v3.26.1
Fair Value Measurements
 3 Months Ended
Mar. 31, 2026
Fair Value Measurements [Abstract]  
Fair Value Measurements

3. Fair Value Measurements 

 

The following tables provide information related to the Company’s assets and liabilities measured at fair value on a recurring basis as of March 31, 2026 and December 31, 2025:

 

   March 31, 2026 
   Level 1   Level 2   Level 3   Total 
Liabilities:                
Forward purchase agreement warrant liability  $
-
   $
-
   $37   $37 
Private warrant liability   
-
    3,830    
-
    3,830 
Publicly traded warrant liability   941    
-
    
-
    941 
   $941   $3,830   $37   $4,808 

 

   December 31, 2025 
   Level 1   Level 2   Level 3   Total 
Liabilities:                
Forward purchase agreement warrant liability  $
-
   $
-
   $24   $24 
Private warrant liability   
-
    5,835    
-
    5,835 
Publicly traded warrant liability   551    
-
    
-
    551 
   $551   $5,835   $24   $6,410 

 

The Company has classified the publicly traded warrant liability within Level 1 of the hierarchy as the warrant is separately listed and traded in an active market. The publicly traded warrant’s listed price in an active market was used as the fair value.

The private warrant liability includes the September 2025 Investor Warrants and October 2025 Investor Warrants (both as defined in Note 9), with fair values of $1,483 and $2,347, respectively, as of March 31, 2026 and with fair values of $2,255 and $3,580, respectively, as of December 31, 2025. These fair values were estimated using Black-Scholes option models and based upon observable inputs such as the risk-free rate and the Company’s volatility which are considered Level 2 inputs. The following table presents the quantitative information regarding the Level 2 fair value measurements of the private warrant liability as of March 31, 2026 and December 31, 2025:

 

   March 31,
2026		  December 31,
2025
Stock price  $0.67  $0.66
Exercise price  $1.31 - $1.33  $1.31 - $1.33
Expected volatility  111.0% - 113.3%  147.0% -149.0%
Expected term (in years)  1.7 - 1.8  1.9 - 2.0
Risk-free rate  3.75% - 3.76%  3.50%

 

The fair value of the forward purchase agreement warrant liability is a Level 3 fair value measurement and was estimated using Monte Carlo simulation models. The use of significant unobservable inputs could result in those inputs being different at the reporting dates, which could result in a significantly higher or lower fair value measurement at the reporting dates. The following table presents the quantitative information regarding Level 3 fair value measurements of the forward purchase agreement warrant liability as of March 31, 2026 and December 31, 2025:

 

   March 31,
2026		   December 31,
2025		 
Stock price  $0.67   $0.66 
Initial exercise price  $10.46   $10.46 
Annual volatility   146.0%   115.0%
Remaining term (in years)   0.8    1.0 
Risk-free rate   3.63%   3.42%

 

The following tables summarize the activity for the Company’s Level 3 instrument measured at fair value on a recurring basis:

 

   Forward Purchase
Agreement Warrant
Liability		 
Balance as of December 31, 2025  $24 
Change in fair value   13 
Balance as of March 31, 2026  $37 

 

There were no transfers between Level 1 and Level 2, nor into and out of Level 3, during the periods presented.