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

5. Fair Value

 

The following table presents, as of June 30, 2026, the Company’s assets and liabilities subject to measurement at fair value on a recurring basis (in thousands):

 

   Fair Value Measurements as of June 30, 2026 
   Level 1   Level 2   Level 3   Total 
Assets:                                  
Cash equivalents  $-   $-   $-   $- 
Total Assets  $-   $-   $-   $- 
                     
Liabilities:                    
Convertible notes payable, at fair value  $-   $-   $1,137   $1,137 
Derivative warrant liability  $-   $264   $-   $264 
Total Liabilities  $-   $264   $1,137   $1,401 

 

The following table presents as of December 31, 2025 the Company’s assets and liabilities subject to measurement at fair value on a recurring basis (in thousands):

 

   Fair Value Measurements as of December 31, 2025 
   Level 1   Level 2   Level 3   Total 
Assets:                               
Cash equivalents  $739   $-   $-   $739 
Total Assets  $739   $-   $-   $739 
                     
Liabilities:                    
Convertible notes payable, at fair value  $-   $-   $660   $660 
Total Liabilities  $-   $-   $660   $660 

 

 

The following table presents additional information about the Convertible Notes Payable subject to measurement at fair value on a recurring basis and warrant liabilities, for which the Company used significant unobservable inputs (Level 3) (in thousands):

 

  

Convertible

Notes Payable

 
Balance as of December 31, 2025  $             660 
Fair value at issuance   1,606 
Conversion of convertible notes   (681)
Interest expense   126 
Cash repayment   (186)
Change in fair value   (388)
Balance as of June 30, 2026  $1,137 

 

During the six months ended June 30, 2026, there were no transfers between Level 1 and Level 2, nor into or out of Level 3.

 

Convertible Notes Payable

 

During November 2024, the Company issued to Alliance Global Partners (“A.G.P.”) a convertible promissory note (the “A.G.P. Convertible Note”) in the principal amount of $5.7 million to evidence the A.G.P.’s currently owed deferred commission payable. The A.G.P. Convertible Note has been repaid in full as of June 30, 2026.

 

As discussed in Note 3 and Note 7, during March 2026, the Company issued to Ascent a convertible promissory note (the “Ascent Note”) in the principal amount of $0.6 million. Subsequently, in June 2026 the Company repaid the outstanding indebtedness of the Ascent Note of $0.4 million and issued the J.J. Astor Note in the principal amount of $2.0 million, and received net proceeds of $1.5 million, funded in two tranches during June 2026.

 

The Company elected to account for the Ascent Note, the A.G.P. Convertible Note, and the JJ Astor Convertible Note (collectively the “Convertible Notes Payable”) at fair value. The fair value of the Convertible Notes Payable is estimated each period using a discounted cash flow model in conjunction with a Bond plus Call model. Significant estimates in the binomial lattice model include the Company’s stock price, volatility, risk-free rate, corporate bond yield, credit spread, probability of default, and recovery upon default.

 

The following table outlines the range of significant unobservable inputs used in calculating the fair value of the A.G.P. Convertible Note as of May 29, 2026, when the note was paid off in full, and December 31, 2025:

 

   May 29, 2026   December 31, 2025 
Stock Price  $10.40   $32 
Term (years)   0.15    0.40 
Corporate bond yield   16.3%   5.5%
Credit Spread   26.2%   26.2%
Probability of default   70%   70%
Recovery upon default   0%   0%
Volatility   194%   135%

 

 

Due to the close proximity between the inception of the J.J. Astor Note and June 30, 2026, the Company believes the fair value of the J.J. Astor Note on June 11, 2026 approximates the fair of the J.J. Astor Note on June 30, 2026. As such, the Company did not obtain an additional valuation on June 30, 2026. The following table outlines the range of significant unobservable inputs used in calculating the fair value of the J.J. Astor Note as of June 11, 2026:

 

   June 11, 2026 
Stock Price  $              7.20 
Term (years)   .52 
Market yield   30.56%
Probability of default   57.5%
Recovery upon default   20%
Volatility   172%