| Schedule of Key Assumptions |
The key assumptions used in the Monte Carlo simulation
are presented in the table below:
| | |
June 30,
2025 | |
December 31,
2024 |
|
| Asset volatility(1) | |
90 - 105% | |
85 - 95% |
|
| Risk-free rate(2) | |
3.64 - 4.00% | |
4.08 - 4.23% |
|
| Expected term(3) | |
6 - 42 months | |
12 - 48 months |
|
| (1) | Volatility was based on implied and historical volatility of the share price of peer companies. | | (2) | Risk-free rate based on the U.S. Treasury yield in effect at the time of SAFE Notes consistent with the expected term. | | (3) | The simulation considered 6 months – 12 months term for equity event and 3.5 and 4-year term for liquidity event. |
|
The key assumptions used in the Monte Carlo simulation
are presented in the table below:
December 31, | |
| 2024 | | |
| 2023 | |
| Asset volatility(1) | |
| 85 - 95% | | |
| 80 - 85% | |
| Risk-free rate(2) | |
| 4.08 - 4.23% | | |
| 3.77 - 4.14% | |
| Expected term(3) | |
| 12 - 48 months | | |
| 24 - 60 months | |
| (1) | Volatility was based on implied and historical volatility of the share price of peer companies. | | (2) | Risk-free rate based on the U.S. Treasury yield in effect at the time of SAFE Notes consistent with the expected term. | | (3) | The simulation considered 1 – 2-year term for equity event and 4 and 5-year term for liquidity event. |
|
| Schedule of Fair Value on a Recurring Basis Using Significant Unobservable Inputs |
The following table presents a reconciliation
of the liability measured at fair value on a recurring basis using significant unobservable inputs (Level 3) as of June 30, 2025 and December
31, 2024:
| | |
June 30,
2025 | | |
December 31,
2024 | |
| Beginning balance | |
$ | 15,224,665 | | |
$ | 2,047,000 | |
| SAFE Notes issued during the period | |
| 1,600,800 | | |
| 8,190,000 | |
| Change in fair value during the period | |
| 3,638,167 | | |
| 4,987,665 | |
| Ending balance | |
$ | 20,463,632 | | |
$ | 15,224,665 | |
|
The following table presents a reconciliation
of the liability measured at fair value on a recurring basis using significant unobservable inputs (Level 3) for years ended December
31, 2024 and 2023:
| | |
Years Ended December 31, | |
| | |
2024 | | |
2023 | |
| Beginning balance | |
$ | 2,047,000 | | |
$ | - | |
| SAFE Notes issued during the year | |
| 8,190,000 | | |
| 1,500,000 | |
| Change in fair value during the year | |
| 4,987,665 | | |
| 547,000 | |
| Ending balance | |
$ | 15,224,665 | | |
$ | 2,047,000 | |
|