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

5. Fair Value

 

The following table presents, as of March 31, 2026, the Company’s assets and liabilities subject to measurement at fair value on a recurring basis (in thousands):

 

   Fair Value Measurements as of March 31, 2026 
   Level 1   Level 2   Level 3   Total 
Assets:                
Cash equivalents  $14   $-   $-   $14 
Total Assets  $14   $-   $-   $14 
                     
Liabilities:                    
Convertible notes payable, at fair value  $-   $-   $773   $773 
Total Liabilities  $-   $-   $773   $773 

 

 

The following table presents as of December 31, 2025 the Company’s assets and liabilities subject to measurement at fair value on a recurring basis (in thousands):

 

   Fair Value Measurements as of December 31, 2025 
   Level 1   Level 2   Level 3   Total 
Assets:                
Cash equivalents  $739   $-   $-   $739 
Total Assets  $739   $-   $-   $739 
                     
Liabilities:                    
Convertible notes payable, at fair value  $-   $-   $660   $660 
Total Liabilities  $-   $-   $660   $660 

 

The following table presents additional information about the Convertible Notes Payable subject to measurement at fair value on a recurring basis and warrant liabilities, for which the Company used significant unobservable inputs (Level 3) (in thousands):

 

  

Convertible
Notes Payable

  

Liability
Classified Warrants

 
Balance as of December 31, 2025  $660   $         - 
Fair value at issuance   487    - 
Conversion of convertible notes   (200)   - 
Interest expense   45      
Change in fair value   (219)   - 
Balance as of March 31, 2026  $773   $- 

 

During the three months ended March 31, 2026, there were no transfers between Level 1 and Level 2, nor into or out of Level 3.

 

Convertible Notes Payable

 

During November 2024, the Company issued to Alliance Global Partners (“A.G.P.”) a convertible promissory note (the “A.G.P. Convertible Note”) in the principal amount of $5.7 million to evidence the A.G.P.’s currently owed deferred commission payable.

 

Additionally, as discussed in Note 3 and Note 7, during March 2026, the Company issued to Ascent a convertible promissory note in the principal amount of $0.6 million.

 

The Company elected to account for the Ascent Note and A.G.P. Convertible Note (collectively the “Convertible Notes Payable”) at fair value. The fair value of the Convertible Notes Payable is estimated each period using a binomial lattice model. Significant estimates in the binomial lattice model include the Company’s stock price, volatility, risk-free rate, corporate bond yield, credit spread, probability of default, and recovery upon default.

 

 

The following table outlines the range of significant unobservable inputs used in calculating the fair value of the A.G.P. Convertible Note as of March 31, 2026, and December 31, 2025:

 

  

March 31, 2026

  

December 31, 2025

 
Stock Price  $5.10   $32 
Term (years)   0.15    0.40 
Corporate bond yield   16.2%   5.5%
Credit Spread   26.2%   26.2%
Probability of default   70%   70%
Recovery upon default   0%   0%
Volatility   185%   135%

 

The following table outlines the range of significant unobservable inputs used in calculating the fair value of the Ascent Note as of March 31, 2026, and at inception of the Ascent Note on March 3, 2026:

 

   

March 31, 2026

    

March 3, 2026

  
Stock Price   $ 5.10     $ 15.50  
Term (years)     0.26       0.33  
Corporate bond yield     16.2 %     17.9 %
Credit Spread     17.1 %     17.1 %
Probability of default     70 %     70 %
Recovery upon default     20 %     20 %
Volatility     159 %     101 %