v3.26.1
Fair Value Measurements (Tables)
 3 Months Ended
Mar. 31, 2026
Fair Value Disclosures [Abstract]  
Schedule of Assets and Liabilities

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

 

 
Schedule of Valuation Assumptions

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

 

 

—

%

 
Schedule of Change in Fair Value of Derivative Liability

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