Fair Value of Measurements

6 Months Ended

Jun. 30, 2025

Fair Value of Measurements

Fair Value of Measurements

4. Fair Value of Measurements

Recurring Fair Value Measurements

The following financial instruments are measured at fair value on a recurring basis (in thousands):

	June 30, 2025
	Level 1		Level 2		Level 3		Total
Liabilities:
Convertible promissory notes	$	—	$	—	$	5,123	$	5,123
Warrant liabilities		—		—		3,111		3,111
Common stock forward liability		—		—		20		20

	December 31, 2024
	Level 1		Level 2		Level 3		Total
Liabilities:
Convertible promissory notes	$	—	$	—	$	4,947	$	4,947
Warrant liabilities		—		—		3,750		3,750
Common stock forward liability		—		—		315		315

Valuation Techniques and Inputs

The table below presents valuation techniques and inputs used in the fair value measurement categorized within Level 3 of the fair value hierarchy (in thousands):

	Valuation techniques	Inputs	June 30, 2025		December 31, 2024
Convertible promissory notes, current	Binomial Lattice Model (“BLM”)	Stock price, volatility, remaining term, risk-free rate, credit spread	$	5,123	$	4,947
Warrant liabilities	Black Scholes Merton Model (“BSM”) or BLM	Exercise price, term to expiration, volatility, risk-free rate		3,111		3,750
Common stock forward liability	Discounted Cash Flow (“DCF”)	Various utilization scenarios, risk-free rate, remaining term		20		315

As of June 30, 2025, the key inputs for the convertible promissory notes measured using the BLM were as follows: stock price of $1.49, implied volatility of 76.30%, remaining term of 0.7 years, risk-free rate of 4.18%, and credit spread of 6.90%.

As of June 30, 2025, the key inputs used to measure the public and private placement warrants using the BLM and BSM were as follows: exercise price of $11.50 per share, term to expiration of 3.7 years, volatility of 76.30%, and a risk-free rate of 3.69%. As of June 30, 2025, the key inputs for the other warrant liabilities using the BSM were as follows: an exercise price of $10.00 per share, or $18.75 per

share, term to expiration ranging from 0.7 years to 1.3 years, volatility ranging from 64.60% to 67.20%, and a risk-free rate ranging from 3.85% to 4.14%.

As of June 30, 2025, the key inputs for the common stock forward valuation using the DCF model were as follows: a remaining term of 0.9 years and future risk-free rate estimates ranging from 4.04% to 4.39% for this period.

The following table sets forth a summary of the changes in the fair value of the convertible promissory notes (in thousands):

As of December 31, 2024	$	4,947
Change in fair value		19
As of March 31, 2025		4,966
Change in fair value		157
As of June 30, 2025	$	5,123

The following table sets forth a summary of the changes in the fair value of the warrant liabilities (in thousands):

As of December 31, 2024	$	3,750
Change in fair value		(1,649	)
As of March 31, 2025		2,101
Change in fair value		1,010
As of June 30, 2025	$	3,111

The following table sets forth a summary of the changes in the fair value of the common stock forward liability (in thousands):

As of December 31, 2024	$	315
Change in fair value		(295	)
As of March 31, 2025		20
Change in fair value		—
As of June 30, 2025	$	20