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Note 4 - Fair-value Measurements | 6 Months Ended
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Jun. 30, 2025
Notes to Financial Statements |
Fair Value Disclosures [Text Block] | Note 4—Fair-Value Measurements Fair value is defined as the exchange price that would be received for an asset or paid to transfer a liability, an exit price, in the principal or most advantageous market for the asset or liability in an orderly transaction between market participants on the measurement date. The accounting standard establishes a fair value hierarchy that requires an entity to maximize the use of observable inputs, where available. The following summarizes the three levels of inputs required: Level 1—Observable inputs for identical assets or liabilities, such as quoted prices in active markets; Level 2—Inputs other than quoted prices in active markets that are either directly or indirectly observable; and Level 3—Unobservable inputs in which little or no market data exists, therefore they are developed using estimates and assumptions developed by us, which reflect those that a market participant would use. We review the fair value hierarchy classification on a quarterly basis. Changes in the observability of valuation inputs may result in a reclassification of levels for certain securities within the fair value hierarchy. There have been no transfers of assets or liabilities between fair value measurement classifications during the six months ended June 30, 2025. Our fair value hierarchy for our financial assets and liabilities measured at fair value on a recurring basis are as follows:
|  | June 30, 2025 |
|  | Level 1 |  |  | Level 3 |  |  | Total |
|  | (In thousands) |
Assets: |  |  |  |  |  |  |  |  |  |  |  |
Cash and cash equivalents: |  |  |  |  |  |  |  |  |  |  |  |
Certificate of deposit classified as non-current restricted investments |  | $ | 1,054 |  |  | $ | — |  |  | $ | 1,054 |
Short-term investment: |  |  |  |  |  |  |  |  |  |  |  |
Money-market funds |  |  | 26,840 |  |  |  | — |  |  |  | 26,840 |
Total Assets |  | $ | 27,894 |  |  | $ | — |  |  | $ | 27,894 |
Liabilities: |  |  |  |  |  |  |  |  |  |  |  |
Share-settled liability |  | $ | — |  |  | $ | (7,627 | ) |  | $ | (7,627 | )
Term Loan |  |  |  |  |  |  |  |  |  |  |  |
Call and put options derivative (1) |  |  | — |  |  |  | 113 |  |  |  | 113 |
2029 Notes: |  |  |  |  |  |  |  |  |  |  |  |
2029 Notes conversion option derivative |  |  | — |  |  |  | (15,020 | ) |  |  | (15,020 | )
Total Liabilities |  | $ | — |  |  | $ | (22,534 | ) |  | $ | (22,534 | )
| (1) | While the Term Loan is recorded as a liability, the embedded call and put options that have been identified as requiring bifurcation are recognized as a net embedded derivative asset reflected as a component of the Term Loan on the balance sheet.
|  | December 31, 2024 |
|  | Level 1 |  |  | Level 3 |  |  | Total |
|  | (In thousands) |
Assets: |  |  |  |  |  |  |  |  |  |  |  |
Cash and cash equivalents: |  |  |  |  |  |  |  |  |  |  |  |
Certificate of deposit classified as non-current restricted investments |  | $ | 1,054 |  |  | $ | — |  |  | $ | 1,054 |
Short-term investment: |  |  |  |  |  |  |  |  |  |  |  |
Money-market funds |  |  | 86,732 |  |  |  | — |  |  |  | 86,732 |
Total Assets |  | $ | 87,786 |  |  | $ | — |  |  | $ | 87,786 |
Liabilities: |  |  |  |  |  |  |  |  |  |  |  |
Term Loan |  |  |  |  |  |  |  |  |  |  |  |
Call and put options derivative (1) |  | $ | — |  |  | $ | 235 |  |  | $ | 235 |
Total Liabilities |  | $ | — |  |  | $ | 235 |  |  | $ | 235 |
| (1) | While the Term Loan is recorded as a liability, the embedded call and put options that have been identified as requiring bifurcation are recognized as a net embedded derivative asset reflected as a component of the Term Loan on the balance sheet.
Cash held in demand deposit accounts of $1.9 million and $3.4 million is excluded from our fair-value hierarchy disclosure as of June 30, 2025 and December 31, 2024, respectively. The carrying amounts reported in the accompanying condensed consolidated balance sheets for receivables, accounts payable and accrued liabilities, and other current monetary assets and liabilities approximate fair value. All of our investments, which are classified as Level 1 assets, are short-term and held in our name. Money market funds are classified as available-for-sale. Our share-settled liability and embedded derivatives are classified as Level 3 assets and liabilities. Our embedded derivatives are grouped with their related host contract as a net liability on our condensed consolidated balance sheet. (For further details see “Note 6 – Debt”). The fair value of our share-settled liability was determined using the Monte Carlo model assuming a yield volatility of 137%, a stock price floor of $2.50 and a fixed conversion price of $6.18. The fair value of our embedded derivatives were determined using both the Lattice and Discounted Cash Flow models with the following key assumptions:
|  | June 30, |  |  | December 31, |
|  | 2025 |  |  | 2024 |
Term Loan derivative |  |  |  |  |  |  |  |
Interest comprised of: |  |  |  |  |  |  |  |
SOFR benchmark rate |  |  | 3.04 - 4.08 | % |  |  | 3.91 - 4.30 | %
Securitized discount rate |  |  | 11.80 | % |  |  | 13.16 | %
Yield volatility |  |  | 26 | % |  |  | 21 | %
Probability weighted term (in years) |  |  | 1.9 |  |  |  | 3.4 |
Changes in valuation assumptions could have a significant impact on our Term Loan derivative. The Company can provide no assurance that changes in yield would not be significant in the future.
|  | June 30, |
|  | 2025 |
2029 Notes conversion option derivative |  |  |  |
Stock price (per share) |  | $ | 3.00 |
Unsecuritized discount rate |  |  | 18.88 | %
Risk-free rate |  |  | 3.66 | %
Stock price volatility |  |  | 70 | %
Dividend yield |  |  | — | %
Term (in years) |  |  | 4.0 |
Changes in valuation assumptions could have a significant impact on the 2029 Note conversion option derivative. The Company can provide no assurance that changes in yield or in our stock price would not have a significant impact on the derivative in the future. An increase in our stock price volatility could increase the valuation of the 2029 Note conversion option derivative, whereas an increase in interest rates could decrease the valuation of the 2029 Note conversion option derivative. The following table sets forth a summary of changes in the fair value of Level 3 liabilities for the six months ended June 30, 2025:
|  | Balance as of |  |  |  |  |  |  |  |  |  |  | Balance as of |
|  | December 31, |  |  |  |  |  |  |  |  |  |  | June 30, |
|  | 2024 |  |  | Additions |  |  | Change in Fair Value |  |  | 2025 |
|  | (In thousands) |
Liabilities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Share-settled liability |  | $ | — |  |  | $ | (7,627 | ) |  | $ | — |  |  | $ | (7,627 | )
Term Loan |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Call and put options derivative |  |  | 235 |  |  |  | - |  |  |  | (122 | ) |  |  | 113 |
2029 Notes: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
2029 Notes conversion option derivative |  |  | — |  |  |  | (15,020 | ) |  |  | — |  |  |  | (15,020 | )
Total Liabilities |  | $ | 235 |  |  | $ | (22,647 | ) |  | $ | (122 | ) |  | $ | (22,534 | )

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- Definition The entire disclosure for the fair value of financial instruments (as defined), including financial assets and financial liabilities (collectively, as defined), and the measurements of those instruments as well as disclosures related to the fair value of non-financial assets and liabilities. Such disclosures about the financial instruments, assets, and liabilities would include: (1) the fair value of the required items together with their carrying amounts (as appropriate); (2) for items for which it is not practicable to estimate fair value, disclosure would include: (a) information pertinent to estimating fair value (including, carrying amount, effective interest rate, and maturity, and (b) the reasons why it is not practicable to estimate fair value; (3) significant concentrations of credit risk including: (a) information about the activity, region, or economic characteristics identifying a concentration, (b) the maximum amount of loss the entity is exposed to based on the gross fair value of the related item, (c) policy for requiring collateral or other security and information as to accessing such collateral or security, and (d) the nature and brief description of such collateral or security; (4) quantitative information about market risks and how such risks are managed; (5) for items measured on both a recurring and nonrecurring basis information regarding the inputs used to develop the fair value measurement; and (6) for items presented in the financial statement for which fair value measurement is elected: (a) information necessary to understand the reasons for the election, (b) discussion of the effect of fair value changes on earnings, (c) a description of [similar groups] items for which the election is made and the relation thereof to the balance sheet, the aggregate carrying value of items included in the balance sheet that are not eligible for the election; (7) all other required (as defined) and desired information. + References Reference 1: http://www.xbrl.org/2003/role/disclosureRef -Topic 820 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 2 -Subparagraph (bbb)(1) -Publisher FASB -URI https://asc.fasb.org/1943274/2147482106/820-10-50-2 Reference 2: http://www.xbrl.org/2003/role/exampleRef -Topic 820 -SubTopic 10 -Name Accounting Standards Codification -Section 55 -Paragraph 107 -Publisher FASB -URI https://asc.fasb.org/1943274/2147482078/820-10-55-107 Reference 3: http://www.xbrl.org/2003/role/exampleRef -Topic 820 -SubTopic 10 -Name Accounting Standards Codification -Section 55 -Paragraph 100 -Publisher FASB -URI https://asc.fasb.org/1943274/2147482078/820-10-55-100 Reference 4: http://www.xbrl.org/2003/role/disclosureRef -Topic 820 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 2 -Subparagraph (c)(3) -Publisher FASB -URI https://asc.fasb.org/1943274/2147482106/820-10-50-2 Reference 5: http://www.xbrl.org/2003/role/disclosureRef -Topic 820 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 6A -Subparagraph (a) -Publisher FASB -URI https://asc.fasb.org/1943274/2147482106/820-10-50-6A Reference 6: http://www.xbrl.org/2003/role/disclosureRef -Topic 820 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 2E -Publisher FASB -URI https://asc.fasb.org/1943274/2147482106/820-10-50-2E Reference 7: http://www.xbrl.org/2003/role/disclosureRef -Topic 820 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 6A -Subparagraph (h) -Publisher FASB -URI https://asc.fasb.org/1943274/2147482106/820-10-50-6A Reference 8: http://www.xbrl.org/2003/role/disclosureRef -Topic 820 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 6A -Subparagraph (f) -Publisher FASB -URI https://asc.fasb.org/1943274/2147482106/820-10-50-6A Reference 9: http://www.xbrl.org/2003/role/disclosureRef -Topic 820 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 6A -Subparagraph (e) -Publisher FASB -URI https://asc.fasb.org/1943274/2147482106/820-10-50-6A Reference 10: http://www.xbrl.org/2003/role/disclosureRef -Topic 820 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 6A -Subparagraph (d) -Publisher FASB -URI https://asc.fasb.org/1943274/2147482106/820-10-50-6A Reference 11: http://www.xbrl.org/2003/role/disclosureRef -Topic 820 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 2 -Subparagraph (h) -Publisher FASB -URI https://asc.fasb.org/1943274/2147482106/820-10-50-2 Reference 12: http://www.xbrl.org/2003/role/disclosureRef -Topic 820 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 2 -Subparagraph (g) -Publisher FASB -URI https://asc.fasb.org/1943274/2147482106/820-10-50-2 Reference 13: http://www.xbrl.org/2003/role/disclosureRef -Topic 940 -SubTopic 820 -Name Accounting Standards Codification -Section 50 -Paragraph 1 -Subparagraph (a) -Publisher FASB -URI https://asc.fasb.org/1943274/2147478119/940-820-50-1 + Details
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