v3.26.1
Fair Value Measurements (Tables)
3 Months Ended
Mar. 31, 2026
Fair Value Measurements [Abstract]  
Schedule of Financial Liabilities that are Measured at Fair Value on a Recurring Basis

The following table presents information about the Company’s financial liabilities that are measured at fair value on a recurring basis as of March 31, 2026 and December 31, 2025, by level within the fair value hierarchy (in thousands):

 

   Fair value measured as of March 31, 2026 
   Fair   Quoted
prices
   Significant
other
   Significant 
   value at
March 31, 2026
   in active
markets
(Level 1)
   observable 
inputs
(Level 2)
   unobservable
inputs
(Level 3)
 
Warrant liabilities  $12,535   $4,723   $
      -
   $7,812 
   $12,535   $4,723   $
-
   $7,812 

 

   Fair value measured as of December 31, 2025 
   Fair   Quoted
prices
   Significant
other
   Significant 
   value at
December 31,
2025
   in active
markets
(Level 1)
   observable
inputs
(Level 2)
   unobservable
inputs
(Level 3)
 
Warrant liabilities  $11,533   $3,795   $
          -
   $7,738 
   $11,533   $3,795   $
-
   $7,738 
Schedule of Changes in Level 3 Warrant Liabilities Measured at Fair Value

The following table presents changes in Level 3 liabilities measured at fair value for the three months ended March 31, 2026 and 2025 (in thousands):

 

Balance - January 1, 2026  $7,738 
Change in fair value   74 
Balance - March 31, 2026  $7,812 

 

Balance - January 1, 2025  $41 
Issuance   2,908 
Change in fair value   (37)
Balance - March 31, 2025  $2,912 
Schedule of Quantitative Information Regarding Level 3 Fair Value Measurements Inputs at their Measurement

The following table provides quantitative information regarding Level 3 fair value measurements inputs at their measurement:

 

   March 31, 2026
   Angel
Warrants
   Investor
Warrants
  Avenue
Warrants
  Hudson
Warrants
Valuation Method  Black Scholes  Monte Carlo  Black Scholes  Monte Carlo
Strike price (per share)  $7.32   $1.80   $1.66   $2.51 
Contractual term (years)   1.2    4.0    3.3    4.6 
Volatility (annual)   93.1%   80.0%   78.1%   80.0%
Risk-free rate   3.7%   3.8%   3.8%   3.9%
Dividend yield (per share)   0.0%   0.0%   0.0%   0.0%
Probability assessment (1)   n/a    10%-30%   n/a    10%-30%

 

   December 31, 2025
   Angel
Warrants
   Investor
Warrants
  Avenue
Warrants
  Hudson
Warrants
Valuation Method  Black Scholes  Monte Carlo  Black Scholes  Monte Carlo
Strike price (per share)  $7.32   $1.80   $1.66   $2.51 
Contractual term (years)   1.5    4.2    3.5    4.8 
Volatility (annual)   92.1%   80.0%   79.0%   70.0%
Risk-free rate   3.5%   3.6%   3.6%   3.6%
Dividend yield (per share)   0.0%   0.0%   0.0%   0.0%
Probability assessment (1)   n/a    10%-30%   n/a    10%-30%

 

(1)Probability assessment reflects management’s estimate of the likelihood of an event that could accelerate exercisability or modify settlement mechanics under the warrant agreements