v3.26.1
Fair Value Measurements (Tables)
6 Months Ended
Jun. 30, 2026
Fair Value Measurements [Abstract]  
Schedule of Fair Value of the Milestone Warrant Liability

 

The following table summarizes the key quantitative inputs utilized in the Monte Carlo simulation to estimate the fair value of the Milestone warrant rights liability as of June 11, 2026, June 30, 2026 and December 31, 2025: 

 

Valuation Input   As of
June 11,
2026
    As of
June 30,
2026
    As of
December 31,
2025
 
Underlying Stock Price (1)     3.31     $ 2.84        
Exercise Price     2.7489     $ 2.7489        
Expected Volatility     65 %     65 %      
Risk-Free Interest Rate     3.78 %     3.91 %      
Expected Term (Years)     5       5        
Probability of Milestone Achievement     90 %     90 %      
Expected Dividend Yield     0 %     0 %      

 

(1)

The Company grossed up the observed closing common stock price of $2.98 and $2.56 per share as of June 11, 2026 and June 30, 2026 by the estimated 90% probability of achieving the milestone in order to estimate the implied share price under a milestone-success scenario.

Schedule of Milestone Warrant Liability

The following table presents the changes in the fair value of the Level 3 Milestone warrant rights liability for the six months ended June 30, 2026 and 2025 (in thousands):

 

Milestone Warrant rights Liability Reconciliation   2026     2025  
Balance at Beginning of Period   $        
Initial fair value of Milestone warrant rights issued     32,092        
Change in fair value recognized in other income (expenses)     (8,280 )      
Warrants exercised / settled during the period            
Balance at End of Period   $ 23,812