FAIR VALUE MEASUREMENTS (Tables)
|
6 Months Ended |
12 Months Ended |
Jun. 30, 2025 |
Dec. 31, 2024 |
| Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |
|
|
| Schedule of Fair Value of Financial Assets and Financial Liabilities |
The following tables set forth the fair value of the Company’s financial assets and liabilities by level within the fair value hierarchy as of June 30, 2025 and December 31, 2024:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
At June 30, 2025 |
|
|
|
Level 1 |
|
|
Level 2 |
|
|
Level 3 |
|
|
Total |
|
Assets: |
|
|
|
|
|
|
|
|
|
|
|
|
Convertible Note Receivable |
|
$ |
— |
|
|
$ |
— |
|
|
$ |
748,600 |
|
|
$ |
748,600 |
|
Total assets |
|
$ |
— |
|
|
$ |
— |
|
|
$ |
748,600 |
|
|
$ |
748,600 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Liabilities: |
|
|
|
|
|
|
|
|
|
|
|
|
Junior Note Warrants |
|
$ |
— |
|
|
$ |
— |
|
|
$ |
18,301 |
|
|
$ |
18,301 |
|
Notes payable - fair value option |
|
|
— |
|
|
|
— |
|
|
|
9,510,017 |
|
|
|
9,510,017 |
|
SEPA liability |
|
|
— |
|
|
|
— |
|
|
|
3,297,922 |
|
|
|
3,297,922 |
|
Total liabilities |
|
$ |
— |
|
|
$ |
— |
|
|
$ |
12,826,240 |
|
|
$ |
12,826,240 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
At December 31, 2024 |
|
|
|
Level 1 |
|
|
Level 2 |
|
|
Level 3 |
|
|
Total |
|
Liabilities: |
|
|
|
|
|
|
|
|
|
|
|
|
Junior Note Warrants |
|
$ |
— |
|
|
$ |
— |
|
|
$ |
128,615 |
|
|
$ |
128,615 |
|
Convertible note derivative liability (1) |
|
|
— |
|
|
|
— |
|
|
|
37,900 |
|
|
|
37,900 |
|
Total liabilities |
|
$ |
— |
|
|
$ |
— |
|
|
$ |
166,515 |
|
|
$ |
166,515 |
|
(1)Represents the August 2024 Convertible Note Derivative Liability, as defined and described in Note 8. In March 2025, the remaining August 2024 Convertible Notes were purchased by Indigo Capital and subsequently extinguished. For additional information, see Note 8.
|
The following tables set forth the fair value of the Company’s financial liabilities by level within the fair value hierarchy as of December 31, 2024 and 2023:
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|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
At December 31, 2024 |
|
|
|
Level 1 |
|
|
Level 2 |
|
|
Level 3 |
|
|
Total |
|
Junior Note Warrants |
|
$ |
— |
|
|
$ |
— |
|
|
$ |
128,615 |
|
|
$ |
128,615 |
|
Convertible note derivative liability (1) |
|
|
— |
|
|
|
— |
|
|
|
37,900 |
|
|
|
37,900 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
At December 31, 2023 |
|
|
|
Level 1 |
|
|
Level 2 |
|
|
Level 3 |
|
|
Total |
|
Junior Note Warrants |
|
$ |
— |
|
|
$ |
— |
|
|
$ |
2,238,519 |
|
|
$ |
2,238,519 |
|
(1) Represents the August 2024 Convertible Note Derivative Liability, as defined and described in Note 8, Notes and Convertible Notes Payable.
|
| Schedule of Changes in Fair Value of Financial Assets |
The following table sets forth a summary of the changes in fair value of the Company's Convertible Note Receivable:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Three Months Ended
June 30, |
|
|
Six Months Ended
June 30, |
|
|
|
|
|
|
|
2025 |
|
|
2025 |
|
Fair value, beginning balance |
|
|
|
|
|
$ |
260,000 |
|
|
$ |
— |
|
Fair value at issuance |
|
|
|
|
|
|
— |
|
|
|
260,000 |
|
Principal additions |
|
|
|
|
|
|
500,000 |
|
|
|
650,000 |
|
Contributions from related party |
|
|
|
|
|
|
— |
|
|
|
(150,000 |
) |
Change in fair value |
|
|
|
|
|
|
(11,400 |
) |
|
|
(11,400 |
) |
Fair value, ending balance |
|
|
|
|
|
$ |
748,600 |
|
|
$ |
748,600 |
|
|
|
| Notes Payable Fair Value Option [Member] |
|
|
| Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |
|
|
| Schedule of Fair Value Notes Payable Recorded Under Fair Value Option |
The fair value of the Company's notes payable recorded under the fair value option was estimated using Level 3 fair value measurements. The significant inputs to the calculation of the fair value of the notes payable recorded under the fair value option at issuance and June 30, 2025 were as follows:
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|
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|
|
|
Six Months Ended June 30, 2025 |
Valuation Inputs: |
|
Indigo Capital Convertible Notes(1) |
|
Agile Note(2) |
|
Diagonal
Convertible Note(1) |
|
Boot
Convertible Note(1) |
|
Bomore
Convertible Notes(3) |
|
Brick Lane
Convertible Notes(1)(3) |
|
Torcross Convertible Note(3) |
Stock price |
$ |
0.16 - 0.35 |
|
N/A |
$ |
0.14 - 0.35 |
$ |
0.14 - 0.35 |
$ |
0.33 - 0.35 |
$ |
0.31 - 0.35 |
$ |
0.34 - 0.35 |
Expected term (in years) |
|
0.67 - 0.99 |
|
0.49 - 0.58 |
|
0.66 - 0.79 |
|
0.66 - 0.79 |
|
0.96 - 1.00 |
|
0.92 - 1.00 |
|
0.98 - 1.00 |
Expected volatility |
|
237.8% - 268.7% |
|
N/A |
|
220.5% - 245.4% |
|
220.5% - 245.4% |
|
N/A |
|
258.4% |
|
N/A |
Risk-free interest rate |
|
4.0% - 4.2% |
|
N/A |
|
4.2% |
|
4.2% |
|
N/A |
|
4.1% |
|
N/A |
Risk-adjusted discount rate |
|
0.0% - 12.9% |
|
18.0% - 18.6% |
|
N/A |
|
N/A |
|
N/A |
|
N/A |
|
N/A |
Expected dividend yield |
|
N/A |
|
N/A |
|
N/A |
|
N/A |
|
N/A |
|
N/A |
|
N/A |
(1)Fair value was estimated using a Monte Carlo simulation model, which incorporates significant assumptions including the expected volatility of the Company's stock price, the risk-free interest rate, and the timing and probability of future liquidity events. (2)Fair value was estimated using a discounted cash flow method, which applies a risk-adjusted discount rate to projected future cash flows. The valuation involves significant judgment in determining key inputs such as forecasted revenue growth, margin expectations and discount rates. (3)Fair value was estimated using the current value method, which allocates the Company's most recent enterprise value to the various classes of equity based on their respective rights and preferences.
|
|
| Schedule of Changes in Fair Value of Financial Liabilities |
The following tables set forth a summary of the changes in fair value of the Company's notes payable recorded under the fair value option:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Three Months Ended June 30, 2025 |
|
|
|
Beginning Balance |
|
|
Issuance |
|
|
Additions & (Payments) |
|
|
Conversion |
|
|
Change in Fair Value |
|
|
Ending Balance |
|
Indigo Capital Convertible Notes |
|
$ |
4,047,000 |
|
|
$ |
3,803,374 |
|
|
$ |
— |
|
|
$ |
(2,761,362 |
) |
|
$ |
1,173,366 |
|
|
$ |
6,262,378 |
|
Agile Note |
|
|
— |
|
|
|
500,000 |
|
|
|
58,417 |
|
|
|
— |
|
|
|
316,143 |
|
|
|
874,560 |
|
Diagonal Convertible Note |
|
|
— |
|
|
|
399,955 |
|
|
|
— |
|
|
|
— |
|
|
|
(6,735 |
) |
|
|
393,220 |
|
Boot Convertible Note |
|
|
— |
|
|
|
193,215 |
|
|
|
— |
|
|
|
— |
|
|
|
(3,254 |
) |
|
|
189,961 |
|
Brick Lane Convertible Notes |
|
|
— |
|
|
|
2,565,384 |
|
|
|
— |
|
|
|
(2,264,573 |
) |
|
|
(29,972 |
) |
|
|
270,839 |
|
Bomore Convertible Notes |
|
|
— |
|
|
|
1,411,829 |
|
|
|
— |
|
|
|
— |
|
|
|
(28,190 |
) |
|
|
1,383,639 |
|
Torcross Convertible Notes |
|
|
— |
|
|
|
133,883 |
|
|
|
— |
|
|
|
— |
|
|
|
1,537 |
|
|
|
135,420 |
|
Total |
|
$ |
4,047,000 |
|
|
$ |
9,007,640 |
|
|
$ |
58,417 |
|
|
$ |
(5,025,935 |
) |
|
$ |
1,422,895 |
|
|
$ |
9,510,017 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Six Months Ended June 30, 2025 |
|
|
|
Beginning Balance |
|
|
Issuance |
|
|
Additions & (Payments) |
|
|
Conversion |
|
|
Change in Fair Value |
|
|
Ending Balance |
|
Indigo Capital Convertible Notes |
|
$ |
— |
|
|
$ |
9,014,474 |
|
|
$ |
— |
|
|
$ |
(3,668,940 |
) |
|
$ |
916,844 |
|
|
$ |
6,262,378 |
|
Agile Note |
|
|
— |
|
|
|
500,000 |
|
|
|
58,417 |
|
|
|
— |
|
|
|
316,143 |
|
|
|
874,560 |
|
Diagonal Convertible Note |
|
|
— |
|
|
|
399,955 |
|
|
|
— |
|
|
|
— |
|
|
|
(6,735 |
) |
|
|
393,220 |
|
Boot Convertible Note |
|
|
— |
|
|
|
193,215 |
|
|
|
— |
|
|
|
— |
|
|
|
(3,254 |
) |
|
|
189,961 |
|
Brick Lane Convertible Notes |
|
|
— |
|
|
|
2,565,384 |
|
|
|
— |
|
|
|
(2,264,573 |
) |
|
|
(29,972 |
) |
|
|
270,839 |
|
Bomore Convertible Notes |
|
|
— |
|
|
|
1,411,829 |
|
|
|
— |
|
|
|
— |
|
|
|
(28,190 |
) |
|
|
1,383,639 |
|
Torcross Convertible Notes |
|
|
— |
|
|
|
133,883 |
|
|
|
— |
|
|
|
— |
|
|
|
1,537 |
|
|
|
135,420 |
|
Total |
|
$ |
— |
|
|
$ |
14,218,740 |
|
|
$ |
58,417 |
|
|
$ |
(5,933,513 |
) |
|
$ |
1,166,373 |
|
|
$ |
9,510,017 |
|
|
|
| Junior Note Warrants [Member] |
|
|
| Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |
|
|
| Schedule of Aggregate Fair value of Warrants |
The significant inputs to the calculation of the fair value of the Junior Note Warrant liability were as follows:
|
|
|
|
|
|
|
|
|
|
Six Months Ended June 30, |
|
|
|
2025 |
|
|
2024 |
Junior Note Warrants: |
|
|
|
|
|
|
Stock price |
|
$ |
0.35 |
|
$ |
0.03 - 0.14 |
Expected term (in years) |
|
|
3.4 - 4.1 |
|
|
4.4 - 4.7 |
Expected volatility |
|
|
66.2% - 70.8% |
|
|
58.9% - 69.8% |
Risk-free interest rate |
|
|
3.7% |
|
|
4.2% - 4.3% |
Expected dividend yield |
|
|
0.0% |
|
|
0.0% |
|
The aggregate fair value of the Junior Note Warrants was estimated using a Monte Carlo simulation based approach, a Level 3 valuation. The significant inputs to the calculation of the fair value of the Junior Note Warrant liability were as follows:
|
|
|
|
|
|
|
|
|
Year Ended December 31, |
|
|
2024 |
|
2023 |
Common Stock Warrants: |
|
|
|
|
|
|
Stock price |
|
$ |
0.03 - 0.67 |
|
$ |
0.15 - 0.18 |
Expected term (in years) |
|
|
3.9 - 4.9 |
|
|
4.9 - 5.0 |
Expected volatility |
|
|
58.9% - 79.6% |
|
|
66.3% |
Risk-free interest rate |
|
|
3.6% - 4.3% |
|
|
3.8% - 4.1% |
Expected dividend yield |
|
|
0.0% |
|
|
0.0% |
|
| Schedule of Changes in Fair Value of Financial Liabilities |
The following table sets forth a summary of the changes in fair value of the Company's Junior Note Warrants issued in November 2023:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Three Months Ended June 30, |
|
|
Six Months Ended June 30, |
|
|
|
|
|
|
|
2025 |
|
|
2024 |
|
|
2025 |
|
|
2024 |
|
Fair value, beginning balance |
|
|
|
|
|
$ |
1,315 |
|
|
$ |
2,235,208 |
|
|
$ |
128,615 |
|
|
$ |
2,238,519 |
|
Change in fair value |
|
|
|
|
|
|
16,986 |
|
|
|
(1,783,201 |
) |
|
|
(110,314 |
) |
|
|
(1,786,512 |
) |
Fair value, ending balance |
|
|
|
|
|
$ |
18,301 |
|
|
$ |
452,007 |
|
|
$ |
18,301 |
|
|
$ |
452,007 |
|
|
The following tables set forth a summary of the changes in fair value of the Company's Junior Note Warrants issued in November 2023:
|
|
|
|
|
Year Ended
December 31, |
|
|
2024 |
|
Fair value as of December 31, 2023 |
$ |
2,238,519 |
|
Change in fair value |
|
(2,109,904 |
) |
Fair value as of December 31, 2024 |
$ |
128,615 |
|
|
|
|
|
|
Year Ended
December 31, |
|
|
2023 |
|
Fair value at issuance |
$ |
— |
|
Recognition of Junior Note Warrants upon issuance |
|
2,668,169 |
|
Change in fair value |
|
(429,650 |
) |
Fair value as of December 31, 2023 |
$ |
2,238,519 |
|
|
| August 2024 Convertible Note Derivative Liability [Member] |
|
|
| Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |
|
|
| Schedule of Aggregate Fair value of Warrants |
|
The aggregate fair value of the August 2024 Convertible Note Derivative Liability was estimated using a Monte Carlo simulation based approach, a Level 3 valuation. The significant inputs to the calculation of the fair value of the August 2024 Convertible Note Derivative Liability during the year ended December 31, 2024 were as follows:
|
|
|
|
|
|
Year Ended December 31, 2024 |
August 2024 Convertible Note Derivative Liability: |
|
|
|
Stock price |
|
|
$0.51 - $1.82 |
Expected term (in years) |
|
|
0.35 - 0.46 |
Expected volatility |
|
|
253.0% - 285.4% |
Risk-free interest rate |
|
|
4.6% - 5.0% |
Expected dividend yield |
|
|
0.0% |
|
| Schedule of Changes in Fair Value of Financial Liabilities |
The following table sets forth a summary of the changes in fair value of the Company's August 2024 Convertible Note Derivative Liability:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Three Months Ended June 30, |
|
|
Six Months Ended June 30, |
|
|
|
|
|
|
|
2025 |
|
|
2024 |
|
|
2025 |
|
|
2024 |
|
Fair value, beginning balance |
|
|
|
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
37,900 |
|
|
$ |
— |
|
Extinguishment of August 2024 Convertible Notes |
|
|
|
|
|
|
— |
|
|
|
— |
|
|
|
(37,900 |
) |
|
|
— |
|
Fair value, ending balance |
|
|
|
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
The following table sets forth a summary of the changes in fair value of the Company's August 2024 Convertible Note Derivative Liability:
|
|
|
|
Fair value as of December 31, 2023 |
$ |
— |
|
Initial recognition at fair value |
|
179,000 |
|
Change in fair value |
|
(141,100 |
) |
Fair value as of December 31, 2024 |
$ |
37,900 |
|
|
| SEPA Liability [Member] |
|
|
| Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |
|
|
| Schedule of Changes in Fair Value of the Company's SEPA Liability |
The following table sets forth a summary of the changes in fair value of the Company's SEPA liability:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Three Months Ended
June 30, |
|
|
Six Months Ended
June 30, |
|
|
|
|
|
|
|
2025 |
|
|
2025 |
|
Fair value, beginning balance |
|
|
|
|
|
$ |
— |
|
|
$ |
— |
|
Fair value at issuance |
|
|
|
|
|
|
3,582,724 |
|
|
|
3,582,724 |
|
Common stock issued (1) |
|
|
|
|
|
|
(545,309 |
) |
|
|
(545,309 |
) |
Change in fair value |
|
|
|
|
|
|
260,507 |
|
|
|
260,507 |
|
Fair value, ending balance |
|
|
|
|
|
$ |
3,297,922 |
|
|
$ |
3,297,922 |
|
(1)Relates to the first 50% of Common Stock issued to the SEPA Investor during the second quarter of 2025 in connection with the commitment fee payable to the SEPA Investor in Common Stock in an amount equal to 1% of the Commitment Amount, or $1,000,000, to be paid 50% on execution of the SEPA and 50% to be paid 90 days after execution of the SEPA, as further detailed in Note 11.
|
|
| Schedule of Significant Inputs to Calculation of Fair Value SEPA Liability |
The significant inputs to the calculation of the fair value of the SEPA liability at issuance and June 30, 2025 were as follows:
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Six Months Ended June 30, |
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2025 |
SEPA Liability |
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Stock price |
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$ |
0.35 - 0.37 |
Expected term (in years) |
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2.9 - 3.0 |
Expected volatility |
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205% |
Risk-free interest rate |
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3.7% - 3.9% |
Expected dividend yield |
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0.0% |
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| Convertible Notes Receivable [Member] |
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| Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] |
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| Schedule of Aggregate Fair value of Warrants |
The significant inputs to the calculation of the fair value of the Convertible Note Receivable at issuance and June 30, 2025 were as follows:
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Six Months Ended June 30, |
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2025 |
Convertible Note Receivable |
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Stock price |
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$ |
0.000038 - 0.000048 |
Expected term (in years) |
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1.00 - 1.25 |
Expected volatility |
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157.7% - 188.1% |
Risk-free interest rate |
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3.8% - 4.2% |
Expected dividend yield |
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0.0% |
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