v3.26.1
Fair Value Measurements (Tables)
6 Months Ended
Jun. 30, 2026
Fair Value Measurements [Abstract]  
Schedule of Assets and Liabilities Measured at Fair Value

The following table presents assets and liabilities measured at fair value by classification within the fair value hierarchy:

 

June 30, 2026

in thousands

 

Level I

 

Level II

 

Level III

Assets:

 

 

   

 

   

 

 

Money Market Funds

 

$

1,675

 

$

 

$

Liabilities:

 

 

   

 

   

 

 

Convertible Debentures

 

$

 

$

 

$

17,395

 

December 31, 2025

in thousands

 

Level I

 

Level II

 

Level III

Assets:

 

 

   

 

   

 

 

Money Market Funds

 

$

11,671

 

$

 

$

Liabilities:

 

 

   

 

   

 

 

July Investment Agreement Derivative

 

$

 

$

 

$

379,205

CPU Share Allocation Obligation

 

$

 

$

 

$

292,680

Schedule of Fair Value Using Significant Unobservable Inputs

The following table provides a reconciliation of the beginning and ending balance associated with the liabilities measured at Level III fair value using significant unobservable inputs for the six months ended June 30, 2026:

in thousands

 

July Investment
Agreement
Derivative

 

CPU Share
Allocation
Obligation

Balance, December 31, 2025

 

$

379,205

 

 

$

292,680

 

Change in fair value

 

 

234,739

 

 

 

190,488

 

Settlements (equity-based)

 

 

(588,944

)

 

 

(296,403

)

Reclassification out of Level III

 

 

(25,000

)

 

 

(186,766

)

Balance, June 30, 2026

 

$

 

 

$

 

in thousands

 

Convertible
Debentures

Balance, December 31, 2025

 

$

 

Issuance

 

 

19,400

 

Change in fair value

 

 

(1,671

)

Change in fair value – credit risk

 

 

(334

)

Balance, June 30, 2026

 

$

17,395

 

Schedule of July Investment Agreement Derivative and CPU Share Allocation Obligations

The Company utilized the following assumptions to value the July Investment Agreement Derivative:

 

December 31,
2025

Expected Business Combination date

 

January 5, 2026

Term (years)

 

0.01

Risk free rate

 

3.7%

CCC credit rating

 

15.7%

Present value factor

 

1.00

Probability of Business Combination close

 

90.0%

Market adjustment(1)

 

45.5%

Expected Company fully diluted ownership of New EM

 

96.5%

Additional share allocation percentage

 

10.0%

____________

(1)      Market adjustment inherently considers probability of Business Combination close and post Business Combination close price movements to the New EM common share price per share.

The Company utilized the following assumptions to value the CPU Share Allocation Obligations as of the balance sheet dates:

 

December 31,
2025

Expected Business Combination date

 

January 5, 2026

Term (years)

 

0.01

Risk free rate

 

3.7%

Present value factor

 

1.00

Probability of Business Combination close

 

NA

Market adjustment(1)

 

45.5%

Expected Company fully diluted ownership of New EM

 

96.5%

Additional share allocation percentages

 

11.28%

____________

(1)      Market adjustment inherently considers probability of Business Combination close and post Business Combination close price movements to the New EM common share price per share.

The Company utilized the following assumptions to value the Convertible Debentures:

 

June 30,
2026

Principal outstanding

 

$

20,000,000

 

Remaining term (years)

 

 

1.36

 

Company common stock price

 

$

6.61

 

Equity volatility

 

 

81.2

%

Risk-free rate

 

 

4.0

%

Discount rate

 

 

21.3

%

Payment Premium

 

 

5.0

%