Fair Value Measurements (Tables)
|
12 Months Ended |
Dec. 31, 2025 |
|---|
| Fair Value Measurements [Abstract] |
|
| Schedule of Incremental Warrants in the Exchange had an Issuance Date Fair Value |
The Series B Preferred Stock issued to the Investor in satisfaction of the Incremental
Warrants in the Exchange had an issuance date fair value of $8,261,000 based on the following assumptions:
| | |
June
18,
2025 | |
| Stated
Value | |
$ | 6,000,000 | |
| Dividend
Rate | |
| 0.0 | % |
| Conversion Price | |
$ | 20.00 | |
| Alternate
Conversion Amount | |
$ | 9.60 | |
| Required
Premium | |
| 125.0 | % |
| Stock Price | |
$ | 10.40 | |
| VWAP | |
$ | 10.40 | |
| | |
As of | | |
As of | | |
As of | |
| | |
December
31, | | |
June
18, | | |
February
4, | |
| | |
2025 | | |
2025 | | |
2025 | |
| Incremental Warrants | |
| - | | |
| 90,560,000 | | |
| 100,800,000 | |
The
fair value of the Convertible Note was calculated using a fair value analysis considering the following factors and assumptions:
| | |
December
31, | | |
June 26,
2025
Post | | |
June 26,
2025
Pre- | | |
February
4, | |
| | |
2025 | | |
Amendment(2) | | |
Amendment(2) | | |
2025(1) | |
| Stock Price | |
$ | 6.34 | | |
$ | 116.00 | | |
$ | 116.00 | | |
$ | 3,200.00 | |
| Conversion Price | |
$ | 29,116.16 | | |
$ | 363.90 | | |
$ | 363.90 | | |
$ | 3,600.00 | |
| Alternate Conversion Price | |
$ | 48.69 | | |
$ | 94.40 | | |
$ | 63.30 | | |
$ | 633.00 | |
| Alternate Conversion Premium | |
| 120.00 | % | |
| 120.00 | % | |
| 120.00 | % | |
| 120.00 | % |
| Redemption Premium | |
| 120.00 | % | |
| 120.00 | % | |
| 120.00 | % | |
| 120.00 | % |
| Interest Rate | |
| 12.00 | % | |
| 12.00 | % | |
| 12.00 | % | |
| 12.00 | % |
| (1) | The fair value analysis of the Convertible Note was performed under the assumption of immediate conversion as of the valuation date. The stock price, classified as a Level 1 input under the fair value hierarchy, was utilized in the analysis. Potential ownership limitations or conversion blockers were not incorporated into the valuation, as the analysis assumed full conversion in a single transaction without restriction. |
| (2) | The amendment to the Note on June 26, 2025, corrected the term of the Note from 1 year to 2 years and adjusted the alternate conversion price from the “lesser” of 95% VWAP and the floor price to the “greater” of. | The
fair value of the Incremental Warrants were calculated using the Monte Carlo simulation with the following factors, assumptions
and methodologies from February 4, 2025 when the Company entered into the agreement and right before the exchange on June 18, 2025:
| | | June 18, | | | February 4, | | | | | 2025(1) | | | 2025(1) | | | Face Value | | $ | 2,500,000 | | | $ | 2,500,000 | | | Exercise Price | | $ | 2,256,250 | | | $ | 2,256,250 | | | Stock Price | | $ | 1,000.40 | | | $ | 3,200.00 | | | Exercise Threshold | | | 20% of Min price | | | | 20% of Min price | | | Valuation per Incremental Warrant upon exercise | | $ | 11,320,000 | | | $ | 12,600,000 | | | Discount Rate | | | 36.97 | % | | | 28.70 | % | | Risk Free Rate | | | 4.20 | % | | | 4.18 | % | | Annualized Volatility | | | 92.00 | % | | | 88.0 | % | | Forecast horizon (years) | | | 0.08 | | | | 0.08 | |
| (1) | The fair value analysis of the Incremental Warrants was performed under the assumption of immediate conversion as of the valuation date. The stock price, classified as a Level 1 input under the fair value hierarchy, was utilized in the analysis. Potential ownership limitations or conversion blockers were not incorporated into the valuation, as the analysis assumed full conversion in a single transaction without restriction. |
|
| Schedule of Fair Value and Contractual Principal Balance Outstanding |
The
following tables provide the fair value and contractual principal balance outstanding on the Convertible Note and the Incremental Warrants
accounted for under the fair value option as of December 31, 2025, June 18, 2025, June 26, 2025 and February 4, 2025:
| | |
As of | | |
As of | | |
As of | |
| | |
December 31, | | |
June
26, | | |
February
4, | |
| | |
2025 | | |
2025 | | |
2025 | |
| Convertible Note fair value | |
| 5,818,000 | | |
| 12,477,000 | | |
| 33,000,000 | |
| Convertible Note, contractual principal outstanding | |
| 4,050,000 | | |
| 5,500,000 | | |
| 5,500,000 | |
|
| Schedule of Liabilities Measured at Fair Value on Recurring Basis |
A
summary of the Company’s liabilities measured at fair value on a recurring basis is as follows:
| | |
As
of December 31, 2025 | |
| | |
Level
1 | | |
Level
2 | | |
Level
3 | | |
Total | |
| Liabilities | |
| | |
| | |
| | |
| |
| Derivative
liabilities | |
$ | - | | |
$ | - | | |
$ | - | | |
$ | - | |
| Convertible
note | |
$ | - | | |
$ | - | | |
$ | 5,818,000 | | |
$ | 5,818,000 | |
| | |
As
of December 31, 2024 | |
| | |
Level
1 | | |
Level
2 | | |
Level
3 | | |
Total | |
| Liabilities | |
| | |
| | |
| | |
| |
| Derivative
liabilities | |
$ | - | | |
$ | - | | |
$ | 1,607,544 | | |
$ | 1,607,544 | |
|
| Schedule of Fair Value Associated with Level 3 Liabilities |
The
following tables provide a summary of changes in fair value associated with the Level 3 liabilities for the years ended December 31,
2025 and 2024:
| | |
2025 | | |
2024 | |
| Balance – January 1, | |
$ | 1,607,544 | | |
$ | - | |
| Issuance of derivative liability | |
| 100,800,000 | | |
| 269,038 | |
| Cash paid to settle derivative liability | |
| (379,083 | ) | |
| - | |
| Issuance of cashless shares for exercising
warrants | |
| (328,587 | ) | |
| - | |
| Extinguishment of derivative liability | |
| (90,831,585 | ) | |
| - | |
| Change in fair market value - extinguished
warrants | |
| 8,571,711 | | |
| 1,338,506 | |
| Change in fair market
value - new warrants | |
| (19,440,000 | ) | |
| - | |
| Balance – December
31, | |
$ | - | | |
$ | 1,607,544 | |
|
| Schedule of Convertible Note |
Convertible
Note
| Balance – January 1,
2025 | |
$ | - | |
| Issuance of Convertible Note | |
| 41,364,000 | |
| Change in fair value of Convertible
Note | |
| (21,195,000 | ) |
| Conversion to equity | |
| (1,874,000 | ) |
| Extinguishment
of Convertible Note | |
| (12,477,000 | ) |
| Balance
– December 31, 2025 | |
$ | 5,818,000 | |
|
| Schedule of Fair Value of the Derivative Liability on the Issuance Date and the Balance Sheet |
The fair value of the derivative liability on the issuance date and the balance sheet
date and the assumptions used in the Black-Scholes model are set forth in the table below.
| | |
December 31, | |
| | |
2024 | |
| Weighted
average fair value | |
$ | 0.87 | |
| Dividend
yield | |
| — | |
| Expected
volatility factor | |
| 72.7 | % |
| Risk-free
interest rate | |
| 4.3 | % |
| Expected
life (in years) | |
| 5.5 | |
|