| Financial Instruments |
Note 3. Financial Instruments The following tables summarize the Company’s financial assets and liabilities measured at fair value by level within the fair value hierarchy:
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June 30, 2026 |
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Adjusted Cost |
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Unrealized Gains |
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Unrealized Losses |
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Fair Value |
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Cash and Cash Equivalent |
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Marketable Securities |
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(in thousands) |
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Assets |
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Cash |
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$ |
21,392 |
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$ |
— |
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$ |
— |
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$ |
21,392 |
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$ |
21,392 |
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$ |
— |
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Level 1 |
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Money market funds |
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10,401 |
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— |
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— |
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10,401 |
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10,401 |
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— |
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Level 2 |
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U.S. Government securities |
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31,109 |
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— |
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(17 |
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31,092 |
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— |
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31,092 |
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U.S. Treasury securities |
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19,849 |
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— |
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(7 |
) |
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19,842 |
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5,968 |
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13,874 |
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Commercial paper |
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63,371 |
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— |
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(35 |
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63,336 |
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5,474 |
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57,862 |
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Corporate bonds |
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31,855 |
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— |
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(29 |
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31,826 |
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— |
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31,826 |
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Subtotal |
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146,184 |
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— |
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(88 |
) |
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146,096 |
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11,442 |
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134,654 |
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Total assets |
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$ |
177,977 |
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$ |
- |
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$ |
(88 |
) |
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$ |
177,889 |
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$ |
43,235 |
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$ |
134,654 |
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Liabilities |
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Level 3 |
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Convertible notes |
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— |
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— |
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— |
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192,843 |
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— |
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— |
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Warrant liabilities |
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— |
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— |
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— |
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73,961 |
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— |
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— |
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Total liabilities |
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$ |
— |
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$ |
— |
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$ |
— |
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$ |
266,804 |
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$ |
— |
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$ |
— |
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December 31, 2025 |
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Adjusted Cost |
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Unrealized Gain |
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Unrealized Losses |
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Fair Value |
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Cash and Cash Equivalent |
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Marketable Securities |
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(in thousands) |
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Assets |
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Cash |
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$ |
16,690 |
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$ |
— |
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$ |
— |
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$ |
16,690 |
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$ |
16,690 |
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$ |
— |
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Level 1 |
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Money market funds |
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16,977 |
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— |
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— |
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16,977 |
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16,977 |
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— |
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Level 2 |
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U.S. Government securities |
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20,818 |
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3 |
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(2 |
) |
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20,819 |
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3,984 |
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16,835 |
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U.S. Treasury securities |
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13,460 |
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— |
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(2 |
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13,458 |
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7,989 |
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5,469 |
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Commercial paper |
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45,480 |
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2 |
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(4 |
) |
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45,478 |
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26,651 |
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18,827 |
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Corporate bonds |
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8,478 |
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1 |
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(2 |
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8,477 |
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— |
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8,477 |
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Subtotal |
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88,236 |
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6 |
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(10 |
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88,232 |
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38,624 |
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49,608 |
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Total assets |
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$ |
121,903 |
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$ |
6 |
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$ |
(10 |
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$ |
121,899 |
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$ |
72,291 |
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$ |
49,608 |
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Liabilities |
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Level 3 |
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Convertible notes |
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— |
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— |
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— |
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100,958 |
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— |
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— |
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Warrant liabilities |
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— |
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— |
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— |
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29,711 |
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— |
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— |
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Total liabilities |
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$ |
— |
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$ |
— |
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$ |
— |
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$ |
130,669 |
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$ |
— |
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$ |
— |
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The fair value of the private placement warrants, convertible notes and Series A warrants are based on significant unobservable inputs, which represent Level 3 measurements within the fair value hierarchy. The Company used the Black Scholes option pricing and the lattice model as applicable to determine the fair value of the warrant liabilities and convertible notes, respectively, using unobservable inputs including the expected term, expected volatility, risk-free interest rate, and dividend yield. Warrant liabilities The following table presents a summary of the changes in the fair value of the Series A and private placement warrants (in thousands):
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June 30, 2026 |
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December 31, 2025 |
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Fair value, beginning balance |
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$ |
29,711 |
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$ |
8,258 |
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Change in the fair value of Series A warrants included in other income (expense), net |
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44,250 |
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21,479 |
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Change in the fair value of private placement warrants included in other income (expense), net |
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— |
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(26 |
) |
Fair value, closing balance |
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$ |
73,961 |
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$ |
29,711 |
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The key inputs into the Black-Scholes option pricing model for the private placement warrants were as follows for the relevant periods. These warrants expired on March 12, 2026, and they were no longer traded upon expiration:
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December 31, 2025 |
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Expected term (years) |
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0.2 |
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Expected volatility |
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101.0 |
% |
Risk-free interest rate |
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3.67 |
% |
Dividend yield |
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0 |
% |
Exercise price |
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$ |
57.50 |
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The key inputs into the Black-Scholes option pricing model for the Series A warrants were as follows for the relevant periods:
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June 30, 2026 |
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December 31, 2025 |
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Expected term (years) |
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1.5 |
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2.0 |
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Expected volatility |
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116.0 |
% |
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101.0 |
% |
Risk-free interest rate |
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4.06 |
% |
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3.48 |
% |
Dividend yield |
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0 |
% |
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0 |
% |
Exercise Price |
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$ |
5.00 |
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$ |
5.00 |
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Convertible notes As of June 30, 2026 and December 31, 2025, the fair value of the Company’s convertible notes was $192.8 million and $101.0 million, respectively. The Company measures the fair value of its convertible notes for disclosure purposes. The fair value was determined based on the Lattice model and has been classified as Level 3 in the fair value hierarchy. See Note 10 “Financing transactions” for information regarding the Company’s convertible notes. The key inputs into the Lattice model for the convertible notes were as follows:
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June 30, 2026 |
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December 31, 2025 |
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Expected term (years) |
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6.4 |
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6.9 |
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Expected volatility |
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90.4 |
% |
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87.7 |
% |
Risk-free interest rate |
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4.30 |
% |
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3.90 |
% |
Conversion rate |
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$ |
15.87 |
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$ |
15.87 |
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Stock price |
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$ |
28.72 |
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$ |
13.28 |
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