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

Note 9. Fair Value Measurements

 

The following table presents the Company’s fair value hierarchy assets and liabilities that are measured at fair value on a recurring basis at June 30, 2026 and December 31, 2025 and indicates the fair value hierarchy of the valuation inputs the Company utilized to determine such fair value.

 

June 30, 2026  Balance Sheet Classification  Quoted Prices in Active Markets   Significant Other Observable Inputs   Significant Other Unobservable Inputs 
      (Level 1)   (Level 2)   (Level 3) 
Assets:                  
Money market funds  Cash and cash equivalents  $11,652,779   $—   $— 
                   
Liabilities:                  
Forward purchase agreement liability     $—   $—   $96,252 

 

December 31, 2025  Balance Sheet Classification   Quoted Prices in Active Markets   Significant Other Observable Inputs   Significant Other Unobservable Inputs 
         (Level 1)    (Level 2)    (Level 3) 
Liabilities:                         
Convertible notes      $—   $—   $1,146,236 
Forward purchase agreement liabilities       $—   $—   $95,662 
Derivative liability       $—   $—   $40,954 
Total liabilities       $—   $—   $1,282,852 

 

 

Convertible notes

 

As discussed in Note 5. Convertible Notes, the February 2025 Convertible Debentures are classified and accounted for as a financial liability which is measured at fair value on a recurring basis (one of the instruments is accounted for at fair value on a recurring basis under ASC 480-10, as a derivative instrument under ASC 815).

 

The financial liabilities are valued under a Monte Carlo Model. The estimated fair value of the financial liabilities component is determined using Level 3 inputs. Inherent in the pricing models are assumptions related to expected share-price volatility, expected life and risk-free interest rate.

 

The significant inputs of the models used to value the Company’s February 2025 Convertible Debentures as of December 31, 2025 were:

 

Inputs  December 31, 2025 
Term Remaining - Years   0.13 
Share Price  $0.13 
Debt Rate   12.49%

 

The change in the fair value of the February 2025 Convertible Notes measured using Level 3 inputs is summarized as follow:

 

      
Balance at, December 31, 2025  $1,146,236 
Paid in kind interest   9,008 
Change in fair value   (211,443)
Repayment of Convertible notes   (943,801)
Balance at June 30, 2026  $- 

 

Forward purchase agreement liabilities

 

As discussed in Note 6. Commitment and Contingencies, the forward purchase agreement liabilities are classified and accounted for as financial liabilities which are measured at fair value on a recurring basis.

 

The forward purchase agreements liabilities are valued under a Probability Weighted Expected Return Model (“PWERM”) which fair values reportable capital investment and uses a Black Scholes Model that fair values the conversion features within the convertible debt. The PWERM is a multistep process in which value is estimated based on the probability-weighted present value of various future outcomes. The estimated fair value of the forward purchase agreements liabilities are determined using Level 3 inputs. Inherent in the pricing models are assumptions related to expected share-price volatility, expected life and risk-free interest rate.

 

The significant inputs of the models used to value the forward purchase agreement liabilities as of June 30, 2026 and December 31, 2025 were:

 

Inputs  June 30, 2026   December 31, 2025 
Share Price  $5.34   $5.28 
Risk Free Rate   3.87% - 4.18%    3.48% - 3.59% 
Likelihood of a call   10% -20%    10% -20% 

 

 

The change in the fair value of the forward purchase agreement liabilities measured using Level 3 inputs is summarized as follows:

 

      
Balance at December 31, 2025  $95,662 
Change in fair value   590 
Balance at March 31, 2026   96,252 
Change in fair value   275 
Balance at June 30, 2026  $96,527 

 

Derivative liability

 

As discussed in Note 5. Convertible Notes, the Company accounted for the August 2025 Notes under ASC 470 and ASC 815 and concluded that bifurcation of multiple embedded features was necessary under ASC 815-15-25-1. As a result, the Company separately accounted for it as a single compound derivative. The initial fair value of the derivative liability at issuance was $4,101,583 and estimated using a Monte Carlo Model. In January 2026, the remaining balance of $163,817 of the convertible notes was converted into 1,625 shares of common stock after giving effects to the Reverse Splits (see Note 1. Business Description and Organization). For the three and six months ended June 30, 2026, change in fair value of the derivative liability of $0 and $40,954 was recorded as an income on the unaudited condensed consolidated statements of operations, respectively. At June 30, 2026 and December 31, 2025, the fair value of the derivative of $0 and $40,954, respectively, was included in derivative liability on the accompanying unaudited condensed unaudited condensed consolidated balance sheet.

 

The change in the fair value of the derivative liability measured using Level 3 inputs is summarized as follows:

 

      
Balance at December 31, 2025  $40,954 
Change in fair value   (40,954)
Balance at March 31, 2026   - 
Change in fair value   - 
Balance at June 30, 2026  $- 

 

The significant inputs of the models used to value the Company’s derivative liability as of December 31, 2025, were:

 

Inputs  December 31, 2025
Term Remaining - Years  0.14 - 0.39
Share Price  $0.10- $0.42
Risk Free Rate  3.52% - 3.92%