v3.26.1
Fair Value Measurements
 12 Months Ended
Dec. 31, 2025
Fair Value Measurements [Abstract]  
Fair Value Measurements
6.Fair Value Measurements

 

The following table presents information about the Company’s assets and liabilities that are measured at fair value on a recurring basis at December 31, 2025 and 2024, and indicates the fair value hierarchy of the valuation inputs the Company’s utilized to determine such fair value:

 

       December 31,   December 31, 
Description  Level   2025   2024 
Assets:            
Forward purchase agreement asset (Note 11)  3   $-   $155 
SEPA put rights asset (Note 13)  3    96    188 
Liabilities:                     
Embedded derivative liability (Note 13)  3   $-   $80 

The Forward Purchase Agreement was fully settled on January 28, 2025 for $132 cash received by the Company. The fair value of the Company’s position under the Forward Purchase Agreement was calculated as of December 31, 2024 by multiplying the number of shares under the Forward Purchase Agreement by the market price at the settlement date estimated using a Monte-Carlo simulation incorporating the following assumptions:

 

   December 31, 
   2024 
Stock price  $53.70 
Risk-free interest rate   4.4%
Expected term (in years)   0.1 
Expected volatility   98%
Expected dividend yield   0%

 

The fair value of the SEPA Put Rights was estimated as the sum of the fair values of the put rights under each assumed advance notice over the term of the SEPA. The number of shares under each advance notice was based on the historical trading volumes of the Company’s common stock taking into account various beneficial ownership and daily volume limitations. The fair value of the put rights under each advance notice was estimated using the Black Scholes model, incorporating the following assumptions:

 

    December 31,     December 31,  
    2025     2024  
Stock price   $ 4.23     $ 53.70  
Risk-free interest rate     3.5 – 3.7 %     4.2 %
Exercise price     4.06       51.60  
Expected term (in years)     0.25 to 0.92       1 to 2  
Expected volatility     78-86 %      93-99 % 
Expected dividend yield     0 %     0 %
Number of shares     27,100       1,883  

 

The fair value of the embedded derivative feature was estimated to be $80 as of December 31, 2024, based on the difference between the fair value of the convertible note with these embedded features and the fair value without each one of these embedded features. As of December 31, 2024, the assumptions incorporated into the valuation model included the stock price of $53.70, the estimated future price per share of $61.80 (derived using Monte Carlo Simulation), the expected volatility of 99%, the risk-free rate of 4.18% and the term of 0.9 years. The embedded derivative liability was settled in full during 2025.

 

The fair values of the Embedded Derivative Liability associated with the conversion of the First and Second Convertible Notes (see Note 13) of $703 and $243, respectively, were based on the difference between the fair value of the common stock shares issued upon conversion and the outstanding note balance at the conversion date.

 

The changes in the fair value of Level 3 financial assets and liabilities for the year ended December 31, 2025 are as follows:

 

   Forward
Purchase
Agreement
asset		   SEPA
Put Rights
Asset		  

Embedded

Derivative

Liability

 
Fair value as of January 1, 2025  $155   $188   $80 
Initial measurement at the issuance date (see Note 13)   
 
    
 
    93 
Change in fair value   (23)   (92)   773 
Settlement gain (loss)   (132)   
 
    (946)
Fair value as of December 31, 2025  $-   $96   $-