v3.25.2
Fair Value of Financial Instruments
 6 Months Ended
Jun. 30, 2025
Fair Value of Financial Instruments [Abstract]  
Fair Value of Financial Instruments
4. Fair Value of Financial Instruments
 
The Company has certain financial assets and liabilities recorded at fair value. Fair values determined by Level 1 inputs utilize observable data such as quoted prices in active markets. Fair values determined by Level 2 inputs utilize data points other than quoted prices in active markets that are observable either directly or indirectly. Fair values determined by Level 3 inputs utilize unobservable data points in which there is little or no market data, which require the reporting entity to develop its own assumptions. The carrying amounts reflected in the consolidated balance sheets for cash equivalents, accounts payable and accrued expenses approximate their carrying value due to their short-term nature. There were no level 1 or 2 assets or liabilities at June 30, 2025 or December 31, 2024. See below for Fair Value of Derivatives related to Convertible Notes Payable at June 30, 2025 and December 31, 2024, which are level 3 liabilities.
 
Level 3 assets and liabilities measured and recorded at fair value on a recurring basis at June 30, 2025 and December 31, 2024 were as follows:
 
                
     June 30,
2025		       December 31,
2024		  
Derivative Liability – Contingent Interest April Note
 
$
650,000    
$
47,000  
Derivative Liability – Contingent Interest September Note
 
$
298,000    
$
94,000  
Derivative Liability – Contingent Interest December Note
 
$
589,000    
$
275,000  
 
The April Note derivative liability – contingent interest was valued using a Monte Carlo Geometric Brownian Stock Path Model. The key assumptions used in the model at June 30, 2025 and December 31, 2024 are as follows:
                
    
June 30,
2025
       December 31,
2024		  
Stock Price
 $ 2.11     $ 1.29  
Conversion Price of conversion feature
 $ 5.00     $ 5.00  
Term
  1.25 years     0.29 years  
Risk Free Interest Rate
   3.96 %     4.37 %
Credit Adjusted Discount Rate
   13.31 %     12.43 %
Volatility
   101 %     152 %
Dividend Rate
   0 %     0 %
 
The roll forward of the April Note derivative liability – contingent interest is as follows for the six months ended June 30, 2025 and 2024:
 
     
Balance – December 31, 2024
  $ 47,000 
Fair Value Adjustment
    603,000 
Balance – June 30, 2025
  $ 650,000 
        
Balance – December 31, 2023
  $ 431,000 
Fair Value Adjustment
    358,000 
Balance – June 30, 2024
  $ 789,000 
 
The September Note derivative liability – contingent interest was valued using a Monte Carlo Geometric Brownian Stock Path Model. The key assumptions used in the model at June 30, 2025 and December 31, 2024 are as follows:
 
   
June 30,
2025
    
December 31,
2024
  
Stock Price
  $ 2.11     $ 1.29  
Conversion Price of conversion feature
  $ 8.64     $ 8.64  
Term
 
1.25 years
    0.72 years  
Risk Free Interest Rate
    3.96 %     4.16 %
Credit Adjusted Discount Rate
    13.31 %     12.43 %
Volatility
    101 %     111 %
Dividend Rate
    0 %     0 %
 
The roll forward of the September Note derivative liability – contingent interest is as follows:
 
     
Balance – December 31, 2024
  $ 94,000 
Fair Value Adjustment
    204,000 
Balance – June 30, 2025
  $ 298,000 
        
Balance – December 31, 2023
  $ 169,000 
Fair Value Adjustment
    140,000 
Balance – June 30, 2024
  $ 309,000 
 
The December Note derivative liability – contingent interest was valued using a Monte Carlo Geometric Brownian Stock Path Model. The key assumptions used in the model at June 30, 2025 and December 31, 2024 are as follows:
 
                 
 
 
June 30,
2025
 
 
December 31,
2024
 
Stock Price
 
$
2.11
 
 
$
1.29
 
Conversion Price of conversion feature
 
$
5.43
 
 
$
5.43
 
Term
 
1.25 years
 
 
0.97 years
 
Risk Free Interest Rate
 
 
3.96
%
 
 
4.16
%
Credit Adjusted Discount Rate
 
 
13.76
%
 
 
12.43
%
Volatility
 
 
101
%
 
 
102
%
Dividend Rate
 
 
0
%
 
 
0
%
 
The roll forward of the December Note derivative liability – contingent interest is as follows:
 
     
Balance – December 31, 2024
  $ 275,000 
Fair Value Adjustment
    314,000 
Balance – June 30, 2025
  $ 589,000 
        
Balance – December 31, 2023
  $ 404,000 
Fair Value Adjustment
    262,000 
Balance – June 30, 2024
  $ 666,000