Fair Value Measurement (Tables)
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6 Months Ended |
Jun. 30, 2026 |
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| Fair Value, Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] |
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| Summary of Information About The Company's Consolidated Financial Instruments That Were Measured At Fair Value On A Recurring Basis |
The following tables set forth the fair value of the Company’s consolidated financial instruments that were measured at fair value on a recurring basis as of June 30, 2026 and December 31, 2025. The liabilities categorized as Level 3 within the hierarchy below represent notes payable, derivative instruments and liability-classified instruments for which the Company has elected the fair value option.
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June 30, 2026 |
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(unaudited) |
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(in thousands) |
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Level 1 |
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Level 2 |
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Level 3 |
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Total |
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Assets |
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Derivative asset |
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$ |
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— |
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$ |
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— |
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$ |
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— |
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$ |
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— |
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Total fair value of assets |
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$ |
|
— |
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$ |
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— |
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$ |
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— |
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$ |
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— |
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Liabilities |
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Streeterville Note |
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$ |
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— |
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$ |
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— |
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$ |
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7,726 |
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$ |
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7,726 |
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Series O convertible preferred stock |
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— |
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— |
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1,653 |
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1,653 |
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Commitment share liability |
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— |
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— |
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800 |
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|
800 |
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Streeterville 2 |
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— |
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— |
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|
356 |
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|
356 |
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Derivative liability |
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— |
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— |
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196 |
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196 |
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Convertible Notes |
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— |
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— |
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169 |
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169 |
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Uptown |
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— |
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— |
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93 |
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93 |
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Iliad |
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— |
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— |
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— |
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— |
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Total fair value of liabilities |
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$ |
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— |
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$ |
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— |
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$ |
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10,993 |
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$ |
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10,993 |
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December 31, 2025 |
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(in thousands) |
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Level 1 |
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Level 2 |
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Level 3 |
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Total |
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Assets |
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Derivative asset |
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$ |
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— |
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$ |
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— |
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$ |
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322 |
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$ |
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322 |
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Total fair value of assets |
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$ |
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— |
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$ |
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— |
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$ |
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322 |
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$ |
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322 |
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Liabilities |
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Streeterville Note |
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$ |
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— |
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$ |
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— |
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$ |
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8,222 |
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$ |
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8,222 |
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Streeterville 2 |
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— |
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— |
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8,580 |
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8,580 |
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Derivative liability |
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— |
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— |
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— |
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— |
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Convertible Notes |
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— |
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— |
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2,540 |
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2,540 |
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Uptown |
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— |
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— |
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11,387 |
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11,387 |
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Iliad |
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— |
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— |
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1,172 |
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1,172 |
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Total fair value of liabilities |
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$ |
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— |
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$ |
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— |
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$ |
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31,901 |
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$ |
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31,901 |
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| Summary of Change In The Estimated Fair Value Of Level 3 Asset |
The change in the estimated fair value of Level 3 asset is summarized below:
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Six Months Ended |
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June 30, 2026 |
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(unaudited) |
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(in thousands) |
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Derivative asset (liability) |
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Beginning fair value of Level 3 asset |
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$ |
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322 |
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Additions |
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— |
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Changes in fair value |
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(518 |
) |
Ending fair value of Level 3 asset (liability) |
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$ |
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(196 |
) |
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Year Ended |
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December 31, 2025 |
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(in thousands) |
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Derivative asset |
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Beginning fair value of Level 3 liability |
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$ |
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— |
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Additions |
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322 |
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Changes in fair value |
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— |
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Ending fair value of Level 3 asset |
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$ |
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322 |
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| Summary of Change In The Estimated Fair Value Of Level 3 Liabilities |
The change in the estimated fair value of Level 3 liabilities is summarized below:
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Six Months Ended |
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June 30, 2026 |
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(unaudited) |
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(in thousands) |
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Streeterville Note |
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Streeterville 2 |
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Series O Convertible Preferred Stock |
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Commitment share liability |
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Convertible Notes |
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Uptown |
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Iliad |
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Beginning fair value of Level 3 liability |
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$ |
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8,222 |
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$ |
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8,580 |
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$ |
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— |
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$ |
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— |
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$ |
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2,540 |
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$ |
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11,387 |
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$ |
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1,172 |
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Additions |
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— |
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18,223 |
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9,470 |
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800 |
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— |
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9,981 |
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— |
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Exchanges |
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— |
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(3,700 |
) |
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— |
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— |
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— |
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(113 |
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— |
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Converted |
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— |
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— |
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(8,510 |
) |
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— |
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— |
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— |
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— |
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Extinguishments |
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— |
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(22,956 |
) |
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— |
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— |
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— |
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(21,322 |
) |
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(1,172 |
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Settlements |
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— |
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— |
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— |
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— |
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(2,435 |
) |
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— |
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— |
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Changes in fair value |
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(496 |
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209 |
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693 |
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— |
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64 |
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160 |
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— |
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Ending fair value of Level 3 liability |
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$ |
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7,726 |
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$ |
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356 |
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$ |
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1,653 |
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$ |
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800 |
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$ |
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169 |
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$ |
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93 |
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$ |
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— |
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Year Ended |
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December 31, 2025 |
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(in thousands) |
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Streeterville Note |
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Streeterville 2 |
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Series O Convertible Preferred Stock |
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Commitment share liability |
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Convertible Notes |
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Uptown |
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Iliad |
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Beginning fair value of Level 3 liability |
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$ |
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11,853 |
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$ |
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8,673 |
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$ |
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— |
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$ |
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— |
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$ |
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— |
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$ |
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9,615 |
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$ |
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5,215 |
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Additions |
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— |
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— |
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— |
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— |
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1,833 |
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— |
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— |
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Exchanges |
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— |
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(3,234 |
) |
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— |
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— |
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(227 |
) |
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(1,210 |
) |
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(5,900 |
) |
Converted |
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— |
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— |
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— |
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— |
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(926 |
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— |
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— |
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Extinguishments |
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— |
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— |
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— |
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— |
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— |
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— |
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(7 |
) |
Settlements |
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— |
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— |
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— |
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— |
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(50 |
) |
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— |
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— |
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Changes in fair value |
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(3,631 |
) |
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3,141 |
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— |
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— |
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1,910 |
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2,982 |
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1,864 |
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Ending fair value of Level 3 liability |
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$ |
|
8,222 |
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|
$ |
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8,580 |
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|
$ |
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— |
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$ |
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— |
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|
$ |
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2,540 |
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$ |
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11,387 |
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$ |
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1,172 |
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| Summary of Information About The Significant Unobservable Inputs Used In Level 3 Fair Value Measurements For Instruments Not Classified As Hybrid Instruments |
The following table summarizes the quantitative information about the significant unobservable inputs used in Level 3 fair value measurement for the remaining instruments that are not classified as hybrid instruments:
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Range of inputs |
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(probability-weighted average) |
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Relationship of unobservable inputs |
Unobservable inputs |
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June 30, 2026 |
December 31, 2025 |
to fair value |
Risk adjusted discount rate |
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9.5% - 32.30% (32.30%) |
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8.9% - 26.00% (26.00%) |
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If discount rate is adjusted to a total of an additional 100 bps, fair value would have decreased by $2.54 million.
If discount rate is adjusted to a total deduction of 100 bps, fair value would have increased by $2.88 million. |
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| Summary of The Fair Value And Unpaid Principal Balance For Items The Company Accounts For Under FVO |
The following tables summarize the fair value and outstanding balance for items the Company accounts for under FVO:
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Fair value |
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Unpaid Principal Balance |
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Accrued Interest |
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Fair Value Over (Under) Outstanding Balance |
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(in thousands) |
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(unaudited) |
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At June 30, 2026 |
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Streeterville Note |
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$ |
|
7,726 |
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|
$ |
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6,570 |
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|
$ |
|
— |
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|
$ |
|
1,156 |
|
Streeterville 2 |
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|
356 |
|
|
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|
364 |
|
|
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— |
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(8 |
) |
Convertible Notes |
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|
169 |
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|
152 |
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17 |
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— |
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Uptown |
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|
93 |
|
|
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|
96 |
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|
1 |
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(4 |
) |
Iliad |
|
$ |
|
— |
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|
$ |
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— |
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$ |
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— |
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$ |
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— |
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(in thousands) |
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Fair value |
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Unpaid Principal Balance |
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Accrued Interest |
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Fair Value Over (Under) Outstanding Balance |
|
At December 31, 2025 |
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|
Streeterville Note |
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$ |
|
8,222 |
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|
$ |
|
6,000 |
|
|
$ |
|
1,036 |
|
|
$ |
|
1,186 |
|
Streeterville 2 |
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8,580 |
|
|
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6,953 |
|
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|
2,649 |
|
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|
(1,022 |
) |
Convertible Notes |
|
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|
2,540 |
|
|
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|
2,572 |
|
|
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41 |
|
|
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|
(73 |
) |
Uptown |
|
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|
11,387 |
|
|
|
|
13,563 |
|
|
|
|
5,988 |
|
|
|
|
(8,164 |
) |
Iliad |
|
$ |
|
1,172 |
|
|
$ |
|
— |
|
|
$ |
|
1,183 |
|
|
$ |
|
(11 |
) |
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| Derivative Asset |
|
| Fair Value, Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] |
|
| Summary of Information About The Significant Unobservable Inputs Used In Level 3 Fair Value Measurements |
The following table summarizes the quantitative information about the significant unobservable inputs used in the Level 3 fair value measurement for the derivative instrument:
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Range of inputs |
|
|
|
|
(probability-weighted average) |
|
Relationship of unobservable inputs |
Unobservable inputs |
|
June 30, 2026 |
December 31, 2025 |
to fair value |
Option-adjusted spread |
|
9.4% - 25.10% (25.10%) |
|
5.40% - 7.40% (6.40%) |
|
If discount rate is adjusted to a total of an additional 100 bps, fair value would have increased by $105,000.
If discount rate is adjusted to a total deduction of 100 bps, fair value would have decreased by $101,000. |
The fair value of the Series O convertible preferred stock recognized as a Level 3 asset at the date of issuance and as of June 30, 2026, amounted to $9.5 million and $1.7 million, respectively. The fair value was estimated using a discounted cash flow technique consisting of a 30.00% risk-adjusted discount rate, which reflects the Company's credit risk profile and expected settlement mechanics. Sensitivities to changes in the unobservable input indicate that an increase in the discount rate would result in a significantly lower fair value liability, whereas a decrease would result in a significantly higher fair value liability. The fair value of the commitment share liability recognized as a Level 3 asset at the date of issuance and as of June 30, 2026, amounted to $800,000. The fair value reflects the fixed contractual settlement amount given the proximity to the reporting date and the imminent conversion into common stock.
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| Streeterville Note |
|
| Fair Value, Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] |
|
| Summary of Information About The Significant Unobservable Inputs Used In Level 3 Fair Value Measurements |
The following table summarizes the quantitative information about the significant unobservable inputs used in Level 3 fair value measurement for the Streeterville Note:
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|
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Range of inputs |
|
|
|
|
(probability-weighted average) |
|
Relationship of unobservable inputs |
Unobservable inputs |
|
June 30, 2026 |
December 31, 2025 |
to fair value |
Risk adjusted discount rate |
|
9.43% - 29.52% (29.52%) |
|
8.85% - 28.67% (28.67%) |
|
If discount rate is adjusted to a total of an additional 100 basis points (bps), fair value would have decreased by $262,000.
If discount rate is adjusted to a total deduction of 100 bps, fair value would have increased by $262,000. |
Sales proceeds: Amount of comparable TDPRV |
|
$67.5 million to $350.0 million ($100 million) |
|
$67.5 million to $350.0 million ($110 million) |
|
If expected cash flows by Management considered the highest amount of market indications for vouchers, FV would have decreased by $509,000.
If expected cash flows by Management considered the lowest amount of market indications for vouchers, FV would have increased by $2.89 million. |
Range of probability for timing of cash flows:
Variations of the terms and conditions of the timing of cash flows, including settlement of the note principal, interest, penalties, and acceleration clause |
|
0.00%-85.00% |
|
0.00%-50.00% |
|
If expected cash flows by Management considered the Scenario with the least amount of indicated value, FV would have decreased by $254,000.
If expected cash flows by Management considered the Scenario with the most significant amount of indicated value, FV would have increased by $1.77 million. |
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| Convertible Promissory Notes |
|
| Fair Value, Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] |
|
| Summary of Information About The Significant Unobservable Inputs Used In Level 3 Fair Value Measurements |
The following table summarizes the quantitative information about the significant unobservable inputs used in Level 3 fair value measurement for the Convertible Promissory Notes:
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|
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|
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|
Range of inputs |
|
|
|
|
(probability-weighted average) |
|
Relationship of unobservable inputs |
Unobservable inputs |
|
June 30, 2026 |
December 31, 2025 |
to fair value |
Risk adjusted discount rate |
|
8.9% - 23.51% (23.51%) |
|
8.9% - 23.51% (23.51%) |
|
If discount rate is adjusted to a total of an additional 100 bps, fair value would have decreased by $2,000.
If discount rate is adjusted to a total deduction of 100 bps, fair value would have increased by $2,000. |
|