The following are assumptions used in valuing the Series B-1 and D Warrant Agreements in the SPAC Exit scenario, as of March 31, 2026: | | | | | | | | | | | | | | | | | | Series B-1 | | Series D | | Discount rate | | | 25 | % | | 25 | % | Expected life (in years) | | | 0.20 | | | 0.20 | | Future projected price per share | | $ | 37.76 | | $ | 37.76 | | Strike price | | $ | 0.08 | | $ | 27.21 | |
The following are assumptions used in valuing the Series B-1 and D Warrant Agreements in the SPAC Exit scenario, as of December 31, 2025: | | | | | | | | | | | | | | | | | | Series B-1 | | Series D | | Discount rate | | | 25 | % | | 25 | % | Expected life (in years) | | | 0.38 | | | 0.38 | | Future projected price per share | | $ | 37.76 | | $ | 37.76 | | Strike price | | $ | 0.08 | | $ | 27.21 | |
The following are the assumptions used in valuing the Series B-1 and D Warrant Agreements in the OPM scenario, as of March 31, 2026: | | | | | | | | | | | | | | | | | | Series B-1 | | Series D | | Share value | | $ | 18.16 | | $ | 33.61 | | Assumed volatility | | | 90 | % | | 37 | % | Assumed risk-free interest rate | | | 3.8 | % | | 3.8 | % | Expected life (in years) | | | 2 | | | 2 | | Expected dividends | | | — | | | — | |
The following are the assumptions used in valuing the Series B-1 and D Warrant Agreements in the OPM scenario, as of December 31, 2025: | | | | | | | | | | | | | | | | | | Series B-1 | | Series D | | Share value | | $ | 18.14 | | $ | 33.71 | | Assumed volatility | | | 90 | % | | 37 | % | Assumed risk-free interest rate | | | 3.5 | % | | 3.5 | % | Expected life (in years) | | | 2 | | | 2 | | Expected dividends | | | — | | | — | |
The assumptions used in determining the fair value of the August 2025 Notes under the SBM during the three months ended March 31, 2026, were as follows: | | | | | | | | | | | | Series D | | | | Three Months Ended | | | | March 31, 2026 | | SPAC Exit Scenario | | | 85 | % | Qualified Financing Scenario | | | 7.5 | % | Dissolution Scenario | | | 7.5 | % | Assumed volatility | | | 40 | % | Assumed risk-free interest rate | | | 3.7 | % | Expected life (in years) | | | 0.50 | | Assumed discount rate | | | 20 | % | Share value | | $ | 37.35 | |
The assumptions used in determining the fair value of the August 2025 Notes under the SBM as of December 31, 2025, were as follows: | | | | | | | | | | | | Series D | | | | December 31, 2025 | | SPAC Exit Scenario | | | 75 | % | Qualified Financing Scenario | | | 15 | % | Dissolution Scenario | | | 10 | % | Assumed volatility | | | 40 | % | Assumed risk-free interest rate | | | 3.50 | % | Expected life (in years) | | | 0.75 | | Assumed discount rate | | | 20 | % | Share value | | $ | 34.47 | |
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The following are assumptions used in valuing the Series B-1 and D Warrant Agreements in the SPAC Exit scenario, as of December 31 2025: | | | | | | | | | | | | | | | | | | Series B-1 | | Series D | | Discount rate | | | 25 | % | | 25 | % | Expected life (in years) | | | 0.38 | | | 0.38 | | Future projected price per share | | $ | 37.76 | | $ | 37.76 | | Strike price | | $ | 0.08 | | $ | 27.21 | |
The following are the assumptions used in valuing the Series B-1 and D Warrant Agreements in the OPM scenario, as of December 31, 2025: | | | | | | | | | | | | | | | | | | Series B-1 | | Series D | | Share value | | $ | 18.14 | | $ | 33.71 | | Assumed volatility | | | 90 | % | | 37 | % | Assumed risk-free interest rate | | | 3.5 | % | | 3.5 | % | Expected life (in years) | | | 2 | | | 2 | | Expected dividends | | | — | | | — | |
The following are the assumptions used in valuing the Series B-1 and D Warrant Agreements, as of December 31, 2024: | | | | | | | | | | | | | | Series B-1 | | Series D | | Assumed volatility | | 75 | % | 75 | % | Assumed risk-free interest rate | | 4.29 | % | 4.29 | % | Expected life (in years) | | 2.5 | | 2.5 | | Expected dividends | | — | | — | |
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