v3.26.1
Fair Value Measurements
 3 Months Ended
Mar. 31, 2026
Fair Value Disclosures [Abstract]  
Fair Value Measurements

Note 15 - Fair Value Measurements

 

The following table presents the fair value of the Company’s financial liabilities that are measured at fair value on a recurring basis as of March 31, 2026 and December 31, 2025 (in thousands):

 

   Level 1   Level 2   Level 3   Total 
   As of March 31, 2026 
   Level 1   Level 2   Level 3   Total 
Derivative liability  $-   $-   $490   $490 

 

   Level 1   Level 2   Level 3   Total 
   As of December 31, 2025 
   Level 1   Level 2   Level 3   Total 
Derivative liability  $-   $-   $50   $50 

 

There were no transfers between Level 1, 2 or 3 during the three-month period ended March 31, 2026.

 

The following table presents changes in Level 3 liabilities measured at fair value for the three-month period ended March 31, 2026. Both observable and unobservable inputs were used to determine the fair value of positions that the Company has classified within the Level 3 category. Unrealized gains and losses associated with liabilities within the Level 3 category include changes in fair value that were attributable to both observable (e.g., changes in market interest rates) and unobservable (e.g., changes in unobservable long- dated volatilities) inputs (in thousands).

 

   Derivative liability 
Balance at January 1, 2026  $50 
Issuance of convertible debt   308 
Debt amendment   

418

 
Redemptions   (372)
Change in fair value   

86

 
Balance at March 31, 2026  $490 

 

A summary of the weighted average (in aggregate) significant unobservable inputs (Level 3 inputs) used in the Black-Scholes option pricing model and Monte-Carlo simulation measuring the Company’s derivative liabilities that are categorized within Level 3 of the fair value hierarchy as of March 31, 2026 and December 31, 2025:

 

   As of March 31, 2026   As of December 31, 2025 
Exercise price  $0.07   $0.76 
Expected term (years)   0.6    0.6 
Expected stock price volatility   154.5%   99.2%
Risk-free rate of interest   3.7%   3.6%
Expected dividend yield (per share)   0%   0%