| Schedule of Movement of Warrant Liability |
The following table summarizes the Company’s outstanding warrant liabilities by warrant type as of June 30, 2026 and 2025:
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2026 |
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2025 |
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BCA Warrants |
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|
Amended BlackRock Warrant |
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Total Warrant Liabilities |
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BCA Warrants |
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|
BlackRock Warrant |
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Total Warrant Liabilities |
|
Balance as of January 1, |
|
13,881 |
|
|
|
597 |
|
|
|
14,478 |
|
|
|
19,390 |
|
|
|
461 |
|
|
|
19,851 |
|
Fair value (gain) loss on warrant liability |
|
(3,824 |
) |
|
|
(293 |
) |
|
|
(4,117 |
) |
|
|
12,145 |
|
|
|
- |
|
|
|
12,145 |
|
Exercise of public and private warrants |
|
(2,542 |
) |
|
|
- |
|
|
|
(2,542 |
) |
|
|
(16,886 |
) |
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|
- |
|
|
|
(16,886 |
) |
Balance as of June 30, |
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7,515 |
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|
304 |
|
|
|
7,819 |
|
|
|
14,649 |
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|
|
461 |
|
|
|
15,110 |
|
The movement of the warrant liability during the six months ended June 30, 2026 and 2025 is illustrated below:
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2026 |
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2025 |
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Warrant
liabilities |
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|
Number of
outstanding
warrants |
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|
Warrant
liabilities |
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|
Number of
outstanding
warrants |
|
Balance as of January 1, |
|
14,478 |
|
|
|
2,104,906 |
|
|
|
19,851 |
|
|
|
4,018,384 |
|
Fair value (gain) loss on warrant liability |
|
(4,117 |
) |
|
|
- |
|
|
|
12,145 |
|
|
|
- |
|
Exercise of public and private warrants |
|
(2,542 |
) |
|
|
(186,929 |
) |
|
|
(16,886 |
) |
|
|
(1,817,063 |
) |
Balance as of June 30, |
|
7,819 |
|
|
|
1,917,977 |
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15,110 |
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2,201,321 |
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| Schedule of Fair Value of Warrant Estimated on its Grant Date Using the Black Scholes Option Pricing Model |
The following assumptions were used in the Black-Scholes option-pricing model for determining the fair value of the Amended BlackRock Warrant as of June 30, 2026 and December 31, 2025:
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June 30, 2026 |
|
December 31, 2025 |
Share price on valuation date |
|
$13.87 (CHF 11.22 |
) |
|
$19.97 (CHF 15.83 |
) |
Range of expected volatility (%)(1) |
|
67.90 - 68.92 |
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82.52 - 85.13 |
|
Range of expected term (years)(2) |
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2.46 - 3.05 |
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2.71 - 3.29 |
|
Range of risk-free interest rate (%)(3) |
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4.14 - 4.15 |
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3.53 - 3.58 |
|
Dividend yield (%) |
|
0.00 |
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0.00 |
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(1) The expected volatility was derived from the historical stock volatilities of the Company, as well as comparable peer public companies within the Company’s industry. (2) The expected term represents the period that the Amended BlackRock Warrant is expected to be outstanding. (3) The risk-free interest rate is based on the U.S. Treasury yield curve in effect at the measurement date with maturities approximately equal to the expected terms.
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