v3.26.1
Fair Value of Financial Instruments (Tables)
 6 Months Ended
Jun. 30, 2026
Fair Value of Financial Instruments [Abstract]  
Fair Value of Conversion Option Liability and Warrants Liabilities Activity during the period is summarized below:
 
 
Fair Value of
Conversion Option Liability
 
 
Fair Value
of
Warrants
Liabilities
 
Balance at December 31, 2025
 
$
2,014,000
 
 
$
4,943,000
 
Change in fair value other than modification
 
 
(1,112,413
)
 
 
(4,084,000
)
Change in fair value related to March 19, 2026 modification
 
 
(401,000
)
 
 
(1,801,000
)
Issuance of Series D-1 Warrants
 
 
—
 
 
 
2,202,000
 
Conversion of convertible note
 
 
(12,587
)
 
 
—
 
Change in fair value other than modification
 
 
(219,000
)
 
 
(545,000
)
Reclassification to equity upon April 29, 2026 shareholder approval
 
 
(269,000
)
 
 
(715,000
)
Balance at April 29, 2026 reclassification
 
$
—
 
 
$
—
 
Fair Value Estimated Using Black-Scholes Option Pricing Model
The fair values of the Conversion Option liability and Warrants liabilities were estimated using the Black-Scholes option pricing model with Level 3 inputs, with the following assumptions immediately prior to the reclassification on April 29, 2026:
 
 
 
Conversion
Option
Liability
 
 
Warrants
Liabilities
 
Expected term (in years)
 
 
2.52
 
 
 
2.52
 
Risk‑free interest rate
 
 
3.8
%
 
 
3.8
%
Dividend yield
 
 
—
%
 
 
—
%
Expected volatility
 
 
30
%
 
 
30
%
Exercise price
 
$
14.60
 
 
 
$11.60-22.00
 
Stock price
 
$
7.40
 
 
$
7.40
 
 
 
 
 
 
 
 
 
 
Black-Scholes value
 
$
0.26
 
 
 
$0.04-0.56