Note 6—Fair Value of Financial Instruments
 
The Company’s financial instruments consist of cash and cash equivalents and warrants.
 
Pursuant to the requirements of ASC Topic 820 “Fair Value Measurement,” the Company’s financial assets and liabilities measured at fair value on a recurring basis are classified and disclosed in one of the following three categories:
 
Level 1 - Financial instruments with unadjusted quoted prices listed on active market exchanges.
 
Level 2 - Financial instruments lacking unadjusted, quoted prices from active market exchanges, including over-the-counter traded financial instruments. The prices for the financial instruments are determined using prices for recently traded financial instruments with similar underlying terms as well as directly or indirectly observable inputs, such as interest rates and yield curves that are observable at commonly quoted intervals.
 
Level 3 - Financial instruments that are not actively traded on a market exchange. This category includes situations where there is little, if any, market activity for the financial instrument. The prices are determined using significant unobservable inputs or valuation techniques.
 
All cash equivalents and marketable securities are considered Level 1 measurements for all periods presented.
 
The fair value of the Company’s common and preferred stock warrant liabilities related to the warrants issued in the October 2022, October 2023, April 2024 and June 2025 public offerings were calculated using a Monte Carlo valuation model and were classified as Level 3 in the fair value hierarchy.
The following is a roll-forward of the fair value of Level 3 warrants:
 
     
(in thousands)
  2025  
Balance at December 31, 2023
 $2,843 
Exercise of Series J warrants
  (1,357
April 24, 2024, issuance of common warrants
  7,813 
Exercise of April 2024 warrants
  (1,373
Reclassification of April 2024 warrants to equity
  (2,844
Change in fair value
  (4,614
Balance at December 31, 2024
 $468 
June 10, 2025 issuance of common warrants
  14,547 
Reclassification of Series A warrants to equity
  (8,439
Exercise of Series B warrants
  (2,054
Change in fair value
  (4,133
Balance at December 31, 2025
 $389 
 
Fair values were calculated using the following assumptions:
 
    2025   2024
Common Stock Price
 $3.35-$39.48   $46.62-$896.70
Risk-free interest rates, adjusted for continuous compounding
  3.68%-4.08%   3.58%-5.05%
Term (years)  1.03-5.0  1.78-5.00
Expected volatility
  144%-189.1%   151.90%-116.80%
Dates and probability of future equity raises
  various   various
 
A significant change in the inputs used for the Monte Carlo valuation models, such as the expected volatility, risk-free interest rate, or probability of future equity financings, in isolation, would result in significantly higher or lower fair value measurements. In combination, changes in these inputs could result in a significantly higher or lower fair value measurement if the input changes were to be aligned or could result in a minimally higher or lower fair value measurement if the input changes were of a compensating nature.
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Historical Timeline

Fiscal YearFiled
2025Mar 11, 2026Showing above
2024Mar 11, 2025
2023Mar 11, 2024
2022Mar 3, 2023
2021Mar 3, 2022
2020Mar 25, 2021
2019Mar 5, 2020
2018Feb 21, 2019
2017Mar 22, 2018
2016Mar 8, 2017

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.