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Note 3 - Fair Value Measurements

9 Months Ended

Sep. 30, 2025

Notes to Financial Statements

Fair Value Disclosures [Text Block]

NOTE 3. FAIR VALUE MEASUREMENTS

The following tables present the Company’s financial instruments measured at fair value on a recurring basis as of September 30, 2025 and December 31, 2024 (in thousands):

Fair Value Measurements Using

Quoted

Prices in

Active

Markets

Significant

for

Other

Significant

Balance at

Identical

Observable

Unobservable

September 30,

Items

Inputs

Inputs

2025

(Level 1)

(Level 2)

(Level 3)

Assets

Restricted cash held as a deposit

$

393

$

393

$

—

$

—

Fair Value Measurements Using

Quoted

Prices in

Active

Markets

Significant

for

Other

Significant

Balance at

Identical

Observable

Unobservable

December 31,

Items

Inputs

Inputs

2024

(Level 1)

(Level 2)

(Level 3)

Assets

Restricted cash held as a deposit

$

477

$

477

$

—

$

—

The Company’s cash equivalents and restricted cash held as a deposit are classified within Level 1 of the fair value hierarchy because they are valued using quoted market prices in active markets, broker or dealer quotations, or alternative pricing sources with reasonable levels of price transparency.

Black Scholes Valuation Models and Assumptions

The Company utilizes a Black Scholes model for various valuations as outlined throughout this report. The following tables summarize the assumptions utilized for valuations impacting results for the periods reported. See also Note 12, “Stock-Based Compensation” for related Black Scholes valuation assumptions.

Warrant Liabilities

Certain of the Company’s warrants were subject to stockholder approval upon issuance or amendment and prior to exercise. Warrants requiring stockholder approval are recorded as a liability at fair value upon issuance or amendment and continue to be recorded as a liability at fair value at each reporting date until stockholder approval occurs at which time they are transferred to stockholders’ equity at their fair value on the date of approval. Fair value was determined using a Black Scholes model as outlined below. See Note 10, “Common Stock Warrants” for additional information and the definitions of the Company’s warrants.

		December 2023 Warrants				December 2023 Warrants
Measurement event		Reporting Date				Stockholder Approval
Date		December 31, 2023				May 28, 2024
Total Value (in millions)			0.3				0.2
Gain (Loss) (in thousands)		not applicable					(51	)
Assumptions:
Exercise price		$	8.75			$	8.75
Market price		$	7.14			$	4.94
Volatility			79.3	%			83.9	%
Risk-free rate			3.85	%			4.56	%
Dividend yield			0.0	%			0.0	%
Term (years)			5.5				5.1

		March				March
		2024				2024
		Warrant				Warrant
Measurement event		Issuance				Stockholder Approval
Date		March 25, 2024				May 28, 2024
Total Value (in millions)		$	0.1			$	0.1
Gain (Loss) (in thousands)						$	(28	)
Assumptions:
Exercise price		$	4.90			$	4.90
Market price		$	4.55			$	4.940
Volatility			86.9	%			83.9	%
Risk-free rate			4.24	%			4.56	%
Dividend yield			0.0	%			0.0	%
Term (years)			5.5				5.3

		September 2022, November 2022, & May 2023 Warrants
Measurement event		Prior to amendment						After amendment
Date		June 14, 2024						June 14, 2024
Total Value (in thousands)		$	66					$	100
Loss (in thousands)		not applicable						$	70
Assumptions:
Exercise price		$	8.75	-	52.50			$	2.50
Market price		$	2.51					$	2.51
Volatility			89.3			%			89.3			%
Risk-free rate			4.27%	-	5.08%				4.27%	-	5.08%
Dividend yield			0.0			%			0.0			%
Term (years)			1.0	-	4.4				1.0	-	4.4

Preferred Stock Conversion Price Adjustments

Terms of the Company’s outstanding Preferred Stock historically included a Ratchet whereby the applicable conversion price could be adjusted (see Note 11, “Stockholders’ Equity (Deficit)”). The applicable Ratchet provisions of the Company’s outstanding Preferred Stock terminated during the quarter ended March 31, 2024. Prior to its termination, when a conversion price for outstanding Preferred Stock was adjusted under the Ratchet, the Company recorded a deemed dividend as a reduction to income available to common stockholders. In accordance with ASC 820, the deemed dividend is measured as the difference between (1) the fair value of the Preferred Stock immediately prior to the conversion price adjustment (but without the Ratchet anti-dilution protection feature) and (2) the fair value of the Preferred Stock immediately after the conversion price adjustment (but without the Ratchet anti-dilution protection feature). Fair value was determined using a Black Scholes model as outlined below.

		Series C Preferred Stock
Measurement event		Prior to Ratchet				After Ratchet
Date		March 24, 2024				March 24, 2024
Total value (a) (in millions)		$	0.5			$	0.9
Deemed dividend (in millions)		not applicable				$	0.4
Assumptions:
Exercise price		$	8.75			$	4.90
Market price		$	4.77			$	4.77
Volatility			79.9	%			79.9	%
Risk-free rate			5.51	%			5.51	%
Dividend yield			0.0	%			0.0	%
Term (in years)			0.1				0.1

(a) Includes value of incremental shares underlying preferred stock and adjusted for probability of occurrence.

Bifurcatable Derivatives

Upon issuance in March 2024, the Unsecured Convertible Notes contained a lender’s conversion option which represented an embedded call option requiring bifurcation as an embedded derivative liability at fair value (see Note 9, “Convertible Notes” for additional discussion). Fair value was determined using a Black Scholes model as outlined below.

		Unsecured Convertible Notes derivative				Unsecured Convertible Notes derivative
Measurement event		Issuance				Stockholder Approval
Date		March 25, 2024				May 28, 2024
Total value (in millions)		$	0.2			$	0.2
Gain (Loss) (in thousands)		not applicable				$	(82	)
Assumptions:
Exercise price		$	4.90			$	4.90
Market price		$	4.51			$	4.94
Volatility			86.9	%			83.9	%
Risk-free rate			4.54	%			4.94	%
Dividend yield			0.0	%			0.0	%
Term (years)			2.0				1.8

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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.

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