The table below presents the value of the 2026 Notes Conversion Option under the Binomial Lattice Model using the following assumptions as of the following dates: | | | | | | | | | | | | | | | March 31,
2026 | | December 31,
2025 | | | Value of 2026 Notes Conversion Option ($ thousands) | $ | 333 | | $ | 1,585 | | | Conversion price (dollars) | $ | 10.61 | | $ | 10.61 | | | Common stock price (dollars) | $ | 3.52 | | $ | 5.40 | | | | Expected option term (years) | 0.7 | | 0.9 | | | | Expected volatility | 100.00% | | 110.00% | | | | Risk-free rate of return | 3.70% | | 3.50% | | | | Expected annual dividend yield | —% | | —% | | |
The table below presents the value of the 2029 Notes Conversion Option under the as-converted basis using the following assumptions as of the following dates:
| | | | | | | | | | | December 31,
2025 | Value of 2029 Notes Conversion Option ($ thousands) | | | $ | 98,756 | Conversion price (dollars) | | | $ | 3.55 | Common stock price (dollars) | | | $ | 5.40 | | Expected option term (years) | | | 4.0 | | Expected volatility | | | N/A | | Risk-free rate of return | | | 3.60% | | Expected annual dividend yield | | | —% |
The table below presents the value of the 2025 RDO warrants under the Black-Scholes OPM using the following assumptions as of the following dates: | | | | | | | | | | | | | | | March 31,
2026 | | December 31,
2025 | | | Value of each 2025 RDO warrant (dollars) | $ | 2.55 | | $ | 4.36 | | | Exercise price (dollars) | $ | 9.00 | | $ | 9.00 | | | Common stock price (dollars) | $ | 3.52 | | $ | 5.40 | | | | Expected option term (years) | 4.4 | | 4.6 | | | | Expected volatility | 125.00% | | 130.00% | | | | Risk-free rate of return | 3.85% | | 3.66% | | | | Expected annual dividend yield | —% | | —% | | |
The table below presents the value of the IPO private warrants under the Black-Scholes OPM using the following assumptions as of the following dates: | | | | | | | | | | | | | | | | | | | March 31,
2026 | | December 31,
2025 | | | | | | | Fair value of each IPO private warrant (dollars) | $ | 0.50 | | $ | 1.75 | | | | | | | Exercise price (dollars) | $ | 11.50 | | $ | 11.50 | | | | | | | Common stock price (dollars) | $ | 3.52 | | $ | 5.40 | | | | | | | Expected option term (years) | 0.7 | | 0.9 | | | | | | | | Expected volatility | 135.00% | | 140.00% | | | | | | | | Risk-free rate of return | 3.70% | | 3.46% | | | | | | | | Expected annual dividend yield | —% | | —% | | | | | | |
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