| Schedule of Company’s Liabilities that are Measured at Fair Value |
The following table presents information about the Company’s liabilities that are measured at fair value as of March 31, 2026 and December 31, 2025 and indicates the fair value hierarchy of the valuation inputs the Company utilized to determine such fair value:
|
Description:
|
|
Level
|
|
March 31,
2026
|
|
December 31,
2025
|
|
Derivative Liabilities:
|
|
|
|
|
|
|
|
|
|
Forward Purchase Agreement
|
|
3
|
|
$
|
1,214,100 |
|
$
|
1,388,700 |
|
Warrants – Series A
|
|
3
|
|
$
|
2,997,150 |
|
$
|
3,383,900 |
|
The following table presents information about the Company’s liabilities that are measured at fair value as of December 31, 2025 and 2024 and indicates the fair value hierarchy of the valuation inputs the Company utilized to determine such fair value. The Company did not have derivative liabilities as of December 31, 2023.
|
Description:
|
|
Level
|
|
December 31,
2025
|
|
December 31,
2024
|
|
Derivative Liabilities:
|
|
|
|
|
|
|
|
|
Forward Purchase Agreement
|
|
3
|
|
$
|
1,388,700 |
|
$
|
6,404,100 |
|
Warrants – Series A
|
|
3
|
|
$
|
3,383,900 |
|
$
|
4,955,300 |
|
Warrants – Series C and D
|
|
3
|
|
$
|
—
|
|
$
|
13,913,250 |
|
| Schedule of Fair Value Measurement of the FPA |
The fair value measurement of the FPA at March 31, 2026 and December 31, 2025 was calculated using the following range of weighted average assumptions:
|
|
|
March 31,
2026
|
|
December 31,
2025
|
|
Risk-free interest rate
|
|
$
|
3.69 |
% |
|
|
3.48 |
% |
|
Stock price
|
|
$
|
6.31 |
|
|
$
|
7.09 |
|
|
Expected life
|
|
|
0.8 years |
|
|
|
1.1 years |
|
|
Expected volatility of underlying stock
|
|
|
167.5 |
% |
|
|
175.0 |
% |
|
Dividends
|
|
|
0 |
% |
|
|
0 |
% |
|
The fair value measurement of the FPA at December 31, 2025 and 2024 was calculated using the following range of weighted average assumptions:
|
|
|
December 31,
2025
|
|
December 31,
2024
|
|
Risk-free interest rate
|
|
|
3.48 |
% |
|
|
4.25 |
% |
|
Stock price
|
|
$
|
7.09 |
|
|
$
|
35.00 |
|
|
Expected life
|
|
|
1.1 years |
|
|
|
2.1 years |
|
|
Expected volatility of underlying stock
|
|
|
175.0 |
% |
|
|
105.0 |
% |
|
Dividends
|
|
|
0 |
% |
|
|
0 |
% |
|
| Schedule of Determine the Fair Value |
The Company utilized a Monte Carlo simulation analysis to determine the fair value of the Series A Warrants at March 31, 2026, which included the following assumptions:
|
|
|
Series A
Warrants
|
|
Expected term
|
|
|
3.7 years
|
|
|
Stock price
|
|
$
|
6.31 |
|
|
Risk free rate
|
|
|
3.8 |
%
|
|
Expected volatility
|
|
|
170.0 |
%
|
|
Expected dividend rate
|
|
$
|
0.00 |
|
|
Exercise Price
|
|
$
|
3.10 |
|
|
The Company utilized a Monte Carlo simulation analysis to determine the fair value of the Series A Warrants and Series B Warrants at the date of issuance on March 15, 2024, which included the following assumptions:
|
|
|
Series A
Warrants
|
|
Series B
Warrants
|
|
Expected term (in years)
|
|
|
5.7 years |
|
|
|
5.7 years |
|
|
Stock price
|
|
$
|
87.00 |
|
|
$
|
87.00 |
|
|
Risk free rate
|
|
|
4.2 |
% |
|
|
4.2 |
% |
|
Expected volatility
|
|
|
82.5 |
% |
|
|
82.5 |
% |
|
Expected dividend rate
|
|
$
|
0.00 |
|
|
$
|
0.00 |
|
|
Exercise Price
|
|
$
|
37.50 |
|
|
$
|
0.01 |
|
The Company utilized a Black-Scholes model to determine the fair value of the Series A Warrants at December 31, 2025, which included the following assumptions:
|
|
|
Series A
Warrants
|
|
Expected term
|
|
|
3.9 years |
|
|
Stock price
|
|
$
|
7.09 |
|
|
Risk free rate
|
|
|
3.6 |
% |
|
Expected volatility
|
|
|
165.0 |
% |
|
Expected dividend rate
|
|
$
|
0.00 |
|
|
Exercise Price
|
|
$
|
3.10 |
|
The Company utilized a Black-Scholes model to determine the fair value of the Series A Warrants at December 31, 2024, which included the following assumptions:
|
|
|
Series A
Warrants
|
|
Expected term
|
|
|
4.9 years |
|
|
Stock price
|
|
$
|
35.00 |
|
|
Risk free rate
|
|
|
4.4 |
% |
|
Expected volatility
|
|
|
102.5 |
% |
|
Expected dividend rate
|
|
$
|
0.00 |
|
|
Exercise Price
|
|
$
|
16.37 |
|
The Company utilized a Monte Carlo simulation analysis to determine the fair value of the Series C Warrants and Series D Warrants at the date of issuance on August 30, 2024, which included the following assumptions:
|
|
|
Series C
Warrants
|
|
Series D
Warrants
|
|
Expected term
|
|
|
5.6 years |
|
|
|
5.6 years |
|
|
Stock price
|
|
$
|
16.00 |
|
|
$
|
16.00 |
|
|
Risk free rate
|
|
|
3.7 |
% |
|
|
3.7 |
% |
|
Expected volatility
|
|
|
105.0 |
% |
|
|
105.0 |
% |
|
Expected dividend rate
|
|
$
|
0.00 |
|
|
$
|
0.00 |
|
|
Exercise Price
|
|
$
|
16.37 |
|
|
$
|
0.0050 |
|
The Company utilized a Monte Carlo simulation analysis to determine the fair value of the Series C Warrants and Series D Warrants at December 31, 2024, which included the following assumptions:
|
|
|
Series C
Warrants
|
|
Series D
Warrants
|
|
Expected term (in years)
|
|
|
5.6 years |
|
|
|
5.6 years |
|
|
Stock price
|
|
$
|
35.00 |
|
|
$
|
35.00 |
|
|
Risk free rate
|
|
|
4.4 |
% |
|
|
4.4 |
% |
|
Expected volatility
|
|
|
102.5 |
% |
|
|
102.5 |
% |
|
Expected dividend rate
|
|
$
|
0.00 |
|
|
$
|
0.00 |
|
|
Exercise Price
|
|
$
|
16.37 |
|
|
$
|
0.0050 |
|
|
| Schedule of Recurring Basis Using Significant Unobservable Inputs (Level 3) |
The table below provides a summary of the changes in fair value, including net transfers in and/or out, of all financial assets and liabilities measured at fair value on a recurring basis using significant unobservable inputs (Level 3) during the three months ended March 31, 2026.
|
Forward Purchase Agreement
|
|
Fair Value
Measurement
Using Level 3
Inputs Total
|
|
Balance, December 31, 2025
|
|
$
|
1,388,700 |
|
|
Change in fair value
|
|
|
(174,600 |
)
|
|
Balance, March 31, 2026
|
|
|
1,214,100 |
|
|
Warrants – Series A
|
|
Fair Value
Measurement
Using Level 3
Inputs Total
|
|
Balance, December 31, 2025
|
|
$
|
3,383,900 |
|
|
Change in fair value
|
|
|
(386,750 |
)
|
|
Balance, March 31, 2026
|
|
|
2,997,150 |
|
|
The table below provides a summary of the changes in fair value, including net transfers in and/or out, of all financial assets and liabilities measured at fair value on a recurring basis using significant unobservable inputs (Level 3) during the year ended December 31, 2025 and 2024.
|
Forward Purchase Agreement
|
|
Fair Value
Measurement
Using Level 3
Inputs Total
|
|
Balance, December 31, 2023
|
|
$
|
—
|
|
|
Initial measurement, February 2, 2024
|
|
|
20,889,950 |
|
|
Change in fair value
|
|
|
(14,485,850 |
)
|
|
Balance, December 31, 2024
|
|
|
6,404,100 |
|
|
Change in fair value
|
|
|
(5,015,400 |
)
|
|
Balance, December 31, 2025
|
|
|
1,388,700 |
|
|
Warrants – Series A and B
|
|
Fair Value
Measurement
Using Level 3
Inputs Total
|
|
Balance, December 31, 2023
|
|
$
|
—
|
|
|
Initial measurement, March 15, 2024
|
|
|
12,739,000 |
|
|
Change in fair value
|
|
|
(7,783,700 |
)
|
|
Balance, December 31, 2024
|
|
|
4,955,300 |
|
|
Change in fair value
|
|
|
(1,571,400 |
)
|
|
Balance, December 31, 2025
|
|
|
3,383,900 |
|
|
Warrants – Series C and D
|
|
Fair Value
Measurement
Using Level 3
Inputs Total
|
|
Balance, December 31, 2023
|
|
$
|
—
|
|
|
Initial measurement, August 30, 2024
|
|
|
9,654,800 |
|
|
Change in fair value
|
|
|
4,258,450 |
|
|
Balance, December 31, 2024
|
|
|
13,913,250 |
|
|
Change in fair value
|
|
|
(13,913,250 |
)
|
|
Balance, December 31, 2025
|
|
|
—
|
|
|