v3.26.1
DERIVATIVE LIABILITIES
 3 Months Ended
Mar. 31, 2026
Derivative Instruments and Hedging Activities Disclosure [Abstract]  
DERIVATIVE LIABILITIES

11. DERIVATIVE LIABILITIES

 

As a result of the change in the Company’s functional currency effective April 1, 2025, the derivative liabilities, consisting of warrant liabilities and the debenture conversion features were reclassified to equity.

 

Warrant Liabilities

 

As of April 1, 2025, the Company utilized the Monte Carlo option-pricing model to value the warrant liabilities. The warrant liabilities reclassified to equity as of April 1, 2025, as well as the assumptions used by the Company to value the warrant liabilities are summarized in the table below (in thousands, except for warrant data):

 

       Monte-Carlo Option Pricing Assumptions - April 1, 2025     
                   Risk Free       FV of 
   # of   Stock   Dividend   Expected   Rate of   Expected   Warrant 
   Warrants   Price   Yield   Volatility   Return   Term   Liability 
1st Tranche   91   $1.10    0.00%   105.00%   3.90%   0.75   $1 
2nd Tranche   59   $1.10    0.00%   105.00%   3.72%   1.80    1 
3rd Tranche   689   $1.10    0.00%   105.00%   3.89%   2.05    4 
4th Tranche   2,207   $1.10    0.00%   100.00%   3.89%   2.17    12 
5th Tranche   3,712   $1.10    0.00%   105.00%   3.89%   2.39    23 
6th Tranche   2,437   $1.10    0.00%   105.00%   3.89%   2.53    16 
7th Tranche   6,016   $1.10    0.00%   105.00%   3.89%   2.64    37 
Jan-25 Tranche   212,256   $1.10    0.00%   100.00%   3.90%   3.30    1,365 
Mar-25 Tranche   47,907   $1.10    0.00%   100.00%   3.91%   3.47    330 
Warrant Liability Reclassified to equity                                $1,789 

 

Debenture Convertible Feature

 

As of April 1, 2025 the Company utilized the Monte Carlo option-pricing model to value the debenture conversion feature. The liability reclassified to equity as of April 1, 2025, as well as the assumptions used by the Company to value the debenture conversion feature are summarized in the table below (in thousands):

 

   Monte-Carlo Option Pricing Assumptions - April 1, 2025     
               Risk Free           FV of 
   Stock   Dividend   Expected   Rate of   Discount   Expected   Warrant 
   Price   Yield   Volatility   Return   Rate   Term   Liability 
1st Tranche  $1.10    0.00%   100.00%   3.82%   12.25%   0.15   $2 
2nd Tranche  $1.10    0.00%   100.00%   3.82%   12.25%   0.15    2 
4th Tranche  $1.10    0.00%   100.00%   4.01%   11.25%   1.17    91 
Jan-25 Tranche  $1.10    0.00%   100.00%   4.11%   11.25%   0.79    728 
Mar-25 Tranche  $1.10    0.00%   100.00%   4.04%   11.25%   0.98    165 
Conversion Feature Reclassified to equity                                $988 

 

As of April 1, 2025, the IPO Warrants, Rep Warrants, and Private Placement Warrants (the “Equity Warrants”) are classified as equity due to the Company changing its functional currency to USD as of April 1, 2025. The strike prices of the warrants and the Company’s functional currency are both denominated in USD. The Company reassessed that the warrants met the classification criteria to be recorded as equity and the warrants were reclassified to additional-paid-in capital.