Quarterly report [Sections 13 or 15(d)]

Fair Value Measurements

v3.26.1
Fair Value Measurements
 3 Months Ended
Mar. 31, 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 March 31, 2026 and December 31, 2025 (in thousands):

 

    Level 1     Level 2     Level 3     Total  
    As of March 31, 2026  
    Level 1     Level 2     Level 3     Total  
Derivative liability   $ -     $ -     $ 490     $ 490  

 

    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 three-month period ended March 31, 2026.

 

The following table presents changes in Level 3 liabilities measured at fair value for the three-month period ended March 31, 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    

418

  
Redemptions     (372 )
Change in fair value    

86

  
Balance at March 31, 2026   $ 490  

 

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 March 31, 2026 and December 31, 2025:

 

    As of March 31, 2026     As of December 31, 2025  
Exercise price   $ 0.07     $ 0.76  
Expected term (years)     0.6       0.6  
Expected stock price volatility     154.5 %     99.2 %
Risk-free rate of interest     3.7 %     3.6 %
Expected dividend yield (per share)     0 %     0 %