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Fair Value Measurements and Fair Value of Financial Instruments
 3 Months Ended
Mar. 31, 2026
Fair Value Measurements and Fair Value of Financial Instruments [Abstract]  
Fair Value Measurements and Fair Value of Financial Instruments

Note 12- Fair Value Measurements and Fair Value of Financial Instruments

 

The Company measures certain financial assets and liabilities at fair value on a recurring basis. The Company determines fair value based upon the exit price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants, as determined by either the principal market or the most advantageous market. Inputs used in the valuation techniques to derive fair values are classified based on a three-level hierarchy. These levels are:

 

  Level 1: Quoted prices (unadjusted) in active markets that are accessible at the measurement date for identical assets or liabilities.

 

  Level 2: Observable prices that are based on inputs not quoted on active markets but corroborated by market data.

 

  Level 3: Unobservable inputs which are supported by little or no market activity and values determined using pricing models, discounted cash flow methodologies, or similar techniques, as well as instruments for which the determination of fair value requires significant judgment or estimation.

 

Financial instruments consist of cash and cash equivalents, accounts receivable, notes receivable, accounts payable, warrant liability, line of credit, and notes payable. Cash and cash equivalents, accounts receivable and accounts payable are stated at their respective carrying amounts, which approximate fair value due to their short-term nature.

 

The change in fair value of the warrant liability is presented within ‘Change in fair value of warrant liability’ in the condensed consolidated statements of operations.

 

The fair value of the Level 3 warrant liability was determined using a pricing model with certain significant unobservable market data inputs.

Warrant Liability – Fair Value Measurement

 

The Company’s warrant liability is classified as a Level 3 liability within the fair value hierarchy as the valuation utilizes significant unobservable inputs.

 

The fair value of the warrants was estimated using a Black-Scholes option pricing model. The model requires the use of significant assumptions, including:

 

  ● The Company’s stock price at the valuation date

 

  ● The contractual exercise price

 

  ● Expected volatility

 

  ● Risk-free interest rate

 

  ● Expected term

 

  ● Dividend yield

 

Expected volatility was based on the historical volatility of the Company’s common stock. The risk-free interest rate was based on U.S. Treasury yields commensurate with the expected term of the warrants. The expected term was based on the contractual remaining life of the warrants. The Company assumed a dividend yield of zero, as it does not expect to declare dividends in the foreseeable future.

 

As of March 31, 2026, the significant assumptions used in the Black-Scholes model were as follows:

 

  ● Stock price: $2.07

 

  ● Exercise prices: $1.36 – $2.00

 

  ● Expected volatility: 130%

 

  ● Risk-free interest rate: 3.80% – 3.84%

 

  ● Remaining term: 4.00 – 4.46 years

 

  ● Dividend yield: 0%

 

Changes in these assumptions could result in a material change in the fair value of the warrant liability.

Fair Value Tables

 

As of March 31, 2026, the Company did not have any assets measured at fair value on a recurring basis. The Company’s liabilities measured at fair value consisted of the following at March 31, 2026:

 

   Fair Value at March 31, 2026 
   Total   Level 1   Level 2   Level 3 
Liabilities:                
Warrant liability  $64,895   $
—
   $
—
   $64,895 
Total liabilities  $64,895   $
—
   $
—
   $64,895 

 

The table below provides a summary of changes in the estimated fair value of the Company’s Level 3 assets and liabilities:

 

   Warrant
Liability		 
Balance at January 1, 2026  $22,561 
Pre-funded Warrants issued in connection Series 10 Preferred Stock conversion   24,186 
Exercise of Warrants   (3,299)
Change in fair value   21,447 
Balance at March 31, 2026  $64,895