v3.26.1
Fair Value Measurements
 6 Months Ended
Jun. 30, 2026
Fair Value Measurements [Abstract]  
Fair Value Measurements

3. Fair Value Measurements 

 

The following tables provide information related to the Company’s assets and liabilities measured at fair value on a recurring basis as of June 30, 2026 and December 31, 2025:

 

    June 30, 2026  
    Level 1     Level 2     Level 3     Total  
Liabilities:                        
Forward purchase agreement warrant liability   $ -     $ -     $ 14     $ 14  
Private warrant liability     -       4,668       -       4,668  
Publicly traded warrant liability     705       -       -       705  
    $ 705     $ 4,668     $ 14     $ 5,387  

 

 

    December 31, 2025  
    Level 1     Level 2     Level 3     Total  
Liabilities:                        
Forward purchase agreement warrant liability   $ -     $ -     $ 24     $ 24  
Private warrant liability     -       5,835       -       5,835  
Publicly traded warrant liability     551       -       -       551  
    $ 551     $ 5,835     $ 24     $ 6,410  

 

The Company has classified the publicly traded warrant liability within Level 1 of the hierarchy as the warrant is separately listed and traded in an active market. The publicly traded warrant’s listed price in an active market was used as the fair value.

 

The private warrant liability includes the September 2025 Investor Warrants and October 2025 Investor Warrants (both as defined in Note 9), with fair values of $1,796 and $2,872, respectively, as of June 30, 2026 and with fair values of $2,255 and $3,580, respectively, as of December 31, 2025. These fair values were estimated using Black-Scholes option models and based upon observable inputs such as the risk-free rate and the Company’s volatility which are considered Level 2 inputs. The following table presents the quantitative information regarding the Level 2 fair value measurements of the private warrant liability as of June 30, 2026 and December 31, 2025:

 

  June 30,
2026		   December 31,
2025
Stock price $0.79   $0.66
Exercise price  $1.31 - $1.33    $1.31 - $1.33
Expected volatility 113.6% - 115.4%   147.0% -149.0%
Expected term (in years)  1.4 - 1.5    1.9 - 2.0
Risk-free rate 4.05% - 4.06%   3.50%

 

The fair value of the forward purchase agreement warrant liability is a Level 3 fair value measurement and was estimated using Monte Carlo simulation models. The use of significant unobservable inputs could result in those inputs being different at the reporting dates, which could result in a significantly higher or lower fair value measurement at the reporting dates. The following table presents the quantitative information regarding Level 3 fair value measurements of the forward purchase agreement warrant liability as of June 30, 2026 and December 31, 2025:

 

    June 30,
2026		     December 31,
2025		  
Stock price   $ 0.79     $ 0.66  
Initial exercise price   $ 10.46     $ 10.46  
Annual volatility     112.0 %     115.0 %
Remaining term (in years)     0.5       1.0  
Risk-free rate     3.93 %     3.42 %

 

The following tables summarize the activity for the Company’s Level 3 instrument measured at fair value on a recurring basis:

 

    Forward
Purchase
Agreement
Warrant
Liability		  
Balance as of December 31, 2025   $ 24  
Change in fair value     (10 )
Balance as of June 30, 2026   $ 14  

 

There were no transfers between Level 1 and Level 2, nor into and out of Level 3, during the periods presented.