v3.26.1
Note 12 - Fair Value (Tables)
6 Months Ended
Jun. 30, 2026
Notes Tables  
Schedule of Fair Value, Assets and Liabilities Measured on Recurring Basis [Table Text Block]
   

June 30, 2026

 

(in thousands)

 

Level 1

   

Level 2

   

Level 3

   

Total

 

Cash equivalents – money market funds

  $ 6,307     $     $     $ 6,307  

Common stock warrant liabilities

                16,137       16,137  

Derivative liabilities

                5,713       5,713  
   

December 31, 2025

 

(in thousands)

 

Level 1

   

Level 2

   

Level 3

   

Total

 

Cash equivalents – money market funds

  $ 2,211     $     $     $ 2,211  

Common stock warrant liabilities

                5,063       5,063  

Derivative liabilities

                3,093       3,093  

(in thousands)

 

Common Stock Warrant Liabilities

   

Derivative Liabilities

 

Balance – December 31, 2025

  $ 5,063     $ 3,093  

Initial fair value of instruments issued

    5,882        

Change in fair value

    5,192       2,620  

Balance – June 30, 2026

  $ 16,137     $ 5,713  

(in thousands)

 

Common Stock Warrant Liabilities

   

Derivative Liabilities

 

Balance – December 31, 2024

  $ 4,541     $ 1,804  

Change in fair value

    (1,995 )     (708 )

Balance – June 30, 2025

  $ 2,546     $ 1,096  
Fair Value, Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation [Table Text Block]
   

June 30,

   

May 18,

   

May 18,

   

May 11,

   

May 11,

   

December 31,

 
   

2026

   

2026(1)

   

2026(2)

   

2026(3)

   

2026(4)

   

2025

 

Expected stock price volatility

    114.20 %     113.30 %     120.50 %     112.60 %     120.40 %     107.30 %

Discount rate

    20.00 %     20.00 %     20.00 %     20.00 %     20.00 %     19.00 %

Risk-free interest rate

    4.00 %     3.90 %     3.70% – 3.80 %     3.80 %     3.70% – 3.80 %     3.50% – 3.60 %

Expected dividend yield

    0.00 %     0.00 %     0.00 %     0.00 %     0.00 %     0.00 %

Expected term (in years)

    0.21 – 1.12       0.41 – 1.24       0.32 – 0.74       0.43 – 1.26       0.34 – 0.76       0.38 – 1.12  

Probability of change of control

    30.00 %     30.00 %     5.00 %     30.00 %     5.00 %     20.00 %

Probability of default

    5.00 %     5.00 %     5.00 %     5.00 %     5.00 %     35.00 %

Probability of held to maturity

    65.00 %     65.00 %     90.00 %     65.00 %     90.00 %     45.00 %
   

June 30,

   

December 31,

 
   

2026

   

2025

 

Expected stock price volatility

    107.00% – 115.40 %     104.40% – 119.00 %

Risk-free interest rate

    4.00% – 4.10 %     3.50% – 3.60 %

Expected dividend yield

    0.00 %     0.00 %

Expected term (in years)

    1.09 – 2.00       0.50 – 2.50  

Probability of change of control

    30.00 %     20.00 %

Probability of dissolution

    30.00 %     35.00 %

Probability of held to expiration

    40.00 %     45.00 %
   

December 31,

 
   

2025

 

Expected stock price volatility

    124.00 %

Risk-free interest rate

    3.60 %

Expected dividend yield

    0.00 %

Expected term (in years)

    0.46  

Probability of NDA acceptance before warrant expiration

    0.00 %

Probability of fundamental transaction before warrant expiration

    0.00 %

Probability of dissolution before warrant expiration

    35.00 %

Probability of held to expiration

    65.00 %
   

June 30,

   

December 31,

 
   

2026

   

2025

 

Expected stock price volatility

    100.90 %     104.30 %

Risk-free interest rate

    4.20 %     3.60 %

Expected dividend yield

    0.00 %     0.00 %

Expected term (in years)

    3.25       3.75  

Probability of dissolution

    30.00 %     35.00 %

Probability of held to expiration

    70.00 %     65.00

%

   

June 30,

   

January 13,

 
   

2026

   

2026

 

Expected stock price volatility

    102.60 %     107.30 %

Risk-free interest rate

    4.10 %     3.68 %

Expected term (in years)

    0.42 – 2.54       0.46 – 3.00  

Probability of Series A Trigger Announcement

    50.00 %     35.00 %

Expected stock price increase if Series A Trigger Announcement occurs

    35.00 %     35.00 %

Expected stock price decrease if Series A Trigger Announcement does not occur

    85.00 %     85.00 %
   

June 30,

   

January 13,

 
   

2026

   

2026

 

Expected stock price volatility

    102.60 %     107.30 %

Risk-free interest rate

    4.10 %     3.68 %

Expected term (in years)

    0.92 – 4.54       0.96 – 5.00  

Probability of Series B Trigger Announcement

    35.00 %     24.00 %

Expected stock price increase if Series B Trigger Announcement occurs

    100.00 %     100.00 %

Expected stock price decrease if Series B Trigger Announcement does not occur

    95.00 %     95.00 %