v3.26.1
Fair value Measurements
 6 Months Ended
Jun. 30, 2026
Fair Value Measurements [Abstract]  
Fair Value Measurements
3. FAIR VALUE MEASUREMENTS

 

The carrying amounts reflected in the condensed consolidated balance sheets for prepaid expenses, accounts payable and accrued expenses and other liabilities are shown at their historical values which approximate their fair values.

 

The following tables present the financial instruments carried at fair value on a recurring basis:

 

    As at June 30, 2026  
    Level 1     Level 2     Level 3     Total  
Assets                        
Cash equivalents   $ 9,948,952     $ -     $ -     $ 9,948,952  
                                 
Liabilities                                
Derivative liability instrument   $ -     $ -     $ 6,109,030     $ 6,109,030  

  

    As at December 31, 2025  
    Level 1     Level 2     Level 3     Total  
Assets                        
Cash equivalents   $ 4,027,862     $ -     $ -     $ 4,027,862  
                                 
Liabilities                                
Derivative liability instrument   $ -     $ -     $ 3,028,401     $ 3,028,401  

 

Cash equivalents primarily represent funds invested in readily available money market securities.

 

As at June 30, 2026, derivative liability instrument includes contingent warrant liability and the contingent put option liability under the Share Purchase Agreement (Note 6) as well as contingent conversion option under the Avenue Capital Loan Agreement (Note 8). The fair value of the warrant liability was $5.5 million, the fair value of the contingent put option liability was $0.15 million and fair value of contingent conversion option was $0.436 million as at June 30, 2026.

 

As at December 31, 2025, derivative liability instrument includes contingent warrant liability and the contingent put option liability under the Share Purchase Agreement (Note 6). The fair value of the warrant liability was $2.8 million and the fair value of the contingent put option liability was $0.2 million at December 31, 2025.

 

 The following table summarizes the activity related to Level 3 financial liabilities for the six months ended June 30, 2026:

 

    Derivative
Liability
Instrument		  
Fair value at December 31, 2025   $ 3,028,401  
Addition to derivative liability for conversion option under Avenue Capital Loan Agreement     436,622  
Decrease in fair value of derivative liability for conversion option under Avenue Capital Loan Agreement     (347 )
Decrease in fair value of put option liability under Share Purchase Agreement     (50,034 )
Increase in fair value of warrant derivative liability under Share Purchase Agreement     2,694,388  
Fair value at June 30, 2026   $ 6,109,030  

 

As at June 30, 2026 and December 31, 2025, the warrant liability value for the warrant issued to investor under the Share Purchase Agreement (Note 6) was determined using a Monte Carlo simulation. Inputs used in the Monte Carlo simulation are as below:

 

   

As at
June 30,

2026

     As at
December 31,
2025		  
Risk-free interest rate     4.15 %     3.54 %
Dividend yield     -       -  
Term (years)     2.28       2.77  
Annual volatility     94.7 %     94.4 %
Closing stock price   $ 7.30       3.94  

 

 

As at June 30, 2026 and December 31, 2025, the put contract derivative liability was remeasured using a Black-Scholes option valuation model, followed by a series of contractual adjustments. Inputs used in Black-Scholes model were as follows:

 

   

As at
June 30,

2026

     As at
December 31,
2025		  
Risk-free interest rate     4.15 %     3.61 %
Dividend yield     -       -  
Term (years)     2.28       2.77  
Annual volatility     94.7 %     87.7 %
Closing stock price   $ 7.30       3.94  

 

As at June 30, 2026, the conversion derivative liability value for the conversion option under the Avenue Capital Loan Agreement (Note 8) was determined using a Monte Carlo simulation. Inputs used in the Monte Carlo simulation are as below:

 

   

As at
June 30,

2026

     As at
March 31,
2026		  
Risk-free interest rate     4.17 %     3.87 %
Dividend yield     -       -  
Term (years)     3.26       3.50  
Annual volatility     90.8 %     88.5 %
Closing stock price   $ 7.30       3.20