Annual report [Section 13 and 15(d), not S-K Item 405]

DERIVATIVE LIABILITIES (Tables)

v3.25.0.1
DERIVATIVE LIABILITIES (Tables)
 12 Months Ended
Dec. 31, 2024
Derivative Instruments and Hedging Activities Disclosure [Abstract]  
Schedule of Derivative Liabilities at Fair Value
The following table summarizes the change in the Company’s derivative liabilities:
Total Derivative Liabilities (1)
Balance as of January 1, 2023 $ 14,134 
Fair value changes
 (9,589)
Reclassification to equity
 (2,050)
Down-round changes
 143 
Balance as of December 31, 2023
 2,638 
Derivative Warrants issued (2)
6,765 
Fair value changes
 (6,119)
Expiration of derivative warrants
 (156)
Balance as of December 31, 2024 $ 3,128 
(1)Refer to Note 14 - Equity for the change in number of warrants outstanding.
(2)Represents the fair value of 19,400,000 derivative warrants issued in connection with the Term Loans in July 2024. Refer to Note 10 - Debt for more information.
Schedule of Fair Value Measurement Inputs and Valuation Techniques
The assumptions used in the fair value calculations as of the balance sheet dates presented include the following:
As of December 31,
July 2024 (new issuances)
 2024 2023
Stock price per share $0.57 $0.31 $0.46
Risk-free annual interest rate 3.97%
4.24% - 4.35%
4.01% - 4.79%
Exercise price $1.00
$1.00 - $2.086
$1.00 - $2.086
Weighted average volatility 88% 93% 101%
Remaining life 5 years
2 - 4.6 years
1 - 2.9 years
Forfeiture rate 0% 0% 0%
Expected annual dividend yield 0% 0% 0%
For example, the following table illustrates an increase or decrease in certain significant assumptions as of the balance sheet dates:
As of December 31, 2024
As of December 31, 2023
Input Effect of 10% Increase Effect of 10% Decrease Input Effect of 10% Increase Effect of 10% Decrease
Stock price per share $ 0.31 $ 440  $ (427) $ 0.46 $ 637  $ (574)
Volatility 93  % $ 438  $ (465) 101  % $ 680  $ (643)