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Fair Value Measurements
 3 Months Ended
Mar. 31, 2026
Fair Value Disclosures [Abstract]  
Fair Value Measurements

11. Fair Value Measurements

 

The following table presents the Company’s assets and liabilities that are measured at fair value on a recurring basis, inclusive of related party (in thousands):

 

   Level 1   Level 2   Level 3   Total 
   March 31, 2026 
   Level 1   Level 2   Level 3   Total 
Assets:                    
Money market funds  $35   $-   $-   $35 
Bitcoin   66    -    -    66 
Total assets, at fair value  $101   $-   $-   $101 
Liabilities:                    
Business Combination Warrants  $-   $-   $46   $46 
PIPE Warrants   -    -    9    9 
SEPA put option liability   -    -    74    74 
Total liabilities, at fair value  $-   $-   $129   $129 

 

   Level 1   Level 2   Level 3   Total 
   December 31, 2025 
   Level 1   Level 2   Level 3   Total 
Assets:                    
Money market funds  $35   $-   $-   $35 
Bitcoin   506    -    -    506 
Total assets, at fair value  $541   $-   $-   $541 
Liabilities:                    
Business Combination Warrants  $-   $-   $60   $60 
PIPE Warrants   -    -    11    11 
SEPA put option liability   -    -    186    186 
Total liabilities, at fair value  $-   $-   $257   $257 

 

Business Combination Warrants and PIPE Warrants

 

The following table presents the changes in the Business Combination Warrants and PIPE Warrants measured at fair value during the three months ended March 31, 2026 (in thousands):

 

  

Business

Combination

Warrants

   PIPE Warrants 
Balance, December 31, 2025  $60   $11 
Changes in fair value   (14)   (2)
Balance, March 31, 2026  $46   $9 

 

The Company remeasured the fair value of the Business Combination Warrants and PIPE Warrants at March 31, 2026 using the Black-Scholes option-pricing model with the following assumptions:

 

         
   As of March 31, 2026 
   PIPE   Business Combination 
   Warrants   Warrants 
Stock price  $0.85   $0.85 
Exercise price  $10.00   $11.50 
Expected volatility   94.9%   94.9%
Weighted average risk-free rate   3.8%   3.8%
Expected dividend yield   -    - 
Expected term (in years)   2.61    2.61 

 

 

The Company remeasured the fair value of the Business Combination Warrants and PIPE Warrants at December 31, 2025 using the Black-Scholes option-pricing model with the following assumptions:

 

   Warrants   Warrants 
   As of December 31, 2025 
   PIPE   Business
Combination		 
   Warrants   Warrants 
Stock price  $1.10   $1.10 
Exercise price  $10.00   $11.50 
Expected volatility   85.0%   85.0%
Weighted average risk-free rate   3.5%   3.5%
Expected dividend yield   0.0%   0.0%
Expected term (in years)   2.85    2.85 

 

SEPA Derivative Liability

 

The following table presents the changes in the SEPA derivative liabilities measured at fair value during the three months ended March 31, 2026 (in thousands):

 

    SEPA Put
Option Liability		     SEPA Forward
Option Liability		  
Balance, December 31, 2025   $ 186     $ -  
Changes in fair value     (112 )     (67 )
Conversions to Common Stock     -       67  
Balance, March 31, 2026   $ 74     $ -  

 

 

The estimated fair value of the SEPA put option derivative liability was determined using a Monte Carlo simulation model in order to project the future path of the Company’s stock price over the commitment period with the following assumptions:

 

  

March 31,

2026

  

December 31,

2025

 
   As of 
  

March 31,

2026

  

December 31,

2025

 
Term (in years)   0.2    0.5 
Starting stock price  $0.85   $1.10 
Expected volatility   156.7%   144.0%
Risk-free rate   3.7%   3.6%

 

The SEPA forward option liability was deemed to have no value at March 31, 2026 and December 31, 2025 as there were no outstanding notices for the sale of the Company’s Common Stock.