v3.25.2
Fair Value Measurements
 6 Months Ended
Jun. 30, 2025
Fair Value Disclosures [Abstract]  
Fair Value Measurements

3. Fair Value Measurements

 

As of June 30, 2025, and December 31, 2024, the Company held cash equivalents of $12.2 million and $7.0 million, respectively, in a money market account.

 

The following tables summarize the Company’s financial assets and liabilities, measured at fair value on a recurring basis by level within the fair value hierarchy (in thousands):

 

   June 30, 2025 
Assets  Level 1   Level 2   Level 3   Total 
Cash equivalents:                    
Money market funds  $12,151   $     -   $    -   $12,151 
   $12,151   $-   $-   $12,151 

 

Liabilities  Level 1   Level 2   Level 3   Total 
Common stock warrant liability  $      -   $    -   $1,285   $1,285 
   $-   $-   $1,285   $1,285 

 

   December 31, 2024 
Assets  Level 1   Level 2   Level 3   Total 
Cash equivalents:                    
Money market funds  $7,008   $    -   $    -   $7,008 
   $7,008   $-   $-   $7,008 

 

Liabilities  Level 1   Level 2   Level 3   Total 
Common stock warrant liability  $    -   $    -   $1,519   $1,519 
   $-   $-   $1,519   $1,519 

 

There were no transfers between Level 1, Level 2 or Level 3 during the periods presented. The Company had no other financial assets or liabilities that were required to be measured at fair value on a recurring basis.

 

Common Stock Warrants Liability, Changes on Level 3 Liabilities Measured at Fair Value on a Recurring Basis

 

The following table reflects the change in the Company’s Level 3 common stock warrant liability for the six months ended June 30, 2025 (in thousands):

 

      
Fair value as of December 31, 2024  $1,519 
Change in fair value   (234)
Fair value as of June 30, 2025  $1,285 

 

The Company remeasures the fair value of its common stock warrant liability at each reporting date. The fair value of the common stock warrants was determined using a probability weighted scenario method with a Monte Carlo simulation and Black-Scholes model. The scenario-based method estimates the fair value of the Company’s common stock warrants by considering various outcomes as assessed by the Company. Quantitative elements associated with the inputs impacting the fair value measurement of the common stock warrants include the underlying fair value of common stock, timing of the expected scenarios, risk-free rate, and volatility of the Company’s shares. The risk-free rate is determined by reference to the U.S. Treasury yield curve for the respective time periods based on the remaining contractual term of the warrants. The volatility is based on the historical volatility of the Company’s stock. The Monte Carlo simulation projects the Company’s volume weighted average stock price based on the various fundamental transaction scenarios considered and utilizes a Black-Scholes model to value the warrants within these scenarios.

 

 

The following table details the assumptions used in the Monte Carlo simulation to estimate the fair value of the common stock warrant liability:

 

   June 30, 2025   December 31, 2024 
Stock price  $1.315   $1.29 
Strike price  $3.21   $3.21 
Expected volatility   100% – 104%   108.0%
Expected term (years)   0.00 – 3.26    3.76 
Risk-free interest rate   3.69% – 4.41%   4.31%
Dividend rate   —%   —%

 

There were no transfers between Level 1, Level 2 or Level 3 during the periods presented. The Company had no other financial assets or liabilities that were required to be measured at fair value on a recurring basis.