v3.26.1
Fair Value Measurements (Tables)
3 Months Ended
Mar. 31, 2026
Fair Value Disclosures [Abstract]  
Schedule of Financial Liabilities, Measured at Fair Value The following tables represent the Company’s financial liabilities according to the fair value hierarchy, measured at fair value (in thousands):

 

March 31, 2026

 

Level 1

 

 

Level 2

 

 

Level 3

 

 

Total

 

Liabilities

 

 

 

 

 

 

 

 

 

 

 

 

Warrant liabilities

 

$

 

 

$

 

 

$

882

 

 

$

882

 

Convertible notes payable

 

 

 

 

 

 

 

 

40,728

 

 

 

40,728

 

Total liabilities, at fair value

 

$

 

 

$

 

 

$

41,610

 

 

$

41,610

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

December 31, 2025

 

Level 1

 

 

Level 2

 

 

Level 3

 

 

Total

 

Liabilities

 

 

 

 

 

 

 

 

 

 

 

 

Warrant liabilities

 

$

 

 

$

 

 

$

865

 

 

$

865

 

Total liabilities, at fair value

 

$

 

 

$

 

 

$

865

 

 

$

865

 

Schedule of Fair Value of the Warrant Liability

The fair value of the warrant liability is estimated using the option-pricing model based on the Black-Scholes-Merton model with the following inputs:

 

 

 

Preferred Warrants

March 31, 2026

 

Series B

 

Series D

 

Series E2 and F

Strike price

 

$3.73744

 

$4.20700

 

$2.54430

Expected dividend yield

 

— %

 

— %

 

— %

Expected term (years)

 

6.8

 

7.2

 

7.8

Volatility

 

75%

 

75%

 

75%

Risk-free interest rate

 

3.465%

 

3.465%

 

3.465%

 

 

 

Preferred Warrants

December 31, 2025

 

Series B

 

Series D

 

Series E2 and F

Strike price

 

$3.73744

 

$4.20700

 

$2.54430

Expected dividend yield

 

— %

 

— %

 

— %

Expected term (years)

 

7.0

 

7.4

 

8.0

Volatility

 

80%

 

80%

 

80%

Risk-free interest rate

 

3.445%

 

3.445%

 

3.445%

Schedule of Change in Fair Market Value of Convertible Notes

The following table summarizes the change in the fair market value of the Convertible Notes (in thousands):

 

 

 

Three Months Ended

 

 

 

March 31,

 

 

 

2026

 

Beginning balance

 

$

 

Issuance of convertible notes payable

 

 

40,000

 

Change in fair value

 

 

728

 

Ending balance

 

$

40,728