v3.26.1
Fair Value of Financial Instruments
 6 Months Ended
Jun. 30, 2026
Fair Value of Financial Instruments [Abstract]  
Fair Value of Financial Instruments
4. Fair Value of Financial Instruments
 
The Company has certain financial assets and liabilities recorded at fair value. Fair values determined by Level 1 inputs utilize observable data such as quoted prices in active markets. Fair values determined by Level 2 inputs utilize data points other than quoted prices in active markets that are observable either directly or indirectly. Fair values determined by Level 3 inputs utilize unobservable data points in which there is little or no market data, which require the reporting entity to develop its own assumptions. The carrying amounts reflected in the consolidated balance sheets for cash equivalents, accounts payable and accrued expenses approximate their carrying value due to their short-term nature. There were no level 1 or 2 assets or liabilities at June 30, 2026 or December 31, 2025. See below for Fair Value of Derivatives related to Convertible Notes Payable at June 30, 2026 and December 31, 2025, which are level 3 liabilities.
 
Level 3 assets and liabilities measured and recorded at fair value on a recurring basis at June 30, 2026 and December 31, 2025 were as follows:
 
              
 
 June 30,
2026		  
 December 31,
2025		 
Derivative Liability – Contingent Interest April Note
 $ 2,669,000    $ 1,680,000 
Derivative Liability – Contingent Interest September Note
 $ 1,339,000    $ 924,000 
Derivative Liability – Contingent Interest December Note
 $ 2,127,000    $ 1,358,000 
 
The April Note derivative liability – contingent interest was valued using a Monte Carlo Geometric Brownian Stock Path Model. The key assumptions used in the model at June 30, 2026 and December 31, 2025 are as follows:
 
               
 
 June 30,
2026		  
 December 31,
2025		  
Stock Price
 $ 4.64    $ 4.16  
Conversion Price of conversion feature
 $ 5.00    $ 5.00  
Term
   1.0 year      1.5 years  
Risk Free Interest Rate
   3.98 %    3.48 %
Credit Adjusted Discount Rate
   13.44 %    12.03 %
Volatility
   92.5 %    113 %
Dividend Rate
   0 %    0 %
 
The roll forward of the April Note derivative liability – contingent interest is as follows for the six months ended June 30, 2026 and 2025:
 
     
Balance – December 31, 2025
 $ 1,680,000 
Fair Value Adjustment
   989,000 
Balance – June 30, 2026
 $ 2,669,000 
       
Balance – December 31, 2024
 $ 47,000 
Fair Value Adjustment
   603,000 
Balance – June 30, 2025
 $ 650,000 
The September Note derivative liability – contingent interest was valued using a Monte Carlo Geometric Brownian Stock Path Model. The key assumptions used in the model at June 30, 2026 and December 31, 2025 are as follows:
 
               
 
 June 30,
2026		  
 December 31,
2025		  
Stock Price
 $ 4.64    $ 4.16  
Conversion Price of conversion feature
 $ 8.64    $ 8.64  
Term
   1.0 year      1.5 years  
Risk Free Interest Rate
   3.98 %    3.48 %
Credit Adjusted Discount Rate
   13.44 %    12.03 %
Volatility
   92.5 %    113 %
Dividend Rate
   0 %    0 %
 
The roll forward of the September Note derivative liability – contingent interest is as follows:
 
     
Balance – December 31, 2025
 $ 924,000 
Fair Value Adjustment
   415,000 
Balance – June 30, 2026
 $ 1,339,000 
       
Balance – December 31, 2024
 $ 94,000 
Fair Value Adjustment
   204,000 
Balance – June 30, 2025
 $ 298,000 
 
The December Note derivative liability – contingent interest was valued using a Monte Carlo Geometric Brownian Stock Path Model. The key assumptions used in the model at June 30, 2026 and December 31, 2025 are as follows:
 
               
 
 June 30,
2026		  
 December 31,
2025		  
Stock Price
 $ 2.79    $ 4.16  
Conversion Price of conversion feature
 $ 5.43    $ 5.43  
Term
   1.0 year      1.5 years  
Risk Free Interest Rate
   3.98 %    3.48 %
Credit Adjusted Discount Rate
   13.44 %    12.03 %
Volatility
   92.5 %    113 %
Dividend Rate
   0 %    0 %
 
The roll forward of the December Note derivative liability – contingent interest is as follows:
 
     
Balance – December 31, 2025
 $ 1,358,000 
Fair Value Adjustment
   769,000 
Balance – June 30, 2026
 $ 2,127,000 
       
Balance – December 31, 2024
 $ 275,000 
Fair Value Adjustment
   314,000 
Balance – June 30, 2025
 $ 589,000