Quarterly report [Sections 13 or 15(d)]

Fair Value Measurements and Hierarchy

v3.26.3
Fair Value Measurements and Hierarchy
 9 Months Ended
Sep. 30, 2026
Fair Value Disclosures [Abstract]  
Fair Value Measurements and Hierarchy
Note 5: Fair Value Measurements and Hierarchy
Information about the Company’s financial liabilities measured at fair value on a recurring basis is presented below:
Level 1 Level 2 Level 3 Total
(in thousands)
Warrant liability as of September 30, 2026 $ 80  $ —  $ 5,643  $ 5,723 
Warrant liability as of December 31, 2025 $ 106  $ —  $ 2,356  $ 2,462 
The key Level 3 weighted average inputs into the option pricing model related to the private placement warrants to purchase Class A common stock were as follows:
September 30, 2026 December 31, 2025
Volatility 111.2  % 102.1  %
Risk-free interest rate 5.0  % 3.7  %
Exercise price $ 25.59  $ 25.74 
Expected term 4.6 years 5.3 years
Generally, an increase in the market price of the Company’s shares of common stock, an increase in the volatility of the Company’s shares of common stock, and an increase in the remaining term of the warrants would each result in a directionally similar change in the estimated fair value of the Company’s warrant liabilities. Such changes would increase the associated liability while decreases in these assumptions would decrease the associated liability. An increase in the risk-free interest rate would result in a decrease in the estimated fair value measurement and thus a decrease in the associated liability. The Company has not declared, and does not plan to declare, dividends on its common stock and, as such, there is no change in the estimated fair value of the warrant liabilities due to the dividend assumption.
The following table sets forth a summary of changes in the fair value of the Company’s private placement warrants to purchase Class A common stock, which are considered to be Level 3 fair value measurements:
Nine Months Ended September 30,
2026 2025
(in thousands)
Beginning balance $ 2,356  $ 10,185 
Mark-to-market adjustment of stock warrants 3,287  (2,756)
Ending balance $ 5,643  $ 7,429 
The Company recorded a gain of $4.7 million and a loss of $2.5 million from changes in the fair value of stock warrants for the three months ended September 30, 2026 and 2025, respectively. The Company recorded a loss of $3.3 million and a gain of $2.8 million from changes in the fair value of stock warrants for the nine months ended September 30, 2026 and 2025, respectively.
The book value of cash; clinic fees, insurance receivables, and other receivables; accounts payable; and accrued expenses and other current liabilities approximate fair value because of the short maturity and high liquidity of these instruments. The book value of long-term debt approximates fair value, which was calculated using Level 2 inputs, as of September 30, 2026.
Purchased Put Options

As discussed in Note 12: Preferred Stock and Stockholders' Equity, the undrawn portions of the Series D and Series D-1 Purchase Agreements each represent a purchased put option that provides the Company with the right, but not the obligation, to require the purchaser to purchase additional Series D Units and Series D-1 Units, respectively, at predetermined terms during the commitment period. The Company determined that each purchased put option is a freestanding financial instrument that is not within the scope of ASC 480 and does not qualify for equity classification under ASC 815-40 because it is not indexed to the Company’s own stock. Accordingly, each purchased put option is recognized as an asset classified within prepaid expenses and other current assets in the Company’s condensed consolidated balance sheets, and remeasured at fair value upon issuance and at each reporting date, with changes in fair value recognized in earnings. The key valuation inputs include the contractual purchase price of the remaining Units, the fair value of the remaining underlying preferred stock, the fair value of the associated warrants, contractual exercise conditions, and expected timing of future closings.

The Series D purchased put option was initially recorded at $12.2 million. During the three months ended September 30, 2026, the Company did not recognize a gain or loss related to the change in fair value of the Series D purchased put option. The initial fair value of the Series D-1 purchased put option was zero. During the three and nine months ended September 30, 2026, the Company recognized a gain of $2.9 million related to the increase in fair value of the Series D-1 purchased put option. As of September 30, 2026, the fair value of the Series D-1 purchased put option was $2.9 million. For additional information regarding the Series D and Series D-1 Purchase Agreements and the related purchased put options, refer to Note 12: Preferred Stock and Stockholders' Equity. The fair value is categorized within Level 3 of the fair value hierarchy, as it was estimated using an option pricing model that relies on significant unobservable inputs, including volatility of 103%, a risk-free interest rate of 4.17%, and an expected term of approximately 7 years.