| FAIR VALUE MEASUREMENTS |
NOTE 10 – FAIR VALUE MEASUREMENTS
The Company initially recorded
the earnout liability at estimated fair value using a Monte Carlo analysis and has revalued the Earnout liability at each subsequent period.
The Monte Carlo analysis used the following assumptions:
| | |
| | |
February 14 | |
| | |
March 31,
2025 | | |
2024 to
March 31,
2024 | |
| | |
(Successor) | | |
(Successor) | |
| Starting share price | |
$ | 14.60 | | |
| $6,140.00 to $9,800.00 | |
| Tranche 1 trigger price | |
$ | 2,500.00 | | |
| $64.00 to $78.20 | |
| Tranche 2 trigger price | |
$ | 3,000.00 | | |
| $77.00 to $94.00 | |
| Contractual term (in years) | |
| 2.9 | | |
| 3.9 to 4.0 | |
| Volatility | |
| 100 | % | |
| 90% | |
| Risk-free interest rate | |
| 3.82 | % | |
| 4.20% to 4.21% | |
The classification of the
fair value of the earnout liability and derivative liabilities and the change in the fair value measurement using significant inputs (Level
3) for the three months ended March 31, 2025 and for the period from January 1, 2024 through February 14, 2024 for the Predecessor and
February 14, 2024 through December 31, 2024 for the Company is presented below:
| | |
Level 1 | | |
Level 2 | | |
Level 3 | | |
Total | |
| Preferred stock warrant liability (Predecessor): | |
| | | |
| | | |
| | | |
| | |
| Balance at December 31, 2023 | |
$ | - | | |
$ | - | | |
$ | 320,117 | | |
| 320,117 | |
| Reclassification of warrant liability to equity | |
| - | | |
| - | | |
| (320,117 | ) | |
| (320,117 | ) |
| Balance at February 13, 2024 | |
$ | - | | |
$ | - | | |
$ | - | | |
$ | - | |
| | |
| | | |
| | | |
| | | |
| | |
| Earnout liability (Successor): | |
| | | |
| | | |
| | | |
| | |
| Balance at February 14, 2024 | |
| - | | |
| - | | |
| 4,900,000 | | |
| 4,900,000 | |
| Gain on revaluation of earnout liability | |
| - | | |
| - | | |
| (1,800,000 | ) | |
| (1,800,000 | ) |
| Balance at March 31, 2024 | |
$ | - | | |
$ | - | | |
$ | 3,100,000 | | |
$ | 3,100,000 | |
| Earnout liability (Successor): | |
| | | |
| | | |
| | | |
| | |
| Balance at December 31, 2024 | |
| - | | |
| - | | |
| 20,000 | | |
| 20,000 | |
| Gain on revaluation of earnout liability | |
| - | | |
| - | | |
| - | | |
| - | |
| Balance at March 31, 2025 | |
$ | - | | |
$ | - | | |
$ | 20,000 | | |
$ | 20,000 | |
|
NOTE 10 – FAIR VALUE MEASUREMENTS
Predecessor estimated the fair value of the Predecessor
Series A Preferred Stock Warrants at December 31, 2023, using Black-Scholes with the following assumptions:
| | |
December 31, | |
| | |
2023 | |
| | |
(Predecessor) | |
| Risk-free interest rate | |
| 5.40 | % |
| Expected life (in years) | |
| 0.25 | |
| Expected dividend yield | |
| - | % |
| Expected volatility | |
| 65.90 | % |
The Company initially recorded the earnout liability
at estimated fair value using a Monte Carlo analysis and has revalued the Earnout liability at each subsequent period. The Monte Carlo
analysis used the following assumptions:
| | |
December 31, | | |
February 14 | |
| | |
2024 | | |
2024 | |
| | |
(Successor) | | |
(Successor) | |
| Starting share price | |
$ | 120.00 | | |
$ | 9,800.00 | |
| Tranche 1 trigger price | |
$ | 25.00 | | |
$ | 64.00 | |
| Tranche 2 trigger price | |
$ | 25.00 | | |
$ | 77.00 | |
| Contractual term | |
| 3.1 | | |
| 4.0 | |
| Volatility | |
| 100 | % | |
| 90 | % |
| Risk-free interest rate | |
| 4.23 | % | |
| 4.20 | % |
At December 31, 2024 for
the Successor and December 31, 2023 for the Predecessor, the fair value of earnout liability and derivative liabilities were classified
as follows:
The classification of the
fair value of the earnout liability and derivative liabilities and the change in the fair value measurement using significant inputs (Level
3) for the year ended December 31, 2023 and for the period from January 1, 2024 through February 14, 2024 for Predecessor and February
14, 2024 through December 31, 2024 for the Company is presented below:
| | |
Level 1 | | |
Level 2 | | |
Level 3 | | |
Total | |
| Preferred stock warrant liability (Predecessor): | |
| | |
| | |
| | |
| |
| Balance at January 1, 2023 | |
$ | - | | |
$ | - | | |
$ | 610,381 | | |
$ | 610,381 | |
| Gain on revaluation of warrant liability | |
| - | | |
| - | | |
| (290,264 | ) | |
| (290,264 | ) |
| Balance at December 31, 2023 | |
| - | | |
| - | | |
| 320,117 | | |
| 320,117 | |
| Reclassification of warrant liability to equity | |
| - | | |
| - | | |
| (320,117 | ) | |
| (320,117 | ) |
| Balance at February 13, 2024 | |
$ | - | | |
$ | - | | |
$ | - | | |
$ | - | |
| | |
| | | |
| | | |
| | | |
| | |
| Earnout liability (Successor): | |
| | | |
| | | |
| | | |
| | |
| Balance at February 14, 2024 | |
| - | | |
| - | | |
| 4,900,000 | | |
| 4,900,000 | |
| Gain on revaluation of earnout liability | |
| - | | |
| - | | |
| (4,880,000 | ) | |
| (4,880,000 | ) |
| Balance at December 31, 2024 | |
$ | - | | |
$ | - | | |
$ | 20,000 | | |
$ | 20,000 | |
|