v3.25.2
Fair Value Measurements (Tables)
6 Months Ended
Jun. 30, 2025
Fair Value Measurements [Abstract]  
Schedule of Financial Liabilities that are Measured at Fair Value on a Recurring Basis

The following table presents information about the Company’s financial liabilities that are measured at fair value on a recurring basis as of June 30, 2025 and December 31, 2024, by level within the fair value hierarchy (in thousands):

 

   Fair value measured as of June 30, 2025 
       Quoted prices   Significant other   Significant 
   Fair value at
June 30,
2025
   in active
markets
(Level 1)
   observable 
inputs
(Level 2)
   unobservable
inputs
(Level 3)
 
Warrant liabilities  $10,555   $5,903   $
         -
   $4,651 
   $10,555   $5,903   $
-
   $4,651 

 

   Fair value measured as of December 31, 2024 
       Quoted prices   Significant other   Significant 
   Fair value at
December 31,
2024
   in active
markets
(Level 1)
   observable 
inputs
(Level 2)
   unobservable
inputs
(Level 3)
 
Warrant liabilities  $6,451   $6,409   $
           -
   $41 
Short-term notes payable – Yorkville  $2,365   $
-
   $
-
   $2,365 
   $8,816   $6,409   $
-
   $2,406 
Schedule of Changes in Level 3 Warrant Liabilities Measured at Fair Value

The following table presents changes in Level 3 liabilities measured at fair value for the six months ended June 30, 2025 and 2024 (in thousands):

 

Balance - January 1, 2024  $47 
Change in fair value   (20)
Balance - March 31, 2024  $27 
Change in fair value   (11)
Balance - June 30, 2024  $16 

  

Balance - January 1, 2025  $41 
Fair value at issuance   2,908 
Change in fair value   (37)
Balance - March 31, 2025  $2,912 
Change in fair value   1,739 
Balance - June 30, 2025  $4,651 
Schedule of Quantitative Information Regarding Level 3 Warrant Liability Fair Value Measurements Inputs at Their Measurement

The following table provides quantitative information regarding Level 3 fair value measurements inputs at their measurement:

 

   June 30,    December 31, 
   2025    2024 
   Angel Warrants    Investor Warrants   

Avenue

Warrants

      
Valuation Method(1)   Black Scholes    Monte Carlo     Probability Weighted
Black Scholes
       
Strike price (per share)  $7.32   $1.80    $1.66    $7.32 
Contractual term (years)   2.0    2.7 – 4.7     1 – 4.7     2.5 
Volatility (annual)   89.5%   75.0% - 79.0%    75.0% -82.0%    70.6%
Risk-free rate   3.7%   3.7% - 3.7%    3.7% - 3.9%    4.3%
Dividend yield (per share)   0.0%   0.0%    0.0%    0.0%

 

(1)The valuation models for the Investor and Avenue Warrants include certain probabilities for change of control and future equity capital raises.