12.
FAIR VALUE MEASUREMENTS

The following table presents information regarding the Company’s financial liabilities that were measured at fair value on a recurring basis:

 

 

December 31, 2025

 

(in thousands)

 

Level 1

 

 

Level 2

 

 

Level 3

 

 

Total

 

Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

Earnout liability

 

$

 

 

$

 

 

$

4,112

 

 

$

4,112

 

 

 

 

December 31, 2024

 

(in thousands)

 

Level 1

 

 

Level 2

 

 

Level 3

 

 

Total

 

Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

Earnout liability

 

$

 

 

$

 

 

$

17,235

 

 

$

17,235

 

There were no movements between levels during the years ended December 31, 2025 and 2024.

Level 3 Disclosures

Earnout Liability

The earnout liability related to the Business Combination Agreement was valued using a Monte Carlo simulation in order to project the future path of the Company’s stock price over the earnout period. The earnout liability related to the acquisition of Simpatra was valued using a Monte Carlo simulation in order to project the future path of Simpatra’s revenue and the Company’s stock price over the earnout period. The carrying amount of these liabilities may fluctuate significantly, and actual amounts paid may be materially different from the liability’s estimated fair value.

The following table provides the significant inputs used to measure the fair value of the level 3 earnout liability related to the Business Combination Agreement:

 

 

As of

 

 

 

December 31, 2025

 

 

December 31, 2024

 

Stock price

 

$

2.60

 

 

$

6.18

 

Risk-free rate

 

 

3.4

%

 

 

4.2

%

Volatility

 

 

74.1

%

 

 

75.0

%

Term (in years)

 

 

1.4

 

 

 

2.4

 

The following table provides the significant inputs used to measure the fair value of the level 3 earnout liability related to the acquisition of Simpatra:

 

 

As of

 

 

 

December 31, 2025

 

 

December 31, 2024

 

Stock price

 

$

2.60

 

 

$

6.18

 

Risk-free rate

 

 

3.5

%

 

 

4.3

%

Equity volatility

 

 

64.5

%

 

 

68.5

%

Revenue volatility

 

 

57.0

%

 

 

53.9

%

Revenue discount rate

 

 

14.5

%

 

 

14.6

%

Correlation factor

 

 

3.0

%

 

 

5.0

%

Term (in years)

 

 

2.0

 

 

 

3.0

 

Changes in fair value of the Company’s Level 3 financial instruments were as follows:

(in thousands)

 

Earnout Liability

 

Fair value as of December 31, 2024

 

$

17,235

 

Settlement

 

 

(75

)

Gain on asset acquisition

 

 

(25

)

Gain from change in fair value

 

 

(13,023

)

Fair value as of December 31, 2025

 

$

4,112

 

Historical Timeline

Fiscal YearFiled
2025Mar 13, 2026Showing above
2024Mar 14, 2025
2023Mar 15, 2024
2022Mar 29, 2023
2021Apr 7, 2022

About Fair Value Disclosures

Fair value disclosures classify all assets and liabilities measured at fair value into a three-level hierarchy: Level 1 (quoted market prices), Level 2 (observable inputs like yield curves), and Level 3 (unobservable inputs requiring management estimates). The proportion of Level 3 assets directly reflects how much of the balance sheet depends on internal models rather than market evidence.

Key signals: a growing Level 3 balance relative to total fair-value assets increases valuation uncertainty and earnings volatility risk. Watch for transfers between levels — assets moving from Level 2 to Level 3 often signal deteriorating market liquidity. Unrealized gains and losses on Level 3 positions flow through earnings or other comprehensive income, so large swings deserve scrutiny. For financial institutions, examine the sensitivity disclosures that show how Level 3 valuations change under alternative assumptions. Compare the fair value of debt against its carrying amount to gauge hidden leverage.