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

 

The carrying amounts reflected in the condensed consolidated balance sheets for prepaid expenses, accounts payable and accrued expenses and other liabilities are shown at their historical values which approximate their fair values.

 

The following tables present the financial instruments carried at fair value on a recurring basis:

 

    As at March 31, 2026  
    Level 1     Level 2     Level 3     Total  
                         
Assets                        
Cash equivalents   $ 11,009,553     $ -     $ -     $ 11,009,553  
                                 
Liabilities                                
Derivative liability instruments   $ -     $ -     $ 2,767,462     $ 2,767,462  

 

    As at December 31, 2025  
    Level 1     Level 2     Level 3     Total  
                         
Assets                        
Cash equivalents   $ 4,027,862     $ -     $ -     $ 4,027,862  
                                 
Liabilities                                
Derivative liability instrument   $ -     $ -     $ 3,028,401     $ 3,028,401  

 

As at March 31, 2026, derivative liability instrument includes contingent warrant liability and the contingent put option liability under the Share Purchase Agreement (Note 5) as well as contingent conversion option under the Avenue Capital Loan Agreement (Note 7). The fair value of the warrant liability was approximately $2.2 million, the fair value of the contingent put option liability was approximately $0.2 million and fair value of contingent conversion option was approximately $0.4 million as at March 31, 2026.

 

As at December 31, 2025, derivative liability instrument includes contingent warrant liability and the contingent put option liability under the Share Purchase Agreement (Note 5). The fair value of the warrant liability was approximately $2.8 million and the fair value of the contingent put option liability was approximately $0.2 million at December 31, 2025.

 

The following table summarizes the activity related to Level 3 financial liabilities for the three months ended March 31, 2026:

 

    Derivative Liability Instrument  
Fair value at December 31, 2025   $ 3,028,401  
Addition to derivative liability for conversion option under Avenue Capital Loan Agreement     436,622  
Decrease in fair value of derivative liability for conversion option under Avenue Capital Loan Agreement     (347 )
Decrease in fair value of put option liability under Share Purchase Agreement     (53,422 )
Decrease in fair value of warrant derivative liability under Share Purchase Agreement     (643,792 )
Fair value at March 31, 2026   $ 2,767,462  

 

As at March 31, 2026 and December 31, 2025, the warrant liability value for the warrant issued to investor under the Share Purchase Agreement (Note 5) was determined using a Monte Carlo simulation. Inputs used in the Monte Carlo simulation are as below:

 

    As at
March 31, 2026		     As at
December 31,
2025		  
Risk-free interest rate     3.87 %     3.54 %
Dividend yield     -       -  
Term (years)     2.53       2.77  
Annual Volatility     97.6 %     94.4 %
Closing stock price   $ 3.20       3.94  

 

As at March 31, 2026 and December 31, 2025, the put contract derivative liability was remeasured using a Black-Scholes option valuation model, followed by a series of contractual adjustments. Inputs used in Black-Scholes model were as follows:

 

    As at
March 31, 2026		     As at
December 31,
2025		  
Risk-free interest rate     3.87 %     3.61 %
Dividend yield     -       -  
Term (years)     2.53       2.77  
Annual Volatility     97.6 %     87.7 %
Closing stock price   $ 3.20       3.94  

 

As at March 23, 2026 and March 31, 2026, the conversion derivative liability value for the conversion option under the Avenue Capital Loan Agreement (Note 7) was determined using a Monte Carlo simulation. Inputs used in the Monte Carlo simulation are as below:

 

    As at
March 23, 2026		     As at
March 31,
2026		  
Risk-free interest rate     3.90 %     3.87 %
Dividend yield     -       -  
Term (years)     3.50       3.50  
Annual Volatility     88.8 %     88.5 %
Closing stock price   $ 3.42       3.20