FAIR VALUE MEASUREMENTS.
The Company applies the guidance in ASC 820 to account for financial assets and liabilities measured on a recurring basis. Fair value is measured as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. As such, fair value is a market-based measurement that is determined based on assumptions that market participants would use in pricing an asset or liability.
The Company uses a fair value hierarchy, which distinguishes between assumptions based on market data (observable inputs) and an entity's own assumptions (unobservable inputs). The guidance requires that fair value measurements be classified and disclosed in one of the following 3 categories:
Level 1: Unadjusted quoted prices in active markets that are accessible at the measurement date for identical, unrestricted assets or liabilities.
Level 2: Quoted prices in markets that are not active, or inputs which are observable, either directly or indirectly, for substantially the full term of the asset or liabilities.
Level 3: Prices or valuation techniques that require inputs that are both significant to the fair value measurement and unobservable (i.e., supported by little or no market activity).
Determining which category an asset or liability falls within the hierarchy requires significant judgment. The Company evaluates its hierarchy disclosures each reporting period. There were no transfers between Level 1, 2 and 3 during the year ended December 31, 2024 and 2023.
The following table presents, for each of the fair value hierarchy levels required under ASC 820, the Company’s liabilities that are measured at fair value on a recurring basis as of December 31, 2024:
| | | | | | | | | | | | | | | | | | | | |
| | Quoted Prices in Active Markets (Level 1) | | Significant Other Observable Inputs (Level 2) | | Significant Other Unobservable Inputs (Level 3) |
| | | | | | |
| | | | | | |
| Liabilities: | | | | | | |
| Warrant liability | | $ | — | | | $ | — | | | $ | — | |
The following table presents, for each of the fair value hierarchy levels required under ASC 820, the Company’s liabilities that are measured at fair value on a recurring basis as of December 31, 2023:
| | | | | | | | | | | | | | | | | | | | |
| | Quoted Prices in Active Markets (Level 1) | | Significant Other Observable Inputs (Level 2) | | Significant Other Unobservable Inputs (Level 3) |
| | | | | | |
| | | | | | |
| Liabilities: | | | | | | |
| Warrant liability | | $ | — | | | $ | — | | | $ | 3 | |
The following table presents the changes is the fair value of the Level 3 liability:
| | | | | |
| Warrant Liability |
| Fair value as of December 31, 2023 | $ | 3 |
| Change in valuation | (3) |
| Balance as of December 31, 2024 | $ | — |
The Black-Scholes valuation model was used to estimate the fair value of the warrants with the following assumptions:
| | | | | | | | |
| | |
| | December 31, 2024 |
| Volatility | | 166.0 % |
| Expected term in years | | 2.5 |
| Dividend rate | | 0.0 % |
| Risk-free interest rate | | 4.26 % |