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

6. Fair Value Measurements

As of March 31, 2026, and December 31, 2025, the Company held cash equivalents of $11.8 million and $6.6 million, respectively, in a money market account.

The following tables summarize the Company’s financial assets and liabilities, measured at fair value on a recurring basis by level within the fair value hierarchy (in thousands):

 

 

Fair Value Measurements at March 31, 2026 using:

 

 

Level 1

 

 

Level 2

 

 

Level 3

 

 

Total

 

Cash equivalents:

 

 

 

 

 

 

 

 

 

 

 

 

Money market funds

 

$

11,754

 

 

$

-

 

 

$

-

 

 

$

11,754

 

Total cash equivalents

 

$

11,754

 

 

$

-

 

 

$

-

 

 

$

11,754

 

Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

Common stock warrant liability

 

$

-

 

 

$

-

 

 

$

701

 

 

$

701

 

Total liabilities

 

$

-

 

 

$

-

 

 

$

701

 

 

$

701

 

 

 

Fair Value Measurements at December 31, 2025 using:

 

 

Level 1

 

 

Level 2

 

 

Level 3

 

 

Total

 

Cash equivalents:

 

 

 

 

 

 

 

 

 

 

 

 

Money market funds

 

$

6,640

 

 

$

-

 

 

$

-

 

 

$

6,640

 

Total cash equivalents

 

$

6,640

 

 

$

-

 

 

$

-

 

 

$

6,640

 

Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

Common stock warrant liability

 

$

-

 

 

$

-

 

 

$

604

 

 

$

604

 

Total liabilities

 

$

-

 

 

$

-

 

 

$

604

 

 

$

604

 

 

There were no transfers between Level 1, Level 2 or Level 3 during the periods presented. The Company had no other financial assets or liabilities that were required to be measured at fair value on a recurring basis.

Common Stock Warrants Liability, Changes on Level 3 Liabilities Measured at Fair Value on a Recurring Basis

The following table reflects the change in the Company’s Level 3 common stock warrant liability for the three months ended March 31, 2026 (in thousands):

 

Fair value as of December 31, 2025

 

$

604

 

Change in fair value

 

 

97

 

Fair value as of March 31, 2026

 

$

701

 

 

The Company remeasures the fair value of its common stock warrant liability at each reporting date. The fair value of the common stock warrants was determined using a probability weighted scenario method with a Monte Carlo simulation and Black-Scholes model. The scenario-based method estimates the fair value of the Company’s common stock warrants by considering various outcomes as assessed by the Company. Quantitative elements associated with the inputs impacting the fair value measurement of the common stock warrants include the underlying fair value of common stock, timing of the expected scenarios, risk-free rate, and volatility of the Company’s shares. The risk-free rate is determined by reference to the U.S. Treasury yield curve for the respective time periods based on the remaining contractual term of the warrants. The volatility is based on the historical volatility of the Company’s stock. The Monte Carlo simulation projects the Company’s volume weighted average stock price based on the various fundamental transaction scenarios considered and utilizes a Black-Scholes model to value the warrants within these scenarios.

The following table details the assumptions used in the Monte Carlo simulation to estimate the fair value of the common stock warrant liability:

 

 

March 31, 2026

 

 

December 31, 2025

 

Stock price

 

$

1.01

 

 

$

0.84

 

Expected volatility

 

100.0% - 105.0%

 

 

102.0% - 122.0%

 

Expected term (years)

 

0.00 - 2.51

 

 

0.00 - 2.76

 

Risk-free interest rate

 

3.70% - 3.80%

 

 

3.53% - 3.67%

 

Dividend rate

 

- %

 

 

- %

 

 

There were no transfers between Level 1, Level 2 or Level 3 during the periods presented. The Company had no other financial assets or liabilities that were required to be measured at fair value on a recurring basis.