v3.26.1
Note 8 - Fair Value Measurement
 6 Months Ended
Jun. 30, 2026
Notes to Financial Statements  
Derivative Instruments and Hedging Activities Disclosure [Text Block]

8. FAIR VALUE MEASUREMENT

 

Warrant Liabilities

 

The Company determined that the North Run Warrants should be accounted for as Level 3 warrant liabilities and carried at their fair value computed using a Black-Scholes call option model. 

 

In connection with the North Run Private Placement, the Company determined it should classify warrants to purchase an aggregate 2,895,709 shares of common stock (the “Historical Warrants”)  as Level 3 warrant liabilities and carried at fair value using a Black-Scholes call option model pursuant to the analysis of a certain tender offer provision (the “Tender Offer Provision”) within the Historical Warrants wherein, in the event of a cash tender or exchange offer made to and accepted by holders of more than 50% of the outstanding shares of the Company’s common shares, all holders of the warrants would be entitled to receive cash for their warrants.

 

The following table summarizes the Black-Scholes assumptions used during the three and six months ended June 30, 2026:

 

  

For the Three Months Ended June 30, 2026

  

For the Six Months Ended June 30, 2026

 

Risk free interest rate

  

3.92% - 4.17%

   

3.68% - 4.17%

 

Expected term (years)

  0.31 - 3.60   0.31 - 3.85 

Expected volatility

  

43.96% - 61.98%

   

43.38% - 61.98%

 

Expected dividends

  

0.00%

   

0.00%

 

 

The following table sets forth a summary of the changes in the fair value of Level 3 warrant liabilities that are measured at fair value on a recurring basis:

 

Beginning balance as of January 1, 2026

 $3,004,416 

Change in fair value of warrant liabilities

  2,069,131 

Ending balance on June 30, 2026

 $5,073,547