Fair Value of Financial Instruments (Tables)
|
6 Months Ended |
Jun. 30, 2026 |
|---|
| Fair Value Disclosures [Abstract] |
|
| Schedule of Cash Equivalents and Short-term Investments Measured at Fair Value on Recurring Basis |
Cash equivalents and short-term investments measured at fair value on a recurring basis at June 30, 2026 were as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
In Active
Markets for
Identical Assets
or Liabilities
(Level 1) |
|
|
Significant
Other
Observable
Inputs
(Level 2) |
|
|
Significant
Unobservable
Inputs
(Level 3) |
|
|
Total |
|
Money market funds |
|
$ |
8,531,419 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
8,531,419 |
|
Short-term investments |
|
|
— |
|
|
|
2,233,141 |
|
|
|
— |
|
|
|
2,233,141 |
|
Warrant liability |
|
|
— |
|
|
|
— |
|
|
|
1,127,498 |
|
|
|
1,127,498 |
|
Compound derivative liability |
|
|
— |
|
|
|
— |
|
|
|
1,882,511 |
|
|
|
1,882,511 |
|
Cash equivalents and short-term investments measured at fair value on a recurring basis at December 31, 2025 were as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
In Active
Markets for
Identical Assets
or Liabilities
(Level 1) |
|
|
Significant
Other
Observable
Inputs
(Level 2) |
|
|
Significant
Unobservable
Inputs
(Level 3) |
|
|
Total |
|
Money market funds |
|
$ |
10,234,433 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
10,234,433 |
|
Commercial paper |
|
|
— |
|
|
|
1,645,442 |
|
|
|
— |
|
|
|
1,645,442 |
|
Short-term investments |
|
|
— |
|
|
|
4,261,782 |
|
|
|
— |
|
|
|
4,261,782 |
|
Warrant liability |
|
|
— |
|
|
|
— |
|
|
|
999,418 |
|
|
|
999,418 |
|
Compound derivative liability |
|
|
— |
|
|
|
— |
|
|
|
1,649,929 |
|
|
|
1,649,929 |
|
|
| Schedule of Fair Value Reconcilation of Level 3 Liabilities Measured at fair Value |
The following table presents the fair value reconciliation of Level 3 liabilities measured at fair value during the periods ended June 30, 2026 and December 31, 2025, respectively:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Warrant Liability |
|
|
Compound
Derivative Liability |
|
|
Total |
|
Balance – December 31, 2025 |
|
$ |
999,418 |
|
|
$ |
1,649,929 |
|
|
$ |
2,649,347 |
|
Change in fair value of derivative liabilities |
|
|
(280,878 |
) |
|
|
(558,186 |
) |
|
|
(839,064 |
) |
Balance – March 31, 2026 |
|
$ |
718,540 |
|
|
$ |
1,091,743 |
|
|
$ |
1,810,283 |
|
Change in fair value of derivative liabilities |
|
|
408,958 |
|
|
|
790,768 |
|
|
|
1,199,726 |
|
Balance – June 30, 2026 |
|
$ |
1,127,498 |
|
|
$ |
1,882,511 |
|
|
$ |
3,010,009 |
|
|
| Schedule of Valuation Assumption of Utilized in Valution of Level 3 Liability For Warrants |
Valuation assumptions utilized in the valuations of Level 3 liability under the Monte Carlo model for warrants as of June 30, 2026 and December 31, 2025 were as follows:
|
|
|
|
|
|
|
June 30, 2026 |
|
December 31, 2025 |
Risk-free interest rate |
|
4.13% |
|
3.68% |
Stock price |
|
1.04 |
|
$0.91 |
Initial exercise price - Warrants |
|
$0.96 |
|
$0.96 |
Volatility |
|
100.49% |
|
95.21% |
Dividend yield |
|
0.0% |
|
0.0% |
Remaining term - Warrants |
|
4.35 |
|
4.84 |
|
| Schedule of Valuation Assumptions of Debt |
Key inputs for the valuation of the debt include a credit spread of 22.39% and an issuance date annualized risk-free rate of 3.72%.
|
|
|
|
|
|
|
June 30, 2026 |
|
December 31, 2025 |
Remaining term - loan |
|
2.92 |
|
3.42 |
Credit spread |
|
22.39% |
|
22.39% |
Implied debt yield |
|
26.11% |
|
26.11% |
Annualized risk-free rate |
|
3.72% |
|
3.72% |
|