
Issuance | |
| Expected term (years) | |
| 5.0 years | | |
| 5.0 years | |
| Risk-free interest rate | |
| 4.3 | % | |
| 4.3 | % |
| Expected volatility | |
| 114.2 | % | |
| 113.8 | % |
| Expected dividend yield | |
| 0.0 | % | |
| 0.0 | % |
| December 2024 Warrants | |
December 31,
2024 | | |
December
2024
Issuance | |
| Expected term (years) | |
| 5.0 years | | |
| 5.0 years | |
| Risk-free interest rate | |
| 4.3 | % | |
| 4.3 | % |
| Expected volatility | |
| 114.2 | % | |
| 113.8 | % |
| Expected dividend yield | |
| 0.0 | % | |
| 0.0 | % |
| Probability of a fundamental event | |
| 10.0 | % | |
| 10.0 | % |
| Embedded Derivative Liability | |
December 31,
2024 | | |
December
2024
Issuance | |
| Expected term (years) | |
| 0.9 years | | |
| 1.0 years | |
| Risk-free interest rate | |
| 4.2 | % | |
| 4.3 | % |
| Expected volatility | |
| 156.2 | % | |
| 157.5 | % |
| Expected dividend yield | |
| 0.0 | % | |
| 0.0 | % |
| Conversion discount | |
| 10.0 | % | |
| 10.0 | % |
| Interest rate | |
| 10.0 | % | |
| 10.0 | % |
| Redemption premium | |
$ | 50,000 | | |
$ | 50,000 | |
|
| Schedule of Company’s Assets and Liabilities Measured and Recorded at Fair Value on a Recurring Basis |
The following table sets
forth by level, within the fair value hierarchy, the Company’s assets and liabilities measured and recorded at fair value on a
recurring basis as of March 31, 2025:
| | |
Quoted
Price in
Active Markets | | |
Significant
Other
Observable
Inputs | | |
Significant
Unobservable
Inputs | | |
Balance at
March 31, | |
| | |
(Level 1) | | |
(Level 2) | | |
(Level 3) | | |
2025 | |
| Liabilities | |
| | |
| | |
| | |
| |
| June 2024 Warrant | |
| — | | |
| — | | |
| 1,648,465 | | |
| 1,648,465 | |
| November 2024 Warrant | |
| — | | |
| — | | |
| 3,850,947 | | |
| 3,850,947 | |
| Pre-funded warrant liabilities | |
| — | | |
| — | | |
| 16,091,019 | | |
| 16,091,019 | |
| Private Placement Warrants | |
| — | | |
| — | | |
| 35,845,993 | | |
| 35,845,993 | |
| Embedded derivative liability | |
| — | | |
| — | | |
| 280,340 | | |
| 280,340 | |
| Total liabilities | |
$ | — | | |
$ | — | | |
$ | 57,716,764 | | |
$ | 57,716,764 | |
|
The following table sets forth by level, within
the fair value hierarchy, the Company’s assets and liabilities measured and recorded at fair value on a recurring basis as of December
31, 2024:
| | |
Quoted
Price in
Active Markets | | |
Significant
Other
Observable
Inputs | | |
Significant
Unobservable
Inputs | | |
Balance at
December 31, | |
| | |
(Level 1) | | |
(Level 2) | | |
(Level 3) | | |
2024 | |
| Liabilities | |
| | |
| | |
| | |
| |
| June 2024 Warrant | |
| — | | |
| — | | |
| 5,333,794 | | |
| 5,333,794 | |
| November 2024 Warrant | |
| — | | |
| — | | |
| 12,467,515 | | |
| 12,467,515 | |
| Pre-funded warrant liabilities | |
| — | | |
| — | | |
| 52,682,426 | | |
| 52,682,426 | |
| Private Placement Warrants | |
| — | | |
| — | | |
| 94,286,790 | | |
| 94,286,790 | |
| Embedded derivative liability | |
| — | | |
| — | | |
| 847,753 | | |
| 847,753 | |
| Total liabilities | |
$ | — | | |
$ | — | | |
$ | 165,618,278 | | |
$ | 165,618,278 | |
|
| Schedule of Warrants Measured at Fair Value Using Level 3 Inputs |
The following table provides
a reconciliation of the warrants measured at fair value using Level 3 inputs:
| | |
Embedded
Derivative
Liability | | |
June 2024
Warrant | | |
November 2024
Warrant | | |
Pre-funded
Warrant | | |
Common
Stock
Warrant | |
| | |
| | |
| | |
| | |
| | |
| |
| Balance at January 1, 2025 | |
$ | 847,753 | | |
$ | 5,333,794 | | |
$ | 12,467,515 | | |
$ | 52,682,426 | | |
$ | 94,286,790 | |
| Subtractions | |
| - | | |
| - | | |
| - | | |
| (3,055,814 | ) | |
| - | |
| Change in fair value | |
| (567,413 | ) | |
| (3,685,329 | ) | |
| (8,616,568 | ) | |
| (33,535,593 | ) | |
| (58,440,797 | ) |
| Ending balance, March 31, 2025 | |
$ | 280,340 | | |
$ | 1,648,465 | | |
$ | 3,850,947 | | |
$ | 16,091,019 | | |
$ | 35,845,993 | |
|
The following table provides a reconciliation
of the warrants measured at fair value using Level 3 inputs:
| | |
Embedded
Derivative
Liability | | |
June
2024
Warrant | | |
November
2024
Warrant | | |
Pre-funded
Warrant | | |
Common
Stock
Warrant | |
| | |
| | |
| | |
| | |
| | |
| |
| Balance at October 1, 2024 | |
$ | — | | |
$ | — | | |
$ | — | | |
$ | — | | |
$ | — | |
| Additions | |
| 222,865 | | |
| 283,293 | | |
| 663,408 | | |
| 5,085,682 | | |
| 18,153,362 | |
| Change in fair value | |
| 624,888 | | |
| 5,050,501 | | |
| 11,804,107 | | |
| 47,596,744 | | |
| 76,133,428 | |
| Ending balance, December 31, 2024 | |
$ | 847,753 | | |
$ | 5,333,794 | | |
$ | 12,467,515 | | |
$ | 52,682,426 | | |
$ | 94,286,790 | |
|