Quarterly report [Sections 13 or 15(d)]

Warrant Liability (Tables)

v3.25.2
Warrant Liability (Tables)
 6 Months Ended
Jun. 30, 2025
Warrant Liability [Abstract]  
Schedule of Valuation Inputs into the Black Scholes Model for the Liability The tables below summarize the valuation inputs into the Black Scholes model for the liability associated with the three tranches of Warrants at December 31, 2024 and June 30, 2025.
Tranche A Warrant   At
December 31,
2024		     At
June 30,
2025		  
Fair value of underlying stock   $ 7.90     $ 4.77  
Exercise price   $ 5.39     $ 5.39  
Volatility     105.4% – 111.3 %     117.8% – 127.4 %
Risk free rate     4.2 %     3.9% – 4.3 %
Dividend yield     0 %     0 %
Term (in years)     0.5 – 1.5       0.5 – 1.5  
Discount for lack of marketability     7.5 %     7.5 %
Probability for FDA approval     38.48% - 39.29 %     38.88% - 40.10 %

 

Tranche B Warrant   At
December 31,
2024		     At
June 30,
2025		  
Fair value of underlying stock   $ 7.90     $ 4.77  
Exercise price   $ 5.93     $ 5.93  
Volatility     105.4% - 125.2 %     112.9% - 120.4 %
Risk free rate     4.2 %     3.8% - 4.0 %
Dividend yield     0 %     0 %
Term (in years)     1.0 - 2.0       1.0 - 2.0  
Discount for lack of marketability     7.5 %     7.5 %
Probability for FDA approval     30 %     30.0 %
Tranche C Warrant   At
December 31,
2024		     At
June 30,
2025		  
Fair value of underlying stock   $ 7.90     $ 4.77  
Exercise price   $ 7.41     $ 7.41  
Volatility     105.4% - 125.2 %     112.9% - 127.2 %
Risk free rate     4.2 %     3.7% - 3.9 %
Dividend yield     0 %     0 %
Term (in years)     1.5 – 2.5       1.5 – 2.5  
Discount for lack of marketability     7.5 %     7.5 %
Probability for FDA approval     0.01% - 27.46 %     15% - 70 %
Schedule of Preferred Stock Warrants

The following table summarizes activity, on an as-converted to common shares basis, for the Company’s preferred stock warrants for the six months ended June 30, 2025:

 

                Weighted-        
    Number of           Average        
    Shares     Weighted-     Remaining     Aggregate  
    Underlying     Average     Contractual     Intrinsic  
    Outstanding     Exercise     Term     Value  
    Warrants     Price     (in Years)     (in thousands)  
Outstanding, December 31, 2024     16,095,817     $ 6.40       2.12     $
         
  
Warrants contingently issuable    
-
      
-
      
-
      
-
  
Warrants exercised     (277,000 )    
-
      
-
      
-
  
Outstanding, June 30, 2025     15,818,817     $ 6.42       1.63     $