Quarterly report [Sections 13 or 15(d)]

Fair Value of Financial Instruments (Tables)

v3.26.1
Fair Value of Financial Instruments (Tables)
3 Months Ended
Mar. 31, 2026
Fair Value Disclosures [Abstract]  
Schedule of Fair Value Assumptions The table below presents the fair value per warrant and
the valuation assumptions under the Black-Scholes OPM:
March 31, 2026 December 31, 2025 February 25, 2025
Fair value per share $ 1.72  $ 1.60  $ 6.84 
Warrants outstanding 2,633,195  2,633,195  5,098,978 
Exercise price $ 11.50  $ 11.50  $ 11.50 
Common stock price $ 8.50  $ 7.60  $ 14.34 
Expected option term 0.4 years 0.7 years 1.5 years
Expected volatility 117.36  % 104.60  % 82.90  %
Risk-free rate of return 3.71  % 3.52  % 4.05  %
Expected annual dividend yield —  % —  % —  %
Schedule of Liabilities Measured at Fair Value
The table below presents the Company’s financial instruments measured at fair value on a recurring basis:
  March 31, 2026
  Balance Sheet Location Level 1 Level 2 Level 3 Total
Liabilities:
Private warrants Warrant liabilities $ —  $ —  $ 4,532  $ 4,532 
Total liabilities $ —  $ —  $ 4,532  $ 4,532 
December 31, 2025
Balance Sheet Location Level 1 Level 2 Level 3 Total
Liabilities:
Private warrants Warrant liabilities $ —  $ —  $ 4,213  $ 4,213 
Total liabilities $ —  $ —  $ 4,213  $ 4,213 
Schedule of Changes in the Fair Value of Level 3 Financial Liabilities
Changes in the fair value of Level 3 financial liabilities were as follows:
Liabilities:
Private Warrants
Total Level 3
December 31, 2025 $ 4,213  $ 4,213 
Changes in fair value 319  319 
March 31, 2026 $ 4,532  $ 4,532