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Fair Value Measurements
 12 Months Ended
Dec. 31, 2024
Fair Value Disclosures [Abstract]  
Fair Value Measurements Fair Value Measurements
The Company uses various inputs to measure the outstanding warrants and certain embedded conversion features associated with convertible debt on a recurring basis to determine the fair value of the liabilities. The following table classifies the Company’s liabilities measured at fair value on a recurring basis into the fair value hierarchy:
Fair value measurement at December 31, 2024
(in thousands)Fair valueQuoted
prices in
active
markets
(Level 1)		Significant
other
observable
inputs
(Level 2)		Significant
 unobservable
inputs
(Level 3)
Warrant liability$8,107 - - $8,107 
Total Fair Value$8,107 $- $- $8,107 
Fair value measurement at December 31, 2023
(in thousands) Fair valueQuoted
prices in
active
markets
(Level 1)		Significant
other
observable
inputs
(Level 2)		Significant
unobservable
inputs
(Level 3)
Warrant liability$14,447 - - $14,447 
Conversion option93 - - 93 
Total Fair Value$14,540 $- $- $14,540 
There were no transfers between Level 1, 2, or 3, during the years ended December 31, 2024, and 2023. Both observable and unobservable inputs were used to determine fair value of the positions that the Company classified within the Level 3 category. Unrealized gains and losses associated with the liabilities within the Level 3 category include changes in fair value that were attributable to both observable and unobservable inputs.
Warrant Liability
The Company's liability classified warrants as of December 31, 2024 were valued using the Black Scholes valuation model.
The Company’s initial valuation of warrant liability from the June 2024 financing, were valued using a probability weighted expected value considering the proposed reverse stock split of the Company's common stock (the "Reverse Stock Split") that would effectuate the exchange of Notes and Common Stock Purchase Warrants for shares of the Company's common stock (the "Note and Warrant Exchange"), and the previous Black Scholes valuation model, with significant value stemming from the Note and Warrant Exchange. Significant inputs under the Note and Warrant Exchange included the expected exchange ratio of 0.90 for $15.00 warrants and 0.85 for $25.13 warrants, the value of the Company’s common stock, the expected timing of the Reverse Stock Split effectuating, and the probability of the Note and Warrant Exchange occurring (90% probability).
The Company’s liability classified warrants as of December 31, 2023 and the value of initial warrant liability from the conversion of the ABS Promissory Notes, were valued using a probability weighted expected value considering the Merger Agreement and the previous Black Scholes valuation model, with significant value stemming from the Merger Agreement. Significant inputs under the Merger Agreement valuation included the expected exchange ratio 0.003, the value of SEPA’s Class A Common Stock, the expected timing of the closing of the Merger, and the then-current probability of the Merger closing.
Significant Black Scholes valuation model inputs related to the Company’s warrants are listed below:
December 31, 2024
Weighted average expected life in years0.85
Weighted average volatility91%
Value of underlying shares$2.05
Weighted average risk free interest rate4.10%
Expected dividend yield0%
A summary of the Level 3 warrant activity is as follows:
(in thousands, except per share data) Warrants
Outstanding		Fair Value
per Share		Warrant Liability
Fair Value
Balance December 31, 20222,845$0.50 $1,416 
Issuance of warrants classified as liabilities4124.02 1,655 
Change in fair value-- 11,376 
Balance December 31, 20233,257$4.44 $14,447 
Issuance of warrants classified as liabilities7814.55 3,557 
Exercised(102)6.01 (613)
Converted to equity(3,883)10.50 (40,772)
Change in fair value-- 31,488 
Balance December 31, 202453$152.96 $8,107 
Embedded Conversion Option
Certain convertible notes include a conversion option that meets the definition of a derivative liability and, accordingly, is required to be bifurcated. The fair value for the conversion option liability of the June 2024 transaction was valued using a
probability weighted expected value considering the proposed Reverse Stock Split of the Company's common stock that would effectuate the Note and Warrant Exchange, and the previous Black Scholes valuation model, with significant value stemming from the Note and Warrant Exchange. Significant inputs under the Note and Warrant Exchange included the value of the Company’s common stock, the expected timing of the Reverse Stock Split effectuating, and the probability of the Note and Warrant Exchange occurring (90% probability).
The Company’s liability classified warrants as of December 31, 2023 and the value of initial warrant liability from the conversion of the ABS Promissory Notes, were valued using a probability weighted expected value considering the Merger Agreement and the previous Black Scholes valuation model, with significant value stemming from the Merger Agreement. Significant inputs under the Merger Agreement valuation included the expected exchange ratio 0.003, the value of SEPA’s Class A Common Stock, the expected timing of the closing of the Merger (estimated by February 29, 2024), and the probability of the then-current Merger closing (90% probability).
In October 2024, the Company exchanged all outstanding convertible notes for Common Stock as part of the Note and Warrant Exchange, see Note 11.
A summary of the conversion option liability activity is as follows:
(in thousands)Conversion
Liability
Balance December 31, 2022$2,340 
Issuance of Convertible Notes(519)
Change in fair value(1,728)
Balance December 31, 2023$93 
Issuance of Convertible Notes8 
Settlement of convertible notes (26)
Change in fair value(75)
Balance December 31, 2024$-