v3.26.1
Warrant Liabilities (Tables)
6 Months Ended
Jun. 30, 2026
Warrant Liabilities [Abstract]  
Schedule of Financial Liabilities that are Measured at Fair Value on a Recurring Basis

The following table presents information about the Company’s financial liabilities that are measured at fair value on a recurring basis as of June 30, 2026 and December 31, 2025, by level within the fair value hierarchy (in thousands):

 

   Fair value measured as of June 30, 2026
       Quoted
prices
   Significant
other
   Significant
   Fair value at
June 30,
2026
   in active
markets
(Level 1)
   observable 
inputs
(Level 2)
   unobservable
inputs
(Level 3)
Warrant liabilities  $11,780    4,680         -    7,100

 

   Fair value measured as of December 31, 2025
       Quoted
prices
   Significant
other
   Significant
   Fair value at
December 31,
2025
   in active
markets
(Level 1)
   observable
inputs
(Level 2)
   unobservable
inputs
(Level 3)
Warrant liabilities  $11,533   $3,795   $                -   $   7,738
Schedule of Changes in Level 3 Liabilities Measured at Fair Value

The following table presents changes in Level 3 liabilities measured at fair value for the six months ended June 30, 2026 and 2025 (in thousands):

 

Balance - January 1, 2025  $41 
Fair value at issuance   2,908 
Change in fair value   (37)
Balance - March 31, 2025  $2,912 
Change in fair value   1,739 
Balance - June 30, 2025  $4,651 

Balance - January 1, 2026  $7,738 
Change in fair value   74 
Balance - March 31, 2026  $7,812 
Exercise of warrants   (43)
Change in fair value   (669)
Balance - June 30, 2026  $7,100 
Schedule of Quantitative Information Regarding Level 3 Fair Value Measurements Inputs at their Measurement

The following table provides quantitative information regarding Level 3 fair value measurements inputs at their measurement:

 

    June 30, 2026  
    Angel
Warrants
     Investor
Warrants
    Avenue
Warrants
    Hudson
Warrants
 
Valuation Method   Black Scholes     Monte Carlo     Black Scholes     Monte Carlo  
Strike price (per share)   $ 7.32     $ 1.80     $ 1.66     $ 2.51  
Contractual term (years)     1.0       3.8       3.8       4.3  
Volatility (annual)     78.7 %     70.0 %     69.0 %     70.0 %
Risk-free rate     4.0 %     4.1 %     4.1 %     4.1 %
Dividend yield (per share)     0.0 %     0.0 %     0.0 %     0.0 %
Probability assessment (1)     N/A       10%-30 %     10%-30 %     10%-30 %

 

    December 31, 2025  
    Angel
Warrants
     Investor
Warrants
    Avenue
Warrants
    Hudson
Warrants
 
Valuation Method   Black Scholes     Monte Carlo     Black Scholes     Monte Carlo  
Strike price (per share)   $ 7.32     $ 1.80     $ 1.66     $ 2.51  
Contractual term (years)     1.5       4.2       4.2       4.8  
Volatility (annual)     92.1 %     80.0 %     79.0 %     70.0 %
Risk-free rate     3.5 %     3.6 %     3.6 %     3.6 %
Dividend yield (per share)     0.0 %     0.0 %     0.0 %     0.0 %
Probability assessment (1)     N/A       10%-30 %     10%-30 %     10%-30 %

 

(1)Probability assessment reflects management’s estimate of the likelihood of an event that could accelerate exercisability or modify settlement mechanics under the warrant agreements