Fair Value Measurements |
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| Fair Value Measurements | (4) Fair Value Measurements Fair value measurements discussed herein are based upon certain market assumptions and pertinent information available to management as of the dates of the Company’s consolidated balance sheets herein. The carrying amount of cash, grant receivable, prepaid expenses and other current assets, accounts payable and accrued expenses, and deferred grant income approximated their fair value due to their short-term or fixed arrangements nature. Warrant liabilities and contingent considerations are recorded based on their fair value. Warrant Liability. The Company’s warrant liability has been recorded at fair value which is considered a Level 3 measurement on the fair value hierarchy due to the significant unobservable inputs used in the valuation. The fair value of the warrant liability at issuance and at December 31, 2024, was determined using a Monte Carlo simulation model within a risk-neutral framework to reflect factors such as probability weighted outcomes regarding a requisite stockholder approval date and a date of a potential de-listing of the Company’s stock from Nasdaq. This widely accepted Monte Carlo modeling approach is used to value complex instruments, including warrants with strike price resets and anti-dilution provisions. Fair value of the warrant liability as of June 30, 2026, was determined using the Black-Scholes valuation model which the Company deemed appropriate as both the exercise price of the warrants and the number of shares issuable were known, no longer requiring use of a simulation model. (4) Fair Value Measurements (continued) The table below lists key assumptions used in the valuations of the warrant liability as of June 30, 2026, and December 31, 2025. The $330,526 fair value of the Series C Warrants as of June 30, 2026, was a decrease of $103,873 from December 31, 2025, which decrease was recorded as change in fair value of warrant liability.
Convertible Note. The Company has elected to record the First Convertible Note (as defined in Note 9) at fair value in accordance with ASC 825 at the date of issuance and in subsequent reporting periods. The estimated fair value of the First Convertible Note represents a Level 3 measurement due to the use of significant unobservable inputs. The valuation was based on a lattice model, with inputs including underlying stock price of $8.91 per share, an exercise price of $10.71 per share, a floor price of $1.72, per share, volatility of 155%, a remaining term of 1.5 years, and a risk-free interest rate of 3.66%. The Company has elected to present the entire change in fair value of the convertible note, including the component related to accrued interest, in a single line item in its consolidated statements of operations. Because of the short amount of time between the issuance of the First Convertible Note and the date of the balance sheet in this Quarterly Report on Form 10-Q, the Company did not record any change in the fair value of the First Convertible Note between those dates. The fair value of the First Convertible Note will be remeasured at each balance sheet date of future reporting periods. Contingent Consideration. The Company incurred a contingent consideration liability in connection with the Acquisition. It records this liability at fair value which is considered a Level 3 measurement on the fair value hierarchy due to the significant unobservable inputs used in valuation of the contingent consideration liability such as the probability of milestone events being achieved and the time to payment of potential milestone events. The four milestone events, all related to Seviprotimut-L, their expected achievement dates, and their related payments are:
The fair value of the contingent consideration liability at issuance and at June 30, 2026, was determined using a discounted cash flow analysis. The table below lists key assumptions used in the valuations as of June 30, 2026, and December 31, 2025. The fair value of the contingent consideration at June 30, 2026, was an increase of $101 thousand from December 31, 2025, which increase was recorded as change in fair value of contingent consideration. (4) Fair Value Measurements (continued)
The following tables present the Company’s assets and liabilities that are measured at fair value on a recurring basis as of the dates indicated. June 30, 2026
December 31, 2025
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