v3.26.1
Note 7 - Fair Value Measurements
3 Months Ended
Mar. 31, 2026
Notes to Financial Statements  
Fair Value Disclosures [Text Block]

7. Fair Value Measurements

 

The Company measures Bitcoin and derivative liabilities at fair value in accordance with ASC 820. For directly held Bitcoin, management identified the market in which the Company transacts through Blockchain.com as the principal market for the Company’s Bitcoin treasury transactions. Because Bitcoin trades continuously and does not have a single exchange closing time, the Company measures its period-end Bitcoin position using the BTC-USD spot price observed from that principal market at 23:59:59 UTC on the reporting date. For March 31, 2026, the spot price used was $68,233.31 per BTC. Bitcoin is classified as Level 1 because the valuation uses an observable quoted price in an active market. Written covered-call derivative liabilities and embedded conversion derivative liabilities are classified as Level 3 because valuation includes significant unobservable inputs. The Company had no assets or liabilities measured at fair value on a recurring basis at December 31, 2025. The fair value hierarchy and Level 3 rollforward below present the same March 31, 2026 embedded conversion derivative liability balance as the balance sheet caption for derivative liabilities — embedded conversion features and the convertible debt table in Note 8. (Convertible Notes, Embedded Derivatives and Pre-Funded Warrants).

 

Fair value hierarchy by instrument (USD in thousands)

 

March 31, 2026 total fair value

   

Level 1

   

Level 2

   

Level 3

 

Bitcoin digital assets

    4,709       4,709              

Embedded conversion derivative liability

    3,708                   3,708  

Written covered Bitcoin call derivative liability

    21                   21  

 

Level 3 derivative liability rollforward (USD in thousands)

 

Embedded conversion derivative liability

   

Written covered Bitcoin call derivative liability

 

Beginning balance, January 1, 2026

           

Initial recognition / issuances

    5,383       35  

Change in fair value recognized in earnings, net

    (1,675 )     21  

Settlements / expirations / conversions

          (35 )

Transfers into or out of Level 3

           

Ending balance, March 31, 2026

    3,708       21  

 

The debt-host allocation / day-one noncash issuance-date adjustment represents the noncash issuance-date allocation effect recognized in connection with bifurcating the embedded conversion derivative liabilities from the convertible-debt host.

 

Instrument

Fair value hierarchy

Valuation technique / significant inputs

Bitcoin

Level 1

BTC-USD spot price observed from the market in which the Company transacts through Blockchain.com at 23:59:59 UTC on March 31, 2026; spot price used was $68,233.31 per BTC.

Written covered Bitcoin call options

Level 3

Open April 3, 2026 written call; liability equals 0.31053491 BTC x $68,233.31, rounded to $21 thousand. Remaining term at 3/31/26 was three days.

Embedded conversion derivative liabilities

Level 3

Monte Carlo simulation for convertible-debenture embedded conversion features using SSM stock price $6.33, expected volatility 110.0%, risk-free rate 4.25%, expected term 0.85 years, conversion/floor terms and probability-weighted settlement assumptions.