Annual report pursuant to Section 13 and 15(d)

Warrant Liability (Tables)

v3.25.0.1
Warrant Liability (Tables)
 12 Months Ended
Dec. 31, 2024
Short-Term Debt [Line Items]  
Schedule of Derivative Liability Transactions

The details of warrant liability transactions were as follows:

 

             
    Year Ending  
    December 31, 2024     December 31, 2023  
Beginning balance   $ 1,052,000     $ 18,000  
Issuance of warrants at fair value     —       5,831,000  
Change in fair value     (800,000 )     (4,797,000 )
Extinguishment     —       —  
Ending balance   $ 252,000     $ 1,052,000  
2023 Warrants [Member]  
Short-Term Debt [Line Items]  
Schedule of Derivative Liabilities Assumptions

The 2023 Warrant liability is valued using a BlackScholes Option pricing model with the following assumptions:

 

    2023 Warrants  
    December 31, 2024     December 31, 2023  
Stock price   $ 3.05     $ 7.80  
Risk-free interest rate 1     4.27 %     4.2 %
Expected volatility 2     114 %     115.2 %
Expected life (in years) 3     3.00 – 3.50       4.00 – 4.50  
Expected dividend yield 4     —       —  
Fair value of warrants   $ 252,000     $ 1,050,000  

 

1 Based on rates established by the Federal Reserve Bank
2 Historical volatility of the Company’s common stock is used to estimate the future volatility of its common stock
3 Determined by the remaining contractual life of the derivative instrument
4 Based on no dividends paid or expected to be paid
2020 Warrants [Member]  
Short-Term Debt [Line Items]  
Schedule of Derivative Liabilities Assumptions

The 2020 Warrant liability is valued using a Binomial pricing model with the following assumptions:

 

    2020 Warrants  
    December 31, 2024     December 31, 2023  
Stock price   $ 3.05     $ 7.80  
Risk-free interest rate 1     4.28 %     4.5 %
Expected volatility 2     114 %     89.0 %
Expected life (in years) 3     0.6       1.6  
Expected dividend yield 4     —       —  
Fair value of warrants   $ —     $ 2,000  

 

At December 31, 2024, the estimated fair value of these 2020 Warrants was de minimis, as such, none was recorded.

 

1 Based on rates established by the Federal Reserve Bank
2 Historical volatility of the Company’s common stock is used to estimate the future volatility of its common stock
3 Determined by the remaining contractual life of the derivative instrument
4 Based on no dividends paid or expected to be paid