| Schedule of Assets and Liabilities Measured at Fair Value |
The table below presents the Company’s assets and liabilities measured at fair value on a recurring basis aggregated by the level in the fair value hierarchy at June 30, 2025 (in thousands): | | | | | | | | | | | | | | | | | | | | | | | | | | Level 1 | | Level 2 | | Level 3 | | Total | | Liabilities: | | | | | | | | | Public placement warrant liability | $ | — | | | $ | — | | | $ | 5 | | | $ | 5 | | | Related party private placement warrant liability | — | | | — | | | 245 | | | 245 | | | Long-term debt, non-current | $ | — | | | $ | 13,009 | | | $ | — | | | $ | 13,009 | | | Total liabilities | $ | — | | | $ | 13,009 | | | $ | 250 | | | $ | 13,259 | |
The table below presents the Company’s assets and liabilities measured at fair value on a recurring basis aggregated by the level in the fair value hierarchy at December 31, 2024 (in thousands): | | | | | | | | | | | | | | | | | | | | | | | | | | Level 1 | | Level 2 | | Level 3 | | Total | | Liabilities: | | | | | | | | | Public placement warrant liability | $ | — | | | $ | — | | | $ | 267 | | | $ | 267 | | | Related party private placement warrant liability | — | | | — | | | 133 | | | 133 | | | Long-term debt, non-current | — | | | 13,186 | | | — | | | 13,186 | | | Total liabilities | $ | — | | | $ | 13,186 | | | $ | 400 | | | $ | 13,586 | |
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| Schedule of Fair Value of the Convertible Notes |
The key inputs for the Monte Carlo simulation model to value the Public Placement Warrants at June 30, 2025 and December 31, 2024 were as follows: | | | | | | | | | | | | | June 30,
2025 | | December 31,
2024 | | Stock price | $ | 2.82 | | | $ | 9.60 | | | Exercise price | $ | 230.00 | | | $ | 230.00 | | | Redemption Threshold | $ | 360.00 | | | $ | 360.00 | | | Effective expiration date | August 13, 2029 | | August 13, 2029 | | Term (years) | 4.1 | | 4.6 | | Volatility | 75 % | | 80 % | | Risk-free rate | 3.67 % | | 4.27 % |
The fair value of the Private Placement Warrants at February 14, 2025 and December 31, 2024 was determined using the Monte Carlo simulation model. The key inputs for the Monte Carlo simulation model to value the Private Placement Warrants at February 14, 2025 and December 31, 2024 were as follows: | | | | | | | | | | | | | February 14,
2025 | | December 31,
2024 | | Stock price | $ | 13.20 | | | $ | 9.60 | | | Exercise price | $ | 230.00 | | | $ | 230.00 | | | Redemption Threshold | $ | 360.00 | | | $ | 360.00 | | | Effective expiration date | August 13, 2029 | | August 13, 2029 | | Term (years) | 4.5 | | 4.6 | | Volatility | 80 % | | 80 % | | Risk-free rate | 4.22 % | | 4.27 % |
The fair value of the Sponsor Warrants at June 30, 2025 and February 14, 2025 was determined using the Monte Carlo simulation model. The key inputs for the Monte Carlo simulation model to value the Sponsor Warrants at June 30, 2025 and February 14, 2025 were as follows: | | | | | | | | | | | | | June 30,
2025 | | February 14,
2025 | | Stock price | $ | 2.82 | | | $ | 13.20 | | | Exercise price | $ | 10.00 | | | $ | 10.00 | | | Effective expiration date | February 14, 2030 | | February 14, 2030 | | Term (years) | 4.6 | | 5.0 | | Volatility | 79 | % | | 84 | % | | Risk-free rate | 3.7 | % | | 4.2 | % |
The following assumptions were used to calculate the fair value of the Triton Warrants upon issuance as of February 13, 2025 using the Black-Scholes pricing model: | | | | | | | February 13,
2025 | | Stock price | $ | 24.60 | | | Exercise price | $ | 10.00 | | | Effective expiration date | 8/13/2030 | | Term (years) | 5.5 | | Volatility | 84 | % | | Risk-free rate | 4.4 | % |
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| Schedule of Change in Fair Value of Share-Based Termination Liability |
The following table presents a reconciliation of the public placement warrant liability measured at fair value on a recurring basis as of June 30, 2025: | | | | | | | | Public
Placement
Warrant
Liability | | Balance at January 1, 2025 | $ | 267 | | | Change in estimated fair value | (184) | | | Balance at March 31, 2025 | $ | 83 | | | Change in estimated fair value | (78) | | | Balance at June 30, 2025 | $ | 5 | |
The following table presents a reconciliation of the related party private placement warrant liability measured at fair value on a recurring basis as of June 30, 2025: | | | | | | | Related Party Private Placement Warrant Liability | | Balance at January 1, 2025 | $ | 133 | | Change in estimated fair value before modification(1) | 71 | | Change in fair value for exchange of Sponsor Warrants on February 14, 2025(1) | 1,816 | | Change in estimated fair value after modification(1) | (1,276) | | | Balance at March 31, 2025 | $ | 744 | | | Change in estimated fair value | $ | (499) | | | Balance at June 30, 2025 | $ | 245 | |
(1) See Note 7 – Warrants for more information on the exchange of warrants with the Sponsor and modification of the related party private placement warrant liability. The following table presents a reconciliation of the convertible notes liability measured at fair value on a recurring basis as of June 30, 2024: | | | | | | | | Convertible
Notes | | Balance at January 1, 2024 | $ | 15,604 | | | Note issuance during the period | 3,457 | | | Change in estimated fair value | 1,213 | | | Balance at March 31, 2024 | $ | 20,274 | | | Note issuance during the period | $ | 10,130 | | | Loss on extinguishment | $ | 22,183 | | | Change in estimated fair value | $ | 15,874 | | | Balance at June 30, 2024 | $ | 68,461 | |
The following table presents a reconciliation of the related party convertible notes liability measured at fair value on a recurring basis as of June 30, 2024: | | | | | | | | Related Party
Convertible
Notes | | Balance at January 1, 2024 | $ | 2,133 | | | Note issuance during the period | 1,449 | | | Change in estimated fair value | 248 | | | Balance at March 31, 2024 | $ | 3,830 | | | Note issuance during the period | $ | 3,635 | | | Loss on extinguishment | $ | 4,176 | | | Change in estimated fair value | $ | 5,300 | | | Balance at June 30, 2024 | $ | 16,941 | |
The following table presents a reconciliation of the share-based termination liability measured at fair value on a recurring basis as of June 30, 2024: | | | | | | | | Share-Based
Termination
Liability | | Balance at January 1, 2024 | $ | 6,349 | | | Change in estimated fair value | (186) | | | Balance at March 31, 2024 | $ | 6,163 | | | Change in estimated fair value | $ | 1,498 | | | Balance at June 30, 2024 | $ | 7,661 | |
The following table presents a reconciliation of the convertible preferred stock warrant liability measured at fair value on a recurring basis as of June 30, 2024: | | | | | | | | Convertible
Preferred
Stock
Warrants
Liability | | Balance at January 1, 2024 | $ | 203 | | | Change in estimated fair value | (24) | | | Balance at March 31, 2024 | $ | 179 | | | Change in estimated fair value | $ | (73) | | | Balance at June 30, 2024 | $ | 106 | |
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