v3.26.1
Fair Value of Measurements (Tables)
 6 Months Ended
Jun. 30, 2026
Fair Value of Measurements  
Schedule of Financial Instruments Measured at Fair Value on a Recurring Basis

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

 
Schedule of Valuation Techniques and Inputs Used in the Fair Value Measurement

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

 

 
Summary of Changes in the Fair Value of the Company's Level 3 Financial Liabilities

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

 

$

—