v3.26.1
Fair Value (Tables)
6 Months Ended
Jun. 30, 2026
Fair Value  
Schedule of financial assets and liabilities measured at fair value

 

Level 1

 

Level 2

 

Level 3

 

Total

 

(in thousands)

June 30, 2026

 

 

 

 

 

 

 

 

 

 

 

Cash and Cash Equivalents - Money Market Funds

$

135

 

$

 

$

 

$

135

Cash and Cash Equivalents – Available-for-sale debt securities with fair value option election

 

 

 

72,252

 

 

 

 

72,252

Short term investments – Available-for-sale debt securities with fair value option election

 

 

 

151,122

 

 

 

 

151,122

Private Placement Warrants

 

 

 

 

 

29,116

 

 

29,116

December 31, 2025

 

 

 

 

 

 

 

 

 

 

 

Cash and Cash Equivalents - Money Market Funds

$

1,878

 

$

 

$

 

$

1,878

Cash and Cash Equivalents - Available-for-sale debt securities with fair value option election

 

 

 

39,896

 

 

 

 

39,896

Short term investments - Available-for-sale debt securities with fair value option election

 

 

 

107,381

 

 

 

 

107,381

Private Placement Warrants

 

 

 

 

 

33,167

 

 

33,167

Derivative Liability - Conversion Option 

$

 

$

 

$

115,834

 

$

115,834

Schedule of fair value analysis of warrants, valuation assumptions

 

 June 30, 2026

 

 

 December 31, 2025

 

 

Values

 

 

Values

 

Stock price

$

17.83

 

 

$

16.64

 

Strike Price

$

11.50

 

 

$

11.50

 

Holding Period/Term (years)

 

0.33

 

 

 

0.82

 

Volatility

 

117.30

%

 

 

104.50

%

Expected dividends

 

None

 

 

 

None

 

Risk-free rate

 

3.92

%

 

 

3.52

%

Fair value of warrants

$

7.88

 

 

$

8.22

 

Schedule of reconciliation of warrant liabilities measured at fair value using significant unobservable inputs

 

 

(in thousands)

 

Balance as of December 31, 2025

 

$

33,167

 

Fair value adjustment of Private Placement Warrants

 

 

(133)

 

Reclassification of warrant liability to Common Stock warrants

 

 

(3,918)

 

Balance as of June 30, 2026

 

$

29,116

 

Schedule of fair value analysis of derivative liability related to the conversion option, valuation assumptions

 

 ​​ Various 2028 Notes

 

 

 

 

 

 Conversion Dates​

 

 

 December 31, 2025

 

Stock price volatility (transaction calibrated)

 

35.0

%

 

 

35.0

%

Holding Period/Term (years)

 

2.0 - 2.1

 

 

 

2.5

 

Stock price

$

16.52 - 21.49

 

 

$

16.64

 

Risk-free interest rate

 

4.0 - 4.2

%

 

 

3.5

%

Credit rate

 

CCC-

 

 

 

CCC-

 

Debt yield (transaction-calibrated)

 

13.8 - 14.2

%

 

 

12.6

%

Schedule of reconciliation of conversion option derivative liabilities measured at fair value using significant unobservable inputs

 

 

(in thousands)

Balance as of December 31, 2025

 

$

115,834

​​Fair value adjustment of derivative liability​

 

$

19,259

​Derecognition upon conversion of 2028 Notes

 

$

(135,093)

Balance as of June 30, 2026

 

$