The fair value of the Common Warrant
was calculated using the Monte Carlo Simulation Model. The assumptions used to perform the calculations are detailed below:
| | |
February 24,
2026 | | |
March 31,
2026 | |
| Expected volatility (%) | |
| 85.6 | % | |
| 85.5 | % |
| Risk-free interest rate (%) | |
| 3.61 | % | |
| 3.91 | % |
| Expected dividend yield | |
| 0.0 | % | |
| 0.0 | % |
| Expected term (years) | |
| 5 | | |
| 4.91 | |
| Conversion price (U.S. dollars) | |
| 2.130 | | |
| 2.130 | |
| Underlying share price (U.S. dollars) | |
| 2.130 | | |
| 0.717 | |
| Fair value (U.S. dollars in thousands) | |
| 25,429 | | |
| 43,503 | |
|
The fair value of the Pre-funded Warrant
was calculated using the Black-Scholes option pricing Model. The assumptions used to perform the calculations are detailed below:
| | |
December 18,
2024 | | |
December 31,
2024 | |
| Expected volatility (%) | |
| 113.8 | % | |
| 114.2 | % |
| Risk-free interest rate (%) | |
| 4.30 | % | |
| 4.30 | % |
| Expected dividend yield | |
| 0.0 | % | |
| 0.0 | % |
| Expected term (years) | |
| 5.00 | | |
| 5.00 | |
| Conversion price (U.S. dollars) | |
| 0.0001 | | |
| 0.0001 | |
| Fair value (U.S. dollars in thousands) | |
| 5,086 | | |
| 52,682 | |
The fair value of the Private Placement
Warrant was calculated using the Monte Carlo Simulation Model. The assumptions used to perform the calculations are detailed below:
| | |
December 18,
2024 | | |
December 31,
2024 | |
| Expected volatility (%) | |
| 113.8 | % | |
| 114.2 | % |
| Risk-free interest rate (%) | |
| 4.30 | % | |
| 4.30 | % |
| Expected dividend yield | |
| 0.0 | % | |
| 0.0 | % |
| Expected term (years) | |
| 5.00 | | |
| 5.00 | |
| Probability of a fundamental event | |
| 10.0 | % | |
| 10.0 | % |
| Conversion price (U.S. dollars) | |
| 6.00 | | |
| 6.00 | |
| Fair value (U.S. dollars in thousands) | |
| 18,153 | | |
| 94,287 | |
The fair value of the Warrant Shares
was calculated using the Monte Carlo Simulation Model. The assumptions used to perform the calculations are detailed below:
| | |
September 4,
2025 | | |
December 31,
2025 | |
| Expected volatility (%) | |
| 87 | % | |
| 93.7 | % |
| Risk-free interest rate (%) | |
| 3.65 | % | |
| 3.70 | % |
| Expected dividend yield | |
| 0.0 | % | |
| 0.0 | % |
| Expected term (years) | |
| 5 | | |
| 4.68 | |
| Conversion price (U.S. dollars) | |
| 5.405 | | |
| 5.405 | |
| Underlying share price (U.S. dollars) | |
| 4.72 | | |
| 4.03 | |
| Fair value (U.S. dollars in thousands) | |
| 23,435 | | |
| 24,521 | |
|