Fair Value Measurements and Disclosures (Tables)
|
9 Months Ended |
Sep. 30, 2025 |
|---|
| Schedule of Fair Value on a Recurring Basis |
The following table presents the Company’s financial assets and liabilities accounted for at fair value on a recurring basis as of September 30, 2025 by level within the fair value hierarchy:
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Level 1 |
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Level 2 |
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Level 3 |
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Total |
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Assets: |
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|
|
|
|
|
|
|
|
Cash equivalents |
|
$ |
6,552 |
|
|
$ |
- |
|
|
$ |
- |
|
|
$ |
6,552 |
|
Short-term investments |
|
|
- |
|
|
|
4,511 |
|
|
|
- |
|
|
|
4,511 |
|
Liabilities: |
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|
|
|
|
|
|
|
|
|
|
|
Public warrants |
|
$ |
553 |
|
|
$ |
- |
|
|
$ |
- |
|
|
$ |
553 |
|
Private placement warrants |
|
|
- |
|
|
|
462 |
|
|
|
- |
|
|
|
462 |
|
2025 GPO Note |
|
|
- |
|
|
|
- |
|
|
|
19,223 |
|
|
|
19,223 |
|
Dragonfly Seller Convertible Notes |
|
|
- |
|
|
|
- |
|
|
|
11,752 |
|
|
|
11,752 |
|
Convertible Debentures |
|
|
- |
|
|
|
- |
|
|
|
29,753 |
|
|
|
29,753 |
|
The following table presents the Company’s financial assets and liabilities accounted for at fair value on a recurring basis as of December 31, 2024 by level within the fair value hierarchy:
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Level 1 |
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Level 2 |
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|
Level 3 |
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Total |
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Assets: |
|
|
|
|
|
|
|
|
|
|
|
|
Cash equivalents |
|
$ |
4,836 |
|
|
$ |
- |
|
|
$ |
- |
|
|
$ |
4,836 |
|
Short-term investments |
|
|
- |
|
|
|
5,796 |
|
|
|
- |
|
|
|
5,796 |
|
Liabilities: |
|
|
|
|
|
|
|
|
|
|
|
|
Public warrants |
|
$ |
1,338 |
|
|
$ |
- |
|
|
$ |
- |
|
|
$ |
1,338 |
|
Private placement warrants |
|
|
- |
|
|
|
1,120 |
|
|
|
- |
|
|
|
1,120 |
|
Prior GPO Convertible Note |
|
|
- |
|
|
|
- |
|
|
|
36,524 |
|
|
|
36,524 |
|
Dragonfly Seller Convertible Notes |
|
|
- |
|
|
|
- |
|
|
|
8,979 |
|
|
|
8,979 |
|
|
| Summary of Changes in Fair Value of Level 3 Liabilities |
The following table summarizes changes in fair value of the Company’s level 3 liabilities during the periods presented:
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|
GPO Convertible Note |
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|
Dragonfly Seller Convertible Notes |
|
|
Era Convertible Note |
|
|
2025 GPO Note |
|
|
Convertible Debentures |
|
Balance at December 31, 2024 |
|
$ |
36,524 |
|
|
$ |
8,979 |
|
|
$ |
- |
|
|
$ |
- |
|
|
$ |
- |
|
Fair value at issuance date |
|
|
- |
|
|
|
- |
|
|
|
4,728 |
|
|
|
18,865 |
|
|
|
29,970 |
|
Change in fair value included in the determination of net (income) loss |
|
|
5,320 |
|
|
|
770 |
|
|
|
481 |
|
|
|
358 |
|
|
|
1,403 |
|
Change in fair value included in accumulated other comprehensive income |
|
|
- |
|
|
|
1,113 |
|
|
|
- |
|
|
|
- |
|
|
|
- |
|
Paid in kind interest |
|
|
1,902 |
|
|
|
802 |
|
|
|
- |
|
|
|
- |
|
|
|
- |
|
Note and interest conversion |
|
|
(1,902 |
) |
|
|
(702 |
) |
|
|
- |
|
|
|
- |
|
|
|
(1,620 |
) |
Note extinguishment |
|
|
(41,844 |
) |
|
|
- |
|
|
|
- |
|
|
|
- |
|
|
|
- |
|
Note settlement |
|
|
- |
|
|
|
- |
|
|
|
(5,209 |
) |
|
|
- |
|
|
|
- |
|
Foreign exchange |
|
|
- |
|
|
|
790 |
|
|
|
- |
|
|
|
- |
|
|
|
- |
|
Balance at September 30, 2025 |
|
$ |
- |
|
|
$ |
11,752 |
|
|
$ |
- |
|
|
$ |
19,223 |
|
|
$ |
29,753 |
|
|
| GPO Convertible Note |
|
| Summary of Inputs and Assumptions |
The non-cash loss of $358 for the 2025 GPO Note was recorded in the change of in the fair value of financial instruments in the condensed consolidated statement of operations for the three and nine months ended September 30, 2025, respectively. The following table presents the assumptions used to determine the fair value of the 2025 GPO Note and the Prior GPO Convertible Note at September 30, 2025 and at December 31, 2024:
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|
|
|
|
|
|
|
|
2025 GPO Note |
|
|
2025 GPO Note |
|
|
Prior GPO Convertible Note |
|
|
Prior GPO Convertible Note |
|
|
|
September 30, 2025 |
|
|
August 12, 2025 |
|
|
August 12, 2025 |
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|
December 31, 2024 |
|
Common stock share price |
|
$ |
4.63 |
|
|
$ |
6.67 |
|
|
$ |
6.67 |
|
|
$ |
12.84 |
|
Risk free rate |
|
|
3.7 |
% |
|
|
3.8 |
% |
|
|
3.7 |
% |
|
|
4.3 |
% |
Yield |
|
|
14.9 |
% |
|
|
15.5 |
% |
|
|
15.1 |
% |
|
|
18.0 |
% |
Expected volatility |
|
|
50.0 |
% |
|
|
50.0 |
% |
|
|
50.0 |
% |
|
|
50.0 |
% |
Expected term (years) |
|
|
4.1 |
|
|
|
4.3 |
|
|
|
2.9 |
|
|
|
3.5 |
|
|
| Dragonfly Seller Convertible Notes |
|
| Summary of Inputs and Assumptions |
The following table presents the assumptions used to determine the fair value of the Dragonfly Seller Convertible Notes at September 30, 2025 and December 31, 2024:
|
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|
|
|
|
|
|
|
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|
September 30, 2025 |
|
|
December 31, 2024 |
|
Common stock share price |
|
$ |
4.63 |
|
|
$ |
12.84 |
|
Risk free rate |
|
|
3.6 |
% |
|
|
4.3 |
% |
Yield |
|
|
15.4 |
% |
|
|
19.5 |
% |
Expected volatility |
|
|
50.0 |
% |
|
|
50.0 |
% |
Expected term (years) |
|
|
2.3 |
|
|
|
3.1 |
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|
| Convertible Debentures |
|
| Summary of Inputs and Assumptions |
The following table presents the assumptions used to determine the fair value of the Convertible Debentures at September 30, 2025, September 11, 2025 and August 12, 2025:
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|
September 30, 2025 |
|
|
September 11, 2025 |
|
|
August 12, 2025 |
|
Common stock share price |
|
$ |
4.63 |
|
|
$ |
5.10 |
|
|
$ |
6.67 |
|
Risk free rate |
|
3.65% and 3.64%(a) |
|
|
|
3.6 |
% |
|
|
3.8 |
% |
Yield |
|
|
95.0 |
% |
|
|
96.0 |
% |
|
|
98.0 |
% |
Expected volatility |
|
|
97.0 |
% |
|
|
99.0 |
% |
|
|
101.0 |
% |
Expected term (years) |
|
1.4 and 1.5 (a) |
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|
1.5 |
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|
1.5 |
|
(a) - Includes both the First and Second YA Debenture
|