v3.26.1
Fair Value Measurements
 3 Months Ended
Mar. 31, 2026
Fair Value Disclosures [Abstract]  
Fair Value Measurements
5.
Fair Value Measurements

The following tables present the Company’s fair value hierarchy for its assets and liabilities that are measured at fair value on a recurring basis and indicate the level within the fair value hierarchy of the valuation techniques the Company utilized to determine such fair value:

 

Fair Value Measurements at
March 31, 2026

 

 

Level 1

 

 

Level 2

 

 

Level 3

 

 

Total

 

Assets:

 

 

 

 

 

 

 

 

 

 

 

 

Cash equivalents:

 

 

 

 

 

 

 

 

 

 

 

 

Money market mutual funds

 

 

405

 

 

 

—

 

 

 

—

 

 

 

405

 

Investments in securities

 

 

—

 

 

 

969

 

 

 

—

 

 

 

969

 

 

$

405

 

 

$

969

 

 

$

—

 

 

$

1,374

 

Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

Warrant liability - public warrants

 

$

605

 

 

$

—

 

 

$

—

 

 

$

605

 

Warrant liability - private placement warrants

 

 

—

 

 

 

1,040

 

 

 

—

 

 

 

1,040

 

Warrant liability - Series A penny warrants

 

 

—

 

 

 

—

 

 

 

1,576

 

 

 

1,576

 

 

$

605

 

 

$

1,040

 

 

$

1,576

 

 

$

3,221

 

 

 

Fair Value Measurements at
December 31, 2025

 

 

Level 1

 

 

Level 2

 

 

Level 3

 

 

Total

 

Assets:

 

 

 

 

 

 

 

 

 

 

 

 

Cash equivalents:

 

 

 

 

 

 

 

 

 

 

 

 

Money market mutual funds

 

 

5,401

 

 

 

—

 

 

 

—

 

 

 

5,401

 

 

$

5,401

 

 

$

—

 

 

$

—

 

 

$

5,401

 

Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

Warrant liability - public warrants

 

$

706

 

 

$

—

 

 

$

—

 

 

$

706

 

Warrant liability - private placement warrants

 

 

—

 

 

 

1,213

 

 

 

—

 

 

 

1,213

 

Warrant liability - Series A penny warrants

 

 

—

 

 

 

—

 

 

 

2,525

 

 

 

2,525

 

 

$

706

 

 

$

1,213

 

 

$

2,525

 

 

$

4,444

 

 

The fair values of government money market funds have been measured on a recurring basis using Level 1 inputs, which are based on unadjusted quoted market prices within active markets. The short-term investments, including investments in fixed income securities, have been measured using quoted pricing on active markets for Level 1 investments and inputs based on alternative pricing sources and models utilizing observable market inputs for Level 2 investments.

The fair value of the Public Warrants is classified as Level 1 due to the use of an observable market quote in an active market. The fair value of the Private Placement Warrants is classified as Level 2 due to the use of an observable market quote for the Public Warrants, which are considered to be a similar asset in an active market. The warrant liability is calculated by multiplying the quoted market price of the Company’s Public Warrants by the total number of Public Warrants and Private Placement Warrants.

The Company’s Level 3 liability consists of the Series A Penny Warrants associated with the issuance of Series A Preferred Stock. This liability has been classified as Level 3 due to the use of an unobservable input within the valuation, namely volatility.

The fair value of the Series A Penny Warrant liability as of March 31, 2026 and December 31, 2025 was determined utilizing a Monte Carlo simulation valuation method, using the following inputs and assumptions:

 

$ in thousands, except for stock price, strike price, and share amounts

 

March 31, 2026

 

Warrant shares

 

 

1,529,624

 

Aggregate value cap

 

$

11,250

 

Stock price

 

$

2.26

 

Strike price

 

$

0.01

 

Term (in years)

 

2.93 years

 

Volatility

 

 

124.0

%

Risk free rate

 

 

3.8

%

Dividend rate

 

 

—

%

 

$ in thousands, except for stock price, strike price, and share amounts

 

December 31, 2025

 

Warrant shares

 

 

1,469,519

 

Aggregate value cap

 

$

11,250

 

Stock price

 

$

4.11

 

Strike price

 

$

0.01

 

Term (in years)

 

3.18 years

 

Volatility

 

 

109.0

%

Risk free rate

 

 

3.6

%

Dividend rate

 

 

—

%

 

The following table shows the change in the fair value of the Series A Penny Warrant liability for the three months ended March 31, 2026.

 

 

 

March 31, 2026

 

Balance as of December 31, 2025

 

$

2,525

 

Issuance of Series A Penny Warrants

 

 

—

 

Change in fair value of Series A Penny Warrants

 

 

(949

)

Balance as of March 31, 2026

 

$

1,576

 

 

There have been no other changes in valuation techniques and related inputs. As of March 31, 2026 and December 31, 2025, there were no transfers between Level 1, Level 2, and Level 3.