v3.26.1
Fair Value of Measurements
 6 Months Ended
Jun. 30, 2026
Fair Value of Measurements  
Fair Value of Measurements

4. Fair Value of Measurements

Recurring Fair Value Measurements

The following financial instruments are measured at fair value on a recurring basis (in thousands):

 

 

June 30, 2026

 

 

Level 1

 

 

Level 2

 

 

Level 3

 

 

Total

 

Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

Convertible promissory notes

 

$

—

 

 

$

—

 

 

$

5,184

 

 

$

5,184

 

Warrant liabilities

 

 

8,453

 

 

 

—

 

 

 

9,862

 

 

 

18,315

 

 

 

December 31, 2025

 

 

Level 1

 

 

Level 2

 

 

Level 3

 

 

Total

 

Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

Convertible promissory notes

 

$

—

 

 

$

—

 

 

$

6,046

 

 

$

6,046

 

Warrant liabilities

 

 

1,380

 

 

 

—

 

 

 

1,490

 

 

$

2,870

 

Common stock forward liability

 

 

—

 

 

 

—

 

 

 

3

 

 

$

3

 

 

Valuation Techniques and Inputs

The table below presents valuation techniques and inputs used in the fair value measurement categorized within Level 3 of the fair value hierarchy (in thousands):

 

 

Valuation techniques

 

Inputs

 

June 30, 2026

 

 

December 31, 2025

 

Convertible promissory notes, net of current

 

Binomial Lattice Model (“BLM”)

 

Stock price, volatility, remaining term, risk-free rate, credit spread

 

$

5,184

 

 

$

4,939

 

Convertible promissory notes, net of current

 

Discounted Cash Flow (“DCF”)

 

Discount rate, risk-free rate, credit spread, contractual cash flows

 

 

—

 

 

 

1,107

 

Warrant liabilities associated with Private Warrants

 

Black-Scholes-Merton
Model (“BSM”)

 

Exercise price, term to expiration, volatility, risk-free rate

 

 

9,862

 

 

 

1,490

 

Common stock forward liability

 

DCF

 

Various utilization scenarios, risk-free rate, remaining term

 

 

—

 

 

 

3

 

 

As of June 30, 2026, the key inputs for the convertible promissory notes using the BLM were as follows: stock price of $2.97, volatility of 102.60%, remaining term of 1.7 years, risk-free rate of 4.09%, and credit spread of 5.50%. The settlement date fair value of the Indigo Notes was determined based on the fair value of the Company’s common stock issued.

As of June 30, 2026, the key inputs used to measure the liability-classified warrants to purchase the Company’s common stock initially issued by the predecessor reporting entity (“Private Warrants”) using the BSM were as follows: exercise price of $11.50 per share, term to expiration of 2.7 years, volatility of 127.20%, and a risk-free rate of 4.10%.

The following table sets forth a summary of the changes in the fair value of the convertible promissory notes (in thousands):

 

As of December 31, 2025

 

$

6,046

 

Borrowing

 

 

2,790

 

Conversion

 

 

(5,158

)

Change in fair value

 

 

1,286

 

As of March 31, 2026

 

 

4,964

 

Change in fair value

 

 

220

 

As of June 30, 2026

 

$

5,184

 

 

The following table sets forth a summary of the changes in the fair value of the warrant liabilities (in thousands):

 

As of December 31, 2025

 

$

2,870

 

Change in fair value

 

 

3,125

 

As of March 31, 2026

 

 

5,995

 

Change in fair value

 

 

12,320

 

As of June 30, 2026

 

$

18,315

 

 

The following table sets forth a summary of the changes in the fair value of the common stock forward liability, which was fully settled as of March 31, 2026 (in thousands):

 

As of December 31, 2025

 

$

3

 

Change in fair value

 

 

(3

)

As of March 31, 2026

 

$

—