v3.26.1
Fair Value of Financial Instruments
3 Months Ended
Mar. 31, 2026
Fair Value of Financial Instruments [Abstract]  
FAIR VALUE OF FINANCIAL INSTRUMENTS

13. FAIR VALUE OF FINANCIAL INSTRUMENTS

 

In connection with the issuance of the 2030 Notes, the Company recognized a derivative liability related to the embedded conversion feature. See Note 12. Debt for further details on the accounting treatment of the 2030 Notes and associated derivative liability.

 

The fair value of the embedded conversion feature at issuance of the 2030 Notes and each reporting period was estimated based on significant inputs not observable in the market, which represent Level 3 measurements within the fair value hierarchy.

 

The fair value of the derivative liability was determined using the Black-Scholes model. The model incorporates the following key inputs and assumptions:

 

  

At

December 31,
2025

  

At

March 31,
2026

 
Maturity date  October 1, 2030   October 1, 2030 
Debt price   89.65    76.58 
Volatility rate   55%   55%
Share price  $1.89   $1.31 
Dividend yield   0%   0%
Stock borrow cost   1%   1%
Credit Spread   10.00%   14.50%

 

The following table provides a roll forward of the aggregate fair values of the derivative liability for the three months ended March 31, 2026 (in thousands):

 

   Embedded Derivative 
Balance as of January 1, 2026  $19,260 
Change in fair value   (9,252)
Balance as of March 31, 2026  $10,008