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

9.            Fair Value Measurements

In accordance with ASC 820 Fair Value Measurement, the Company uses various inputs to measure the Warrants on a recurring basis to determine the fair value of the liability. ASC 820 also establishes a hierarchy categorizing inputs into three levels used to measure and disclose fair value. The hierarchy gives the highest priority to quoted prices available in active markets and the lowest priority to unobservable inputs. An explanation of each level in the hierarchy is described below:

  

Level 1 – Unadjusted quoted prices in active markets for identical instruments that are accessible by the Company on the measurement date

 

Level 2 – Quoted prices in markets that are not active or inputs which are either directly or indirectly observable

 

Level 3 – Unobservable inputs for the instrument requiring the development of assumptions by the Company

 

The following table summarizes the Company’s Warrants measured at fair value within the hierarchy on a recurring basis as of March 31, 2026:

 

   Fair Value Measurements at
   March 31, 2026
   (In thousands)
   Level 1  Level 2  Level 3  Total
Liabilities:            
Warrant liability  $—     $—     $12   $12 
Derivative liability   —      —      462    462 
   $—     $—     $474   $474 

 

The following table summarizes the Company’s Warrants measured at fair value within the hierarchy on a recurring basis as of December 31, 2025:

 

   Fair Value Measurements at
   December 31, 2025
   (In thousands)
   Level 1  Level 2  Level 3  Total
Liabilities:            
Warrant liability  $—     $—     $14   $14 
Derivative liability   —      —      508    508 
   $—     $—     $522   $522 

 

 

The following table summarizes changes to the fair value of the Level 3 Warrants for the three months ended March 31, 2026:

 

   Fair Value of
   Warrant
   Liability
   (In thousands)
Balance at December 31, 2025  $14 
Change in fair value   (2)
Balance at March 31, 2026  $12 

 

The following table summarizes changes to the fair value of the Level 3 Derivative liabilities for the three months ended March 31, 2026:

 

   Fair Value of
   Warrant
   Liability
   (In thousands)
Balance at December 31, 2025  $508 
Change in fair value   (46)
Balance at March 31, 2026  $462 

 

The Company utilized the Black-Scholes valuation model for estimating the fair value of the Warrants and Derivative liabilities using the following assumptions as of September 30, 2025:

 

   As of
March 31,
2026
Risk-free interest rate   3.92%
Expected volatility   138%
Expected term in years   1- 3.9 
Dividend yield   —  %

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