v3.26.3
Fair Value Measurements
 9 Months Ended
Sep. 30, 2026
Fair Value Measurements [Abstract]  
FAIR VALUE MEASUREMENTS

13 - FAIR VALUE MEASUREMENTS

 

Recurring Fair Value Measurements

 

The following table presents fair value information as of September 30, 2026 and December 31, 2025 of the Company’s financial assets and liabilities that were accounted for at fair value on a recurring basis and indicates the fair value hierarchy of the valuation techniques the Company utilized to determine such fair value. During the three and nine months ended September 30, 2026 and 2025, there were no transfers amongst level 1, 2, and 3.

 

September 30, 2026   Total     Level 1     Level 2     Level 3  
SPAC Private Placement Warrant liability   $ 3,495       -     $ 3,495     $ -  
2025 Investor Warrant liability     417,700       -       -       417,700  
Earn-out share liability     346,200       -       -       346,200  
Total liabilities   $ 767,395       -     $ 3,495     $ 763,900  
                                 
Investments   $ 253,984             $       $ 253,984  
Total assets   $ 253,984             $       $ 253,984  

 

December 31, 2025   Total     Level 1     Level 2     Level 3  
SPAC Private Placement Warrant liability   $ 419,446       -     $ 419,446     $    
2025 Investor Warrant liability     3,191,215       -       -       3,191,215  
Convertible note option liability     -       -       -       -  
Earn-out share liability     2,543,600       -       -       2,543,600  
Total   $ 6,154,261       -     $ 419,446     $ 5,734,815  

 

The Company did not record any changes in the fair value of its investments recorded at fair value during the nine months ended September 30, 2026 (see Note 7).

 

Warrant Liabilities

 

The Company’s initial value of the SPAC Private Placement Warrant liability as of September 13, 2024, was based on a valuation model utilizing management judgment and pricing inputs from observable and unobservable markets with less volume and transaction frequency than active markets and was classified as level 3. The subsequent measurement of the SPAC Private Placement Warrants is classified as Level 2 because these warrants are economically equivalent to the Public Warrants, based on the terms of the SPAC Private Placement Warrant agreement, and as such their value is principally derived by the value of the Public Warrants. Significant deviations from these estimates and inputs could result in a material change in fair value.

 

2025 Investor Warrants

 

The Company established the initial fair value of the 2025 Investor Warrants liability as of August 14, 2025, the date of the August 2025 Public Offering. As of December 31, 2025, the fair value was remeasured using an option pricing model. The option pricing model was used to value the liability for the initial period and subsequent measurement periods.

 

The 2025 Investor Warrant liability was classified within Level 3 of the fair value hierarchy due to the use of unobservable inputs. The key inputs into the option pricing model were as follows at August 14, 2025 initial value, and at September 30, 2026 and December 31, 2025:

 

    September 30,
2026		     December 31, 2025  
Stock Price   $ 2.17     $ 12.80  
Expected term (years)     3.87       4.6  
Volatility     115.4 %     81.9 %
Risk-Free Rate     5.04 %     3.70 %

 

The following table presents the changes in fair value of the 2025 Investor Warrant liability for the nine months ended September 30, 2026:

 

Balance, beginning of period, December 31, 2025   $ 3,191,215  
Change in fair value     (2,773,515 )
Balance, end of period, September 30, 2026   $ 417,700  

 

Earn-out Share Liability

 

Following the Closing of the Business Combination, holders of certain capital stock of Private Veea immediately prior to the closing have the contingent right to receive up to 225,000 additional shares of common stock if certain trading-price based milestones of the common stock are achieved or a change of control transaction occurs during the ten-year period following the Closing. The Company’s obligation to issue the earn out shares is recorded as a contingent liability (the “Earn-out Share Liability”) in the Company’s financial statements. The initial value of the contingent Earn-out Share Liability of $53.6 million was recorded as a transaction cost within operating expenses. The fair value of the Earn-out Share Liability was estimated using a Monte Carlo simulation utilizing assumptions related to the contractual term of the instruments, estimated volatility, the price of the common stock, and current interest rates. The key inputs for the Earn-out Share Liability were as follows:

 

    September 30,     December 31,  
    2026     2025  
Stock Price   $ 2.17     $ 12.80  
Expected term (years)     8.00       8.80  
Volatility     100.5 %     81.67 %
Risk-Free Rate     5.22 %     4.08 %

 

The following table presents the changes in fair value of the Earn-Out Share Liability for the nine months ended September 30, 2026:

 

Balance, beginning of period, December 31, 2025   $ 2,543,600  
Change in fair value     (2,197,400 )
Balance, end of period, September 30, 2026   $ 346,200