Investments, at Fair Value (Tables)
|
3 Months Ended |
Mar. 31, 2026 |
|---|
| Investments, at Fair Value [Abstract] |
|
| Schedule of Assumptions and Estimates Valuation |
The following table summarizes the assumptions
and estimates used to value the Tranche B Note as of March 31, 2026:
| Parameters and Assumptions | |
| |
| Share Price | |
$ | 6.66 | |
| Conversion Rate | |
| 36.40 | |
| Floor Rate | |
| 36.40 | |
| Expected Term | |
| 0.52 | |
| Volatility | |
| 66.71 | % |
| Risk Free Rate | |
| 3.64 | % |
| Yield | |
| 72.98 | % |
The following table summarizes the assumptions
and estimates used to value the Note B Warrants as of March 31, 2026:
| Parameters and Assumptions | |
| |
| Share Price | |
$ | 6.66 | |
| Exercise Price | |
$ | 20 – 36.4 | |
| Expected Term | |
| 3.53 – 3.71 | |
| Volatility | |
| 66.77 – 67.59 | % |
| Risk Free Rate | |
| 3.81 – 3.82 | % |
| Dividend Rate | |
| 0 | % |
|
| Schedule of Fair Value Composition |
The table below represents the fair
value composition of the Tranche B Note:
| | |
March 31, 2026 | | |
December 31, 2025 | |
| | |
Short term | | |
Long term | | |
Total | | |
Short term | | |
Long term | | |
Total | |
| Tranche Note B | |
$ | 9,724 | | |
$ | - | | |
$ | 9,724 | | |
$ | 11,473 | | |
$ | - | | |
$ | 11,473 | |
| Warrant | |
$ | - | | |
$ | 254 | | |
$ | 254 | | |
$ | - | | |
$ | 850 | | |
$ | 850 | |
| Royalty Purchase Agreement | |
$ | 1,146 | | |
$ | 1,079 | | |
$ | 2,225 | | |
$ | 1,072 | | |
$ | 1,137 | | |
$ | 2,209 | |
| Total | |
$ | 10,870 | | |
$ | 1,333 | | |
$ | 12,203 | | |
$ | 12,545 | | |
$ | 1,987 | | |
$ | 14,532 | |
|
| Schedule of Refinancing Transaction |
The table below represents the fair value cycle of 2023 Scilex Transaction
and 2024 Refinancing throughout December 31, 2025 and March 31, 2026:
| | |
Tranche A | | |
Tranche B | | |
Total | |
| Balance as of December 31, 2024 | |
$ | 16,486 | | |
$ | 18,322 | | |
$ | 34,808 | |
| Amounts receivable from the royalty agreement (*) | |
| - | | |
| (1,640 | ) | |
| (1,640 | ) |
| Principal payments | |
| - | | |
| (9,875 | ) | |
| (9,875 | ) |
| Proceeds from the sale of Subsequent Penny Warrants | |
| (28,500 | ) | |
| - | | |
| (28,500 | ) |
| Interest payments | |
| - | | |
| (1,845 | ) | |
| (1,845 | ) |
| Change in fair value | |
| 35,077 | | |
| 9,570 | | |
| 44,647 | |
| Balance as of December 31, 2025 | |
| 23,063 | | |
| 14,532 | | |
| 37,595 | |
| Amounts receivable from the royalty agreement (*) | |
| - | | |
| (398 | ) | |
| (397 | ) |
| Principal payments | |
| - | | |
| (3,125 | ) | |
| (3,125 | ) |
| Interest payments | |
| - | | |
| (271 | ) | |
| (271 | ) |
| Change in fair value | |
| 2,151 | | |
| 1,465 | | |
| 3,616 | |
| Balance as of March 31, 2026 | |
$ | 25,214 | | |
$ | 12,203 | | |
$ | 37,417 | |
| (*) | As of March 31, 2026 and December 31, 2025, out of these amounts $450 and $449 are included under prepaid expenses and other current assets, respectively. |
|
| Schedule of Fair Value Breakdown |
The table below presents the fair value
breakdown as of March 31, 2026:
| | |
Tranche A Note | | |
Tranche B Note | | |
Total | |
| | |
Amount | | |
Accrued
Interest | | |
Fair
Value | | |
Amount | | |
Accrued
Interest | | |
Fair
Value | | |
Fair
Value | |
| Notes | |
$ | 7,675 | | |
$ | 17,937 | | |
$ | 25,214 | | |
$ | 12,000 | | |
$ | 390 | | |
$ | 9,724 | | |
$ | 34,938 | |
| Warrants | |
| - | | |
| - | | |
| - | | |
| 207,143 | | |
| - | | |
$ | 254 | | |
$ | 254 | |
| Royalty Purchase Agreement payment | |
| - | | |
| - | | |
| - | | |
| - | | |
| - | | |
$ | 2,225 | | |
$ | 2,225 | |
| March 31, 2026 | |
| | | |
| | | |
$ | 25,214 | | |
| | | |
| - | | |
$ | 12,203 | | |
$ | 37,417 | |
|