Quarterly report [Sections 13 or 15(d)]

Fair Value Measurements

v3.25.3
Fair Value Measurements
 9 Months Ended
Sep. 30, 2025
Fair Value Disclosures [Abstract]  
Fair Value Measurements Fair Value Measurements
The following table presents the fair value of the Company’s financial liabilities that are measured at fair value on a recurring basis as of September 30, 2025 (in thousands):
As of September 30, 2025
Level 1 Level 2 Level 3 Total
Warrant liability $ —  $ —  $ —  $ — 
Derivative liability —  —  2,688  2,688 
$ —  $ —  $ 2,688  $ 2,688 
There were no transfers between Level 1, 2 or 3 during the nine-month period ended September 30, 2025.
The following table presents changes in Level 3 liabilities measured at fair value for the ninenine-month period ended September 30, 2025. Both observable and unobservable inputs were used to determine the fair value of positions that the Company has classified within the Level 3 category. Unrealized gains and losses associated with liabilities within the Level 3 category include changes in fair value that were attributable to both observable (e.g., changes in market interest rates) and unobservable (e.g., changes in unobservable long- dated volatilities) inputs (in thousands).
Warrant liability Derivative liability
Balance at January 1, 2025 $ —  $ — 
Issuance of unvested warrants in conjunction with loan agreements 230  — 
Issuance of convertible debt —  3,168 
Issuance of unvested warrants as an additional consideration to the August Future Financing Agreement 120  — 
Change in fair value 225  (480)
Reclassification of liability classified warrants to equity (575) — 
Balance at September 30, 2025 $ —  $ 2,688 
A summary of the weighted average (in aggregate) significant unobservable inputs (Level 3 inputs) used in the Black-Scholes option pricing model measuring the Company’s warrant liabilities and derivative liability that are categorized within Level 3 of the fair value hierarchy as of September 9, 2025, the date when the Company increased its total authorized shares which resulted the liability classified warrants reclassed to equity, and as of September 30, 2025, are as follows:
September 9, 2025 September 30, 2025
Exercise price $ 0.57  $ 0.46 
Expected term (years) 1 1
Expected stock price volatility 99.2  % 99.2  %
Risk-free rate of interest 3.6  % 3.6  %
Expected dividend yield (per share) 0  % 0  %