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Note 2 - Fair Value Measurements | 6 Months Ended
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Jun. 30, 2025
Notes to Financial Statements |
Fair Value Disclosures [Text Block] |
2. | FAIR VALUE MEASUREMENTS
The fair value of the Company’s financial assets and liabilities is determined in accordance with the fair value hierarchy established in FASB ASC Topic 820, Fair Value Measurements and Disclosures (“ASC 820”). ASC 820 defines fair value 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 fair value hierarchy of ASC 820 requires an entity to maximize the use of observable inputs when measuring fair value and classifies those inputs into three levels: Level 1—Observable inputs, such as quoted prices in active markets for identical assets or liabilities. Level 2—Observable inputs, other than Level 1 inputs, which are observable either directly or indirectly or can be corroborated by observable market data using quoted prices for similar assets or liabilities. Level 3—Unobservable inputs in which there is little or no market data, which require the reporting entity to develop its own assumptions. The Company's financial instruments that are not remeasured at fair value include accounts receivable, prepaid and other current assets, accounts payable, accrued expenses, other current and noncurrent liabilities, and the noncurrent convertible note. The carrying values of these financial instruments approximate their fair values. The Company’s financial assets and liabilities measured at fair value on a recurring basis and the level of inputs used for such measurements were as follows (in thousands):
|  | Fair Value Measured as of June 30, 2025 Using: |
|  | Adjusted Cost |  |  | Unrealized Gains |  |  | Fair Value |  |  | Cash and Cash Equivalent |  |  | Marketable Securities |
Assets |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Level 1 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Money market funds |  | $ | 1,085 |  |  | $ | — |  |  | $ | 1,085 |  |  | $ | 1,085 |  |  | $ | — |
Level 2 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Asset-backed securities |  |  | 904 |  |  |  | — |  |  |  | 904 |  |  |  | — |  |  | $ | 904 |
Corporate bonds |  |  | 10,049 |  |  |  | — |  |  |  | 10,049 |  |  |  | — |  |  |  | 10,049 |
Commercial paper |  |  | 3,396 |  |  |  | — |  |  |  | 3,396 |  |  |  | — |  |  |  | 3,396 |
U.S. Government securities |  |  | 2,487 |  |  |  | — |  |  |  | 2,487 |  |  |  | — |  |  |  | 2,487 |
Total financial assets |  | $ | 17,921 |  |  |  | — |  |  | $ | 17,921 |  |  | $ | 1,085 |  |  | $ | 16,836 |
Liabilities |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Level 2 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Private placement warrant liability |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |
Level 3 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Convertible note, current |  |  | — |  |  |  | — |  |  |  | 1,997 |  |  |  | — |  |  |  | — |
Derivative warrant liabilities |  |  | — |  |  |  | — |  |  |  | 788 |  |  |  | — |  |  |  | — |
Total financial liabilities |  | $ | — |  |  | $ | — |  |  | $ | 2,785 |  |  | $ | — |  |  | $ | — |
|  | Fair Value Measured as of December 31, 2024 Using: |
|  | Adjusted Cost |  |  | Unrealized Gains |  |  | Fair Value |  |  | Cash and Cash Equivalent |  |  | Marketable Securities |
Assets |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Level 1 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Money market funds |  | $ | 5,823 |  |  | $ | — |  |  | $ | 5,823 |  |  | $ | 5,823 |  |  | $ | — |
Level 2 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Corporate bonds |  |  | 9,660 |  |  |  | 4 |  |  |  | 9,664 |  |  |  | — |  |  |  | 9,664 |
Commercial paper |  |  | 945 |  |  |  | — |  |  |  | 945 |  |  |  | — |  |  |  | 945 |
U.S. Government securities |  |  | 1,402 |  |  |  | 1 |  |  |  | 1,403 |  |  |  | — |  |  |  | 1,403 |
Total financial assets |  | $ | 17,830 |  |  | $ | 5 |  |  | $ | 17,835 |  |  | $ | 5,823 |  |  | $ | 12,012 |
Liabilities |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Level 2 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Private placement warrant liability |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |
Level 3 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Derivative warrant liability |  |  | — |  |  |  | — |  |  |  | 26 |  |  |  | — |  |  |  | — |
Total financial liabilities |  | $ | — |  |  | $ | — |  |  | $ | 26 |  |  | $ | — |  |  | $ | — |
The Company’s financial assets and liabilities subject to fair value procedures were comprised of the following: Money Market Funds: The Company holds financial assets consisting of money market funds. These securities are valued using observable inputs, such as quoted prices in active markets for identical assets or liabilities. Marketable Securities: The Company holds financial assets consisting of fixed-income U.S. government agency securities, corporate bonds, and commercial paper. The securities are valued using prices from independent pricing services based on quoted prices of identical instruments in less active or inactive markets. Additionally, quoted prices of similar instruments in active market or industry models using data inputs such as interest rates and prices that can be directly observed or corroborated in active markets are used to value marketable securities. 2025 Convertible Note: In January 2025, the Company entered into a convertible note agreement with a face value of $3,240 (the "2025 Note"). The Company elected the fair value option to account for the 2025 Note. The fair value estimate of the 2025 Note is based on a binomial-lattice model, which represents Level 3 measurements. Significant assumptions include the discount rate used in the model, remaining term, stock price, and volatility. The changes in fair value are recognized in other income (expense), net for each reporting period. See Note 7 for details of the terms and conditions of the 2025 Note. Derivative Warrant Liabilities: On September 15, 2022, the Company entered into a convertible note agreement with a face value of $10,500 (the "2022 Note"). The Company issued warrants as part of the 2022 Note. The warrants are recorded on the condensed consolidated balance sheets at fair value. The fair value is based on unobservable inputs, which represent Level 3 measurements within the fair value hierarchy. The fair value estimate of the warrants was based on a Monte-Carlo simulation model. Inherent in a Monte-Carlo simulation model are assumptions related to price, volatility, risk-free interest rate, term to expiration, and dividend yield. Changes in fair value are recognized in other income (expense) for each reporting period. Derivative Warrant Liability is included within other noncurrent liabilities on the condensed consolidated balance sheets. These warrants were cancelled on July 28, 2025. In January 2025, in connection with the 2025 Note, the Company issued warrants, which are recorded on the accompanying condensed consolidated balance sheets at fair value. The fair value is based on unobservable inputs, which represent Level 3 measurements within the fair value hierarchy. The fair value estimate of the warrants was based on a Black-Scholes model. Inherent in a Black-Scholes model are assumptions related to price, volatility, risk-free interest rate, term to expiration, and dividend yield. Changes in fair value are recognized in other income (expense) for each reporting period. Derivative Warrant Liability is included within other noncurrent liabilities on the condensed consolidated balance sheets. These warrants were exercised in full on July 28, 2025. Private Placement Warrant Liability: The Private Placement Warrants are recorded on the condensed consolidated balance sheets at fair value. The fair value is based on observable Level 2 inputs, specifically, the observable input of the Company's public warrants, as terms of both warrants are substantially similar. Any changes in the fair value of the liability are reflected in other income (expense), net, on the condensed consolidated statements of operations and comprehensive loss. Private Placement Warrant liability is included within other noncurrent liabilities on the condensed consolidated balance sheets. For the six months ended June 30, 2025, there were no net transfers between Level 1 and Level 2 inputs. The following table presents a summary of the changes in fair value of the Company’s Level 3 financial instruments for the six months ended June 30, 2025 (in thousands):
|  | Derivative Warrant Liabilities |  |  | 2025 Note |  |  | Total |
Balance at December 31, 2024 |  | $ | 26 |  |  | $ | — |  |  | $ | 26 |
Additions |  |  | 1,046 |  |  |  | 3,266 |  |  |  | 4,312 |
Payments and conversions |  |  | — |  |  |  | (1,466 | ) |  |  | (1,466 | )
Change in fair value included in other income (expense), net |  |  | (284 | ) |  |  | 197 |  |  |  | (87 | )
Balance at June 30, 2025 |  | $ | 788 |  |  | $ | 1,997 |  |  | $ | 2,785 |
The key inputs into the Black-Scholes model for the derivative warrant liability from the 2025 Note valued at June 30, 2025 are as follows:
|  | June 30, 2025 |
Expected term (years) |  |  | 4.0 |
Expected volatility |  |  | 190.0 | %
Risk-free interest rate |  |  | 3.7 | %
Dividend yield |  |  | — | %
Exercise price |  | $ | 2.22 |
The key inputs into the binomial-lattice model for the 2025 Note valued at June 30, 2025 are as follows:
|  | June 30, 2025 |
Expected term (years) |  |  | 0.7 |
Expected volatility |  |  | 190.0 | %
Risk-free interest rate |  |  | 4.1 | %
Dividend yield |  |  | — | %
Estimated credit spread |  |  | 35.9 | %
If factors or assumptions change, the estimated fair values could be materially different. The value of the Company’s convertible note and derivative warrant liabilities would increase if a higher risk-free interest rate was used and would decrease if a lower risk-free interest rate was used. Similarly, a higher volatility assumption would increase the value of the liabilities, and a lower volatility assumption would decrease the value of the liabilities.

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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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