v3.26.3
Note 12 - Fair Value (Tables)
9 Months Ended
Sep. 30, 2026
Notes Tables  
Schedule of Fair Value, Assets and Liabilities Measured on Recurring Basis [Table Text Block]
  

September 30, 2026

 

(in thousands)

 

Level 1

  

Level 2

  

Level 3

  

Total

 

Cash equivalents – money market funds

 $6,855  $—  $—  $6,855 

Common stock warrant liabilities

  —   —   8,644   8,644 

Derivative liabilities

  —   —   2,345   2,345 
  

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

  (2,301)  (748)

Balance – September 30, 2026

 $8,644  $2,345 

(in thousands)

 

Common Stock Warrant Liabilities

  

Derivative Liabilities

 

Balance – December 31, 2024

 $4,541  $1,804 

Initial fair value of instruments issued

  —   239 

Change in fair value

  (267)  89 

Change in fair value pursuant to the 2024 SSCPN Amendment, recorded as a debt discount

  —   687 

Balance – September 30, 2025

 $4,274  $2,819 
Fair Value, Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation [Table Text Block]
  

September 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

  93.40%  113.30%  120.50%  112.60%  120.40%  107.30%

Discount rate

  23.00%  20.00%  20.00%  20.00%  20.00%  19.00%

Risk-free interest rate

  4.50%  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)

  0.29 – 0.87   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%
  

September 30,

  

December 31,

 
  

2026

  

2025

 

Expected stock price volatility

  101.40% – 102.20%  104.40% – 119.00%

Risk-free interest rate

  4.50% – 4.80%  3.50% – 3.60%

Expected dividend yield

  0.00%  0.00%

Expected term (in years)

  0.92 – 1.75   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%
  

September 30,

  

December 31,

 
  

2026

  

2025

 

Expected stock price volatility

  104.20%  104.30%

Risk-free interest rate

  5.00%  3.60%

Expected dividend yield

  0.00%  0.00%

Expected term (in years)

  3.00   3.75 

Probability of dissolution

  30.00%  35.00%

Probability of held to expiration

  70.00%  65.00

%

  

September 30,

  

January 13,

 
  

2026

  

2026

 

Expected stock price volatility

  101.30%  107.30%

Risk-free interest rate

  4.93%  3.68%

Expected term (in years)

  0.25 – 2.29   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%
  

September 30,

  

January 13,

 
  

2026

  

2026

 

Expected stock price volatility

  101.30%  107.30%

Risk-free interest rate

  4.93%  3.68%

Expected term (in years)

  0.75 – 4.29   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%