v3.26.1
Note 9 - Financial Instruments Fair Value Measurements
 3 Months Ended
Mar. 31, 2026
Notes to Financial Statements  
Fair Value Disclosures [Text Block]

Note 9 — Financial Instruments Fair Value Measurements

 

Recurring Fair Value Measurements

 

The fair value hierarchy table for the reporting date noted is as follows:

 

 

 

Fair Value Measurement on a Recurring Basis at Reporting Date Using1

 

 

 

Level-1 Inputs

 

 

Level-2 Inputs

 

 

Level-3 Inputs

 

 

Total

 

March 31, 2026

 

 

 

​

 

 

 

​

 

 

 

​

 

 

 

​

2024 Convertible Notes

 

$

—

 

 

$

—

 

 

$

25,200

 

 

$

25,200

 

Totals

 

$

—

 

 

$

—

 

 

$

25,200

 

 

$

25,200

 

 

 

 

Level-1 Inputs

 

 

Level-2 Inputs

 

 

Level-3 Inputs

 

 

Total

 

December 31, 2025

 

 

 

​

 

 

 

​

 

 

 

​

 

 

 

​

2024 Convertible Notes

 

$

—

 

 

$

—

 

 

$

24,000

 

 

$

24,000

 

Totals

 

$

—

 

 

$

—

 

 

$

24,000

 

 

$

24,000

 

 

1

There were no transfers between the respective Levels during the three months ended March 31, 2026.

 

 

As discussed in Note 10, Debt, the Company issued Senior Secured Convertible Notes dated November 22, 2024 with a $21.975 million face value principal (“2024 Convertible Notes”). The convertible notes are accounted for under the fair value option (“FVO”) election, wherein, the financial instruments are initially measured at their issue date estimated fair value and subsequently remeasured at estimated fair value on a recurring basis at each reporting period date.

 

The estimated fair value of the financial instruments classified within the Level 3 category was determined using both observable inputs and unobservable inputs. Unrealized gains and losses associated with liabilities within the Level 3 category include changes in fair value attributable to both observable (e.g., changes in market interest rates) and unobservable (e.g., changes in unobservable long- dated volatilities) inputs.

 

The estimated fair value of the 2024 Convertible Notes as of each  March 31, 2026 and  December 31, 2025 was computed using a Monte Carlo simulation of the present value of its cash flows using a synthetic credit rating analysis and a required rate-of-return, using the following assumptions:

 

 

 

2024 Convertible Notes:

 

 

2024 Convertible Notes:

 

 

 

March 31, 2026

 

 

December 31, 2025

 

Fair Value

 

$

25,200

 

 

$

24,000

 

Face value principal payable

 

$

21,975

 

 

$

21,975

 

Required rate of return

 

 

30.70

%

 

 

29.50

%

Conversion Price

 

$

1.00

 

 

$

1.00

 

Value of common stock

 

$

1.15

 

 

$

1.09

 

Expected term (years)

 

 

3.65

 

 

 

3.90

 

Volatility

 

 

40.00

%

 

 

40.00

%

Risk free rate

 

 

3.77

%

 

 

3.57

%

Dividend yield

 

 

—

%

 

 

—

%

 

The estimated fair values reported utilized the Company’s common stock price along with certain Level 3 inputs (as discussed in the table above), in the development of Monte Carlo simulation models, discounted cash flow analyses, and/or Black-Scholes valuation models. The estimated fair values are subjective and are affected by changes in inputs to the valuation models and analyses, including the Company’s common stock price, the Company’s dividend yield, the risk-free rates based on U.S. Treasury security yields, and certain other Level-3 inputs including, assumptions regarding the estimated volatility in the value of the Company’s common stock price and the volatility of similar entities within the medical device industry. Changes in these assumptions can materially affect the estimated fair values.