Fair Value Measurement (Tables)
|
3 Months Ended |
Mar. 31, 2026 |
|---|
| Fair Value, Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] |
|
| Summary of Information About The Company's Consolidated Financial Instruments That Were Measured At Fair Value On A Recurring Basis |
The following tables set forth the fair value of the Company’s consolidated financial instruments that were measured at fair value on a recurring basis as of March 31, 2026 and December 31, 2025. The liabilities categorized as Level 3 within the hierarchy below represent notes payable for which the Company has elected the fair value option.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
March 31, 2026 |
|
|
|
|
|
|
|
|
(unaudited) |
|
|
|
|
|
(in thousands) |
|
Level 1 |
|
|
Level 2 |
|
|
Level 3 |
|
|
Total |
|
Assets |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Derivative asset |
|
$ |
|
— |
|
|
$ |
|
— |
|
|
$ |
|
— |
|
|
$ |
|
— |
|
Total fair value of assets |
|
$ |
|
— |
|
|
$ |
|
— |
|
|
$ |
|
— |
|
|
$ |
|
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Liabilities |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Uptown |
|
$ |
|
— |
|
|
$ |
|
— |
|
|
$ |
|
10,048 |
|
|
$ |
|
10,048 |
|
Streeterville 2 |
|
|
|
— |
|
|
|
|
— |
|
|
|
|
8,599 |
|
|
|
|
8,599 |
|
Streeterville Note |
|
|
|
— |
|
|
|
|
— |
|
|
|
|
7,630 |
|
|
|
|
7,630 |
|
Derivative liability |
|
|
|
— |
|
|
|
|
— |
|
|
|
|
187 |
|
|
|
|
187 |
|
Convertible Notes |
|
|
|
— |
|
|
|
|
— |
|
|
|
|
162 |
|
|
|
|
162 |
|
Iliad |
|
|
|
— |
|
|
|
|
— |
|
|
|
|
— |
|
|
|
|
— |
|
Total fair value of liabilities |
|
$ |
|
— |
|
|
$ |
|
— |
|
|
$ |
|
26,626 |
|
|
$ |
|
26,626 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
December 31, 2025 |
|
(in thousands) |
|
Level 1 |
|
|
Level 2 |
|
|
Level 3 |
|
|
Total |
|
Assets |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Derivative asset |
|
$ |
|
— |
|
|
$ |
|
— |
|
|
$ |
|
322 |
|
|
$ |
|
322 |
|
Total fair value of assets |
|
$ |
|
— |
|
|
$ |
|
— |
|
|
$ |
|
322 |
|
|
$ |
|
322 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Liabilities |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Uptown |
|
$ |
|
— |
|
|
$ |
|
— |
|
|
$ |
|
11,387 |
|
|
$ |
|
11,387 |
|
Streeterville 2 |
|
|
|
— |
|
|
|
|
— |
|
|
|
|
8,580 |
|
|
|
|
8,580 |
|
Streeterville Note |
|
|
|
— |
|
|
|
|
— |
|
|
|
|
8,222 |
|
|
|
|
8,222 |
|
Convertible Notes |
|
|
|
— |
|
|
|
|
— |
|
|
|
|
2,540 |
|
|
|
|
2,540 |
|
Iliad |
|
|
|
— |
|
|
|
|
— |
|
|
|
|
1,172 |
|
|
|
|
1,172 |
|
Total fair value of liabilities |
|
$ |
|
— |
|
|
$ |
|
— |
|
|
$ |
|
31,901 |
|
|
$ |
|
31,901 |
|
|
| Summary of Change In The Estimated Fair Value Of Level 3 Asset |
The change in the estimated fair value of Level 3 asset is summarized below:
|
|
|
|
|
|
|
|
Three Months Ended |
|
|
|
March 31, 2026 |
|
|
|
(unaudited) |
|
(in thousands) |
|
Derivative asset (liability) |
|
Beginning fair value of Level 3 asset |
|
$ |
|
322 |
|
Additions |
|
|
|
— |
|
Changes in fair value |
|
|
|
(509 |
) |
Ending fair value of Level 3 asset (liability) |
|
$ |
|
(187 |
) |
|
|
|
|
|
|
|
|
Year Ended |
|
|
|
December 31, 2025 |
|
(in thousands) |
|
Derivative asset |
|
Beginning fair value of Level 3 liability |
|
$ |
|
— |
|
Additions |
|
|
|
322 |
|
Exchanges |
|
|
|
— |
|
Ending fair value of Level 3 asset |
|
$ |
|
322 |
|
|
| Summary of Change In The Estimated Fair Value Of Level 3 Liabilities |
The change in the estimated fair value of Level 3 liabilities is summarized below:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Three Months Ended |
|
|
|
March 31, 2026 |
|
|
|
|
|
|
|
|
|
|
(unaudited) |
|
|
|
|
|
|
(in thousands) |
|
Iliad |
|
|
Uptown |
|
|
Streeterville 2 |
|
|
Streeterville Note |
|
|
Convertible Notes |
|
Beginning fair value of Level 3 liability |
|
$ |
|
1,172 |
|
|
$ |
|
11,387 |
|
|
$ |
|
8,580 |
|
|
$ |
|
8,222 |
|
|
$ |
|
2,540 |
|
Additions |
|
|
|
— |
|
|
|
|
9,889 |
|
|
|
|
17,871 |
|
|
|
|
— |
|
|
|
|
— |
|
Exchanges |
|
|
|
(1,172 |
) |
|
|
|
— |
|
|
|
|
— |
|
|
|
|
— |
|
|
|
|
— |
|
Converted |
|
|
|
— |
|
|
|
|
— |
|
|
|
|
— |
|
|
|
|
— |
|
|
|
|
— |
|
Extinguishments |
|
|
|
— |
|
|
|
|
(11,387 |
) |
|
|
|
(18,057 |
) |
|
|
|
— |
|
|
|
|
— |
|
Settlements |
|
|
|
— |
|
|
|
|
— |
|
|
|
|
— |
|
|
|
|
— |
|
|
|
|
(2,435 |
) |
Changes in fair value |
|
|
|
— |
|
|
|
|
159 |
|
|
|
|
205 |
|
|
|
|
(592 |
) |
|
|
|
57 |
|
Ending fair value of Level 3 liability |
|
$ |
|
— |
|
|
$ |
|
10,048 |
|
|
$ |
|
8,599 |
|
|
$ |
|
7,630 |
|
|
$ |
|
162 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Year Ended |
|
|
|
December 31, 2025 |
|
(in thousands) |
|
Iliad |
|
|
Uptown |
|
|
Streeterville 2 |
|
|
Streeterville Note |
|
|
Convertible Notes |
|
Beginning fair value of Level 3 liability |
|
$ |
|
5,215 |
|
|
$ |
|
9,615 |
|
|
$ |
|
8,673 |
|
|
$ |
|
11,853 |
|
|
$ |
|
— |
|
Additions |
|
|
|
— |
|
|
|
|
— |
|
|
|
|
— |
|
|
|
|
— |
|
|
|
|
1,833 |
|
Exchanges |
|
|
|
(5,900 |
) |
|
|
|
(1,210 |
) |
|
|
|
(3,234 |
) |
|
|
|
— |
|
|
|
|
(227 |
) |
Converted |
|
|
|
— |
|
|
|
|
— |
|
|
|
|
— |
|
|
|
|
— |
|
|
|
|
(926 |
) |
Extinguishments |
|
|
|
(7 |
) |
|
|
|
— |
|
|
|
|
— |
|
|
|
|
— |
|
|
|
|
— |
|
Settlements |
|
|
|
— |
|
|
|
|
— |
|
|
|
|
— |
|
|
|
|
— |
|
|
|
|
(50 |
) |
Changes in fair value |
|
|
|
1,864 |
|
|
|
|
2,982 |
|
|
|
|
3,141 |
|
|
|
|
(3,631 |
) |
|
|
|
1,910 |
|
Ending fair value of Level 3 liability |
|
$ |
|
1,172 |
|
|
$ |
|
11,387 |
|
|
$ |
|
8,580 |
|
|
$ |
|
8,222 |
|
|
$ |
|
2,540 |
|
|
| Summary of Information About The Significant Unobservable Inputs Used In Level 3 Fair Value Measurements For Instruments Not Classified As Hybrid Instruments |
The following table summarizes the quantitative information about the significant unobservable inputs used in Level 3 fair value measurement for the remaining instruments that are not classified as hybrid instruments:
|
|
|
|
|
|
|
|
|
Range of inputs |
|
|
|
|
(probability-weighted average) |
|
Relationship of unobservable inputs |
Unobservable inputs |
|
2026 |
2025 |
to fair value |
Risk adjusted discount rate |
|
9.4% - 32.26% (32.26%) |
|
8.9% - 26.00% (26.00%) |
|
If discount rate is adjusted to a total of an additional 100 basis points (bps), fair value would have decreased by $167,000.
If discount rate is adjusted to a total deduction of 100 basis points (bps), fair value would have increased by $169,000. |
|
| Summary of The Fair Value And Unpaid Principal Balance For Items The Company Accounts For Under FVO |
The following tables summarize the fair value and outstanding balance for items the Company accounts for under FVO:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Fair value |
|
|
Unpaid Principal Balance |
|
|
Accrued Interest |
|
|
Fair Value Over (Under) Outstanding Balance |
|
(in thousands) |
|
(unaudited) |
|
At March 31, 2026 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Iliad |
|
$ |
|
— |
|
|
$ |
|
— |
|
|
$ |
|
— |
|
|
$ |
|
— |
|
Uptown |
|
|
|
10,048 |
|
|
|
|
11,625 |
|
|
|
|
6,975 |
|
|
|
|
(8,552 |
) |
Streeterville 2 |
|
|
|
8,599 |
|
|
|
|
6,953 |
|
|
|
|
786 |
|
|
|
|
860 |
|
Streeterville Note |
|
|
|
7,630 |
|
|
|
|
6,570 |
|
|
|
|
— |
|
|
|
|
1,060 |
|
Convertible Notes |
|
|
|
162 |
|
|
|
|
152 |
|
|
|
|
5 |
|
|
|
|
5 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(in thousands) |
|
Fair value |
|
|
Unpaid Principal Balance |
|
|
Accrued Interest |
|
|
Fair Value Over (Under) Outstanding Balance |
|
At December 31, 2025 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Iliad |
|
$ |
|
1,172 |
|
|
$ |
|
— |
|
|
$ |
|
1,183 |
|
|
$ |
|
(11 |
) |
Uptown |
|
|
|
11,387 |
|
|
|
|
13,563 |
|
|
|
|
5,988 |
|
|
|
|
(8,164 |
) |
Streeterville 2 |
|
|
|
8,580 |
|
|
|
|
6,953 |
|
|
|
|
2,649 |
|
|
|
|
(1,022 |
) |
Streeterville Note |
|
|
|
8,222 |
|
|
|
|
6,000 |
|
|
|
|
1,036 |
|
|
|
|
1,186 |
|
Convertible Notes |
|
|
|
2,540 |
|
|
|
|
2,572 |
|
|
|
|
41 |
|
|
|
|
(73 |
) |
|
| Derivative Asset |
|
| Fair Value, Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] |
|
| Summary of Information About The Significant Unobservable Inputs Used In Level 3 Fair Value Measurements |
The following table summarizes the quantitative information about the significant unobservable inputs used in the Level 3 fair value measurement for the derivative instrument:
|
|
|
|
|
|
|
|
|
Range of inputs |
|
|
|
|
(probability-weighted average) |
|
Relationship of unobservable inputs |
Unobservable inputs |
|
2026 |
2025 |
to fair value |
Option-adjusted spread |
|
9.4% - 25.10% (25.10%) |
|
5.40% - 7.40% (6.40%) |
|
If discount rate is adjusted to a total of an additional 100 basis points (bps), fair value would have increased by $105,000.
If discount rate is adjusted to a total deduction of 100 basis points (bps), fair value would have decreased by $101,000. |
|
| Streeterville Note |
|
| Fair Value, Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] |
|
| Summary of Information About The Significant Unobservable Inputs Used In Level 3 Fair Value Measurements |
The following table summarizes the quantitative information about the significant unobservable inputs used in Level 3 fair value measurement for the Streeterville Note:
|
|
|
|
|
|
|
|
|
Range of inputs |
|
|
|
|
(probability-weighted average) |
|
Relationship of unobservable inputs |
Unobservable inputs |
|
2026 |
2025 |
to fair value |
Risk adjusted discount rate |
|
9.43% - 30.26% (30.26%) |
|
8.85% - 28.67% (28.67%) |
|
If discount rate is adjusted to a total of an additional 100 basis points (bps), fair value would have decreased by $252,000.
If discount rate is adjusted to a total deduction of 100 basis points (bps), fair value would have increased by $252,000. |
Sales proceeds: Amount of comparable TDPRV |
|
$67.5 million to $350.0 million ($100 million) |
|
$67.5 million to $350.0 million ($110 million) |
|
If expected cash flows by Management considered the highest amount of market indications for vouchers, FV would have decreased by $0.47 million.
If expected cash flows by Management considered the lowest amount of market indications for vouchers, FV would have increased by $2.69 million. |
Range of probability for timing of cash flows:
Variations of the terms and conditions of the timing of cash flows, including settlement of the note principal, interest, penalties, and acceleration clause |
|
0.00%-85.00% |
|
0.00%-50.00% |
|
If expected cash flows by Management considered the Scenario with the least amount of indicated value, FV would have decreased by $0.25 million.
If expected cash flows by Management considered the Scenario with the most significant amount of indicated value, FV would have increased by $1.77 million. |
|
| Convertible Promissory Notes |
|
| Fair Value, Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] |
|
| Summary of Information About The Significant Unobservable Inputs Used In Level 3 Fair Value Measurements |
The following table summarizes the quantitative information about the significant unobservable inputs used in Level 3 fair value measurement for the Convertible Promissory Notes:
|
|
|
|
|
|
|
|
|
Range of inputs |
|
|
|
|
(probability-weighted average) |
|
Relationship of unobservable inputs |
Unobservable inputs |
|
2026 |
2025 |
to fair value |
Risk adjusted discount rate |
|
8.9% - 23.51% (23.51%) |
|
8.9% - 23.51% (23.51%) |
|
If discount rate is adjusted to a total of an additional 100 bps, fair value would have decreased by $2,000.
If discount rate is adjusted to a total deduction of 100 bps, fair value would have increased by $2,000. |
|