Quarterly report [Sections 13 or 15(d)]

Fair Value Measurements

v3.26.1
Fair Value Measurements
 6 Months Ended
Jun. 30, 2026
Fair Value Disclosures [Abstract]  
Fair Value Measurements

Note 15 - 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 June 30, 2026 and December 31, 2025 (in thousands):

  

    Level 1     Level 2     Level 3     Total  
    As of June 30, 2026  
    Level 1     Level 2     Level 3     Total  
Derivative liability   $ -     $ -     $ 680     $ 680  

 

    Level 1     Level 2     Level 3     Total  
    As of December 31, 2025  
    Level 1     Level 2     Level 3     Total  
Derivative liability   $ -     $ -     $ 50     $ 50  

 

There were no transfers between Level 1, 2 or 3 during the six-month period ended June 30, 2026.

 

The following table presents changes in Level 3 liabilities measured at fair value for the six-month period ended June 30, 2026. 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).

 

    Derivative liability  
Balance at January 1, 2026   $ 50  
Issuance of convertible debt     308  
Debt amendment     595  
Redemptions     (372 )
Change in fair value     99  
Balance at June 30, 2026   $ 680  

 

A summary of the weighted average (in aggregate) significant unobservable inputs (Level 3 inputs) used in the Black-Scholes option pricing model and Monte-Carlo simulation measuring the Company’s derivative liabilities that are categorized within Level 3 of the fair value hierarchy as of June 30, 2026 and December 31, 2025:

 

    As of June 30, 2026     As of December 31, 2025  
Exercise price   $ 0.07     $ 0.76  
Expected term (years)     0.4       0.6  
Expected stock price volatility     184.6 %     125.0 %
Risk-free rate of interest     4.0 %     3.5 %
Expected dividend yield (per share)     0 %     0 %