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

11. Fair Value Measurements

 

The following table presents the Company’s assets and liabilities that are measured at fair value on a recurring basis, inclusive of related party (in thousands):

 

   Level 1   Level 2   Level 3   Total 
   June 30, 2026 
   Level 1   Level 2   Level 3   Total 
Assets:                    
Money market funds   35    -    -    35 
Total assets, at fair value  $35   $-   $-   $35 
Liabilities:                    
Business Combination Warrants  $-   $-   $20   $20 
PIPE Warrants   -    -    4    4 
Total liabilities, at fair value  $-   $-   $24   $24 

 

   Level 1   Level 2   Level 3   Total 
   December 31, 2025 
   Level 1   Level 2   Level 3   Total 
Assets:                    
Money market funds  $35   $-   $-   $35 
Bitcoin   506    -    -    506 
Total assets, at fair value  $541   $-   $-   $541 
Liabilities:                    
Business Combination Warrants  $-   $-   $60   $60 
PIPE Warrants   -    -    11    11 
2024 SEPA put option liability   -    -    186    186 
Total liabilities, at fair value  $-   $-   $257   $257 

 

Business Combination Warrants and PIPE Warrants

 

The following table presents the changes in the Business Combination Warrants and PIPE Warrants measured at fair value during the three and six months ended June 30, 2026 (in thousands):

 

  

Business

Combination

Warrants

   PIPE Warrants 
Balance, December 31, 2025  $       60   $     11 
Changes in fair value   (14)   (2)
Balance, March 31, 2026  $46   $9 
Changes in fair value   (26)   (5)
Balance, June 30, 2026  $20   $4 

 

 

The Company remeasured the fair value of the Business Combination Warrants and PIPE Warrants at June 30, 2026 using the Black-Scholes option-pricing model with the following assumptions:

 

   Warrants   Warrants 
   As of June 30, 2026 
   PIPE   Business Combination 
   Warrants   Warrants 
Stock price  $0.71   $0.71 
Exercise price  $10.00   $11.50 
Expected volatility   91.9%   91.9%
Weighted average risk-free rate   4.1%   4.1%
Expected dividend yield   0.0%   0.0%
Expected term (in years)   2.36    2.36 

 

The Company remeasured the fair value of the Business Combination Warrants and PIPE Warrants at December 31, 2025 using the Black-Scholes option-pricing model with the following assumptions:

 

   Warrants   Warrants 
   As of December 31, 2025 
   PIPE   Business
Combination		 
   Warrants   Warrants 
Stock price  $1.10   $1.10 
Exercise price  $10.00   $11.50 
Expected volatility   85.0%   85.0%
Weighted average risk-free rate   3.5%   3.5%
Expected dividend yield   0.0%   0.0%
Expected term (in years)   2.85    2.85 

 

2024 SEPA Derivative Liability

 

The following table presents the changes in the SEPA derivative liabilities measured at fair value during the three and six months ended June 30, 2026 (in thousands):

 

  

2024 SEPA

Put
Option

   2024 SEPA Forward
Option		 
Balance, December 31, 2025  $186   $- 
Changes in fair value   (112)   (67)
Conversions to Common Stock   -    67 
Balance, March 31, 2026  $74   $- 
Changes in fair value   (74)   8 
Conversions to Common Stock   -    (8)
Balance, June 30, 2026  $-   $- 

 

 

The estimated fair value of the 2024 SEPA put option derivative liability was determined using a Monte Carlo simulation model in order to project the future path of the Company’s stock price over the commitment period with the following assumptions at December 31, 2025:

 

   As of 
  

December 31,

2025

 
Term (in years)   0.5 
Starting stock price  $1.10 
Expected volatility   144.0%
Risk-free rate   3.6%

 

 

The 2024 SEPA forward option liability was deemed to have no value at December 31, 2025 as there were no outstanding notices for the sale of the Company’s Common Stock.

 

The commitment period under the 2024 SEPA expired in June 2026, therefore, the 2024 SEPA derivative liability balances were $0 at June 30, 2026.