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

3. Fair Value Measurements

Liabilities measured at fair value on a recurring basis consist of the following as of March 31, 2026:

 

 

 

Quoted

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Prices in

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Active

 

 

Significant

 

 

 

 

 

 

 

 

 

 

 

Markets for

 

 

Other

 

 

Significant

 

 

 

 

 

 

 

Identical

 

 

Observable

 

 

Unobservable

 

 

 

 

 

 

 

Assets

 

 

Inputs

 

 

Inputs

 

 

 

 

 

 

Level 1

 

 

Level 2

 

 

Level 3

 

 

Total

 

Financial liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

Series A warrants to purchase common stock

 

$

 

—

 

 

$

 

—

 

 

$

 

20,560

 

 

$

 

20,560

 

Series C warrants to purchase common stock

 

 

 

—

 

 

 

 

—

 

 

 

 

5,700

 

 

 

 

5,700

 

Total financial liabilities at March 31, 2026

 

$

 

—

 

 

$

 

—

 

 

$

 

26,260

 

 

$

 

26,260

 

 

Liabilities measured at fair value on a recurring basis consist of the following as of December 31, 2025:

 

 

 

Quoted

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Prices in

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Active

 

 

Significant

 

 

 

 

 

 

 

 

 

 

 

Markets for

 

 

Other

 

 

Significant

 

 

 

 

 

 

Identical

 

 

Observable

 

 

Unobservable

 

 

 

 

 

 

Assets

 

 

Inputs

 

 

Inputs

 

 

 

 

 

 

Level 1

 

 

Level 2

 

 

Level 3

 

 

Total

 

Financial liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

Series A warrants to purchase common stock

 

$

 

—

 

 

$

 

—

 

 

$

 

23,100

 

 

$

 

23,100

 

Series C warrants to purchase common stock

 

 

 

—

 

 

 

 

—

 

 

 

 

6,460

 

 

 

 

6,460

 

Total financial liabilities at December 31, 2025

 

$

 

—

 

 

$

 

—

 

 

$

 

29,560

 

 

$

 

29,560

 

 

The fair value of the common stock warrant liabilities, which are described in more detail in Note 8, are calculated utilizing a Black-Scholes option pricing model for the Series A warrants and a Monte Carlo simulation model for the Series C warrants. The Black-Scholes option pricing model and the Monte Carlo simulation model both require the use of assumptions, certain of which are not observable in the market, which represent Level 3 measurements within the fair value hierarchy. The Black-Scholes pricing model and the Monte Carlo simulation model assumptions include the warrant exercise price, the expected term of the warrant, the current price of the Company’s common stock, expected volatility, the risk-free interest rate for the expected term of the warrant and expected dividend yield. The Monte Carlo simulation assumptions also include the potential impacts of the warrant strike price reset features.

The following assumptions were used in determining the fair value of the Company’s common stock warrant liabilities as of March 31, 2026 and December 31, 2025:

 

 

March 31,

 

December 31,

 

2026

 

2025

Closing price of common stock

$

 

8.41

 

 

 

$

 

8.96

 

 

Warrant exercise price

$

 

10.50

 

 

 

$

 

10.50

 

 

Expected volatility

 

 

70

 

%

 

 

 

70

 

%

Risk free interest rate

 

 

3.79

 

%

 

 

 

3.62

 

%

Expected dividend yield

 

 

—

 

 

 

 

 

—

 

 

Expected term (in years)

 

0.67 - 4.18

 

 

 

 

0.92 - 4.43

 

 

 

The following table summarizes the changes in the fair market value of the Company’s common stock warrant liabilities, which are classified within the Level 3 fair value hierarchy:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total level 3

 

 

 

 

 

 

 

 

 

financial

 

 

 

Series A

 

 

Series C

 

 

liabilities

 

Balance at December 31, 2025

 

$

 

23,100

 

 

$

 

6,460

 

 

$

 

29,560

 

Change in fair value of common stock warrant liabilities

 

 

 

(2,540

)

 

 

 

(760

)

 

 

 

(3,300

)

Balance at March 31, 2026

 

$

 

20,560

 

 

$

 

5,700

 

 

$

 

26,260