| FAIR VALUE MEASUREMENTS |
NOTE 7. FAIR VALUE MEASUREMENTS The Company’s financial instruments that are carried at fair value consist of Level 1 and Level 3 assets and liabilities: Level 1. Level 1 assets include (i) the H&K Investment and (ii) highly liquid bank deposits and money market funds, which were not material in any period presented herein. The fair value of the H&K Investment is determined using Level 1 quoted market prices on Euronext Paris, which was determined to be Level 1 as it uses unadjusted quoted prices in active markets. Level 3. Level 3 assets and liabilities are included in the table below, and are classified as Level 3 due to the use of unobservable inputs in the valuation of the asset or liability.
|
|
|
|
|
|
|
Defined and Described in Note(s) |
|
Gains or Losses from the Remeasurement included in: |
Assets: |
|
|
|
|
SYME Convertible Note Receivable (related party) |
|
6 |
|
Change in fair value of convertible notes receivable |
Tekne Convertible Note Receivable |
|
4 |
|
Change in fair value of convertible notes receivable |
Tekne Investment |
|
4 |
|
Change in fair value of investments |
SYME Bonds (related party) |
|
4 |
|
Change in fair value of SYME Bonds (related party) |
|
|
|
|
|
Liabilities: |
|
|
|
|
Fair value debt |
|
10 |
|
Change in fair value of debt |
SEPA liability |
|
13 |
|
Change in fair value of SEPA liability |
February 2026 Offering Common Warrants |
|
11 & 12 |
|
Change in fair value of warrant liabilities |
February 2026 Offering Pre-Funded Warrants |
|
11 & 12 |
|
Change in fair value of warrant liabilities |
2025 Offering Common Stock Warrants |
|
11 & 12 |
|
Change in fair value of warrant liabilities |
Junior Note Warrants |
|
10 & 11 |
|
Change in fair value of warrant liabilities |
Contingent consideration |
|
4 |
|
Change in fair value of contingent consideration |
There were no transfers between Level 1, Level 2, and Level 3 in any period presented. The following tables set forth the fair value of the Company’s financial assets and liabilities measured at fair value on a recurring basis by level within the fair value hierarchy as of June 30, 2026 and December 31, 2025:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
As of June 30, 2026 |
|
|
|
Level 1 |
|
|
Level 2 |
|
|
Level 3 |
|
|
Total |
|
Assets: |
|
|
|
|
|
|
|
|
|
|
|
|
SYME Convertible Note Receivable (related party) |
|
$ |
— |
|
|
$ |
— |
|
|
$ |
2,192,000 |
|
|
$ |
2,192,000 |
|
Tekne Convertible Note Receivable |
|
|
— |
|
|
|
— |
|
|
|
23,446,999 |
|
|
|
23,446,999 |
|
H&K Investment |
|
|
8,739,198 |
|
|
|
— |
|
|
|
— |
|
|
|
8,739,198 |
|
Tekne Investment |
|
|
— |
|
|
|
— |
|
|
|
842,000 |
|
|
|
842,000 |
|
SYME Bonds (related party) |
|
|
— |
|
|
|
— |
|
|
|
5,581,921 |
|
|
|
5,581,921 |
|
Total assets |
|
$ |
8,739,198 |
|
|
$ |
— |
|
|
$ |
32,062,920 |
|
|
$ |
40,802,118 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Liabilities: |
|
|
|
|
|
|
|
|
|
|
|
|
Current portion of debt: |
|
|
|
|
|
|
|
|
|
|
|
|
Fair value debt |
|
$ |
— |
|
|
$ |
— |
|
|
$ |
29,596,619 |
|
|
$ |
29,596,619 |
|
SEPA liability |
|
|
— |
|
|
|
— |
|
|
|
1,483,065 |
|
|
|
1,483,065 |
|
Warrant liabilities: |
|
|
|
|
|
|
|
|
|
|
|
|
February 2026 Offering Common Warrants |
|
|
— |
|
|
|
— |
|
|
|
3,801,538 |
|
|
|
3,801,538 |
|
Junior Note Warrants |
|
|
— |
|
|
|
— |
|
|
|
42,750 |
|
|
|
42,750 |
|
Contingent Consideration |
|
|
— |
|
|
|
— |
|
|
|
984,442 |
|
|
|
984,442 |
|
Total liabilities |
|
$ |
— |
|
|
$ |
— |
|
|
$ |
35,908,414 |
|
|
$ |
35,908,414 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
As of December 31, 2025 |
|
|
|
Level 1 |
|
|
Level 2 |
|
|
Level 3 |
|
|
Total |
|
Assets: |
|
|
|
|
|
|
|
|
|
|
|
|
SYME Convertible Note Receivable (related party) |
|
$ |
— |
|
|
$ |
— |
|
|
$ |
2,585,100 |
|
|
$ |
2,585,100 |
|
Total assets |
|
$ |
— |
|
|
$ |
— |
|
|
$ |
2,585,100 |
|
|
$ |
2,585,100 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Liabilities: |
|
|
|
|
|
|
|
|
|
|
|
|
Current portion of debt: |
|
|
|
|
|
|
|
|
|
|
|
|
Debt - fair value option |
|
$ |
— |
|
|
$ |
— |
|
|
$ |
25,960,206 |
|
|
$ |
25,960,206 |
|
SEPA liability |
|
|
— |
|
|
|
— |
|
|
|
3,201,500 |
|
|
|
3,201,500 |
|
Warrant liabilities: |
|
|
|
|
|
|
|
|
|
|
|
|
2025 Offering Common Stock Warrants |
|
|
— |
|
|
|
— |
|
|
|
353,160 |
|
|
|
353,160 |
|
Junior Note Warrants |
|
|
— |
|
|
|
— |
|
|
|
44,241 |
|
|
|
44,241 |
|
Claims settlement liability |
|
|
— |
|
|
|
— |
|
|
|
5,575 |
|
|
|
5,575 |
|
Total liabilities |
|
$ |
— |
|
|
$ |
— |
|
|
$ |
29,564,682 |
|
|
$ |
29,564,682 |
|
Level 3 Financial Assets Convertible Notes Receivable The following table sets forth a summary of the changes in fair value of the Company's related-party SYME Convertible Note Receivable and Tekne Convertible Note Receivable, each of which is accounted for under the fair value option:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Three months ended June 30, |
|
|
|
2026 |
|
|
2025 |
|
|
|
SYME Convertible Note Receivable (related party) |
|
|
Tekne Convertible Note Receivable |
|
|
Total |
|
|
SYME Convertible Note Receivable (related party) |
|
Fair value, beginning balance |
|
$ |
2,366,100 |
|
|
$ |
20,547,999 |
|
|
$ |
22,914,099 |
|
|
$ |
260,000 |
|
Reclassification of Advance on Tekne Convertible Note Receivable |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
Principal additions |
|
|
— |
|
|
|
2,436,365 |
|
|
|
2,436,365 |
|
|
|
500,000 |
|
Change in fair value |
|
|
(174,100 |
) |
|
|
462,635 |
|
|
|
288,535 |
|
|
|
(11,400 |
) |
Fair value, ending balance |
|
$ |
2,192,000 |
|
|
$ |
23,446,999 |
|
|
$ |
25,638,999 |
|
|
$ |
748,600 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Six months ended June 30, |
|
|
|
2026 |
|
|
2025 |
|
|
|
SYME Convertible Note Receivable (related party) |
|
|
Tekne Convertible Note Receivable |
|
|
Total |
|
|
SYME Convertible Note Receivable (related party) |
|
Fair value, beginning balance |
|
$ |
2,585,100 |
|
|
$ |
— |
|
|
$ |
2,585,100 |
|
|
$ |
— |
|
Initial fair value over proceeds paid |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
110,000 |
|
Reclassification of Advance on Tekne Convertible Note Receivable |
|
|
— |
|
|
|
1,179,686 |
|
|
|
1,179,686 |
|
|
|
— |
|
Principal additions |
|
|
— |
|
|
|
20,511,875 |
|
|
|
20,511,875 |
|
|
|
650,000 |
|
Change in fair value |
|
|
(393,100 |
) |
|
|
1,755,438 |
|
|
|
1,362,338 |
|
|
|
(11,400 |
) |
Fair value, ending balance |
|
$ |
2,192,000 |
|
|
$ |
23,446,999 |
|
|
$ |
25,638,999 |
|
|
$ |
748,600 |
|
The fair values of the SYME Convertible Note Receivable and the Tekne Convertible Note Receivable were estimated using Level 3 valuation techniques, a Monte Carlo simulation and a Black-Scholes model, respectively. The significant inputs to the calculation of the fair value of the SYME Convertible Note Receivable and Tekne Convertible Note Receivable at issuance through June 30, 2026 were as follows:
|
|
|
|
|
|
|
|
|
Six months ended June 30, |
|
|
2026 |
|
2025 |
|
|
SYME Convertible Note Receivable (related party) |
|
Tekne Convertible Note Receivable |
|
SYME Convertible Note Receivable (related party) |
Stock price |
$ |
0.000034 - 0.000037 |
$ |
N/A |
$ |
0.000038 - 0.000048 |
Expected term (in years) |
|
0.75 - 1.17 |
|
0.54 - 1.00 |
|
1.00 - 1.25 |
Expected volatility |
|
237.5% - 271.9% |
|
85.0% - 147.5% |
|
157.7% - 188.1% |
Risk-free interest rate |
|
4.0% - 4.2% |
|
3.5% - 4.0% |
|
3.8% - 4.2% |
Expected dividend yield |
|
0.0% |
|
0.0% |
|
0.0% |
Tekne Investment The following table sets forth a summary of the changes in fair value of the Company's Tekne Investment:
|
|
|
|
|
|
|
|
|
|
|
Three months ended June 30, |
|
|
Six months ended June 30, |
|
|
|
2026 |
|
Fair value, beginning balance |
|
$ |
1,012,000 |
|
|
$ |
— |
|
Fair value at issuance |
|
|
— |
|
|
|
1,012,000 |
|
Change in fair value |
|
|
(170,000 |
) |
|
|
(170,000 |
) |
Fair value, ending balance |
|
$ |
842,000 |
|
|
$ |
842,000 |
|
As discussed in Note 4, the fair value of the Tekne Investment at issuance and through June 30, 2026 was estimated using a discounted cash flow method approach, a Level 3 valuation, with the range of significant inputs to the calculation of the fair value as follows:
|
|
|
|
|
Six months ended June 30, |
|
|
2026 |
Stock price |
$ |
N/A |
Expected term (in years) |
|
9.51 - 9.97 |
Expected volatility |
|
N/A |
Risk-free interest rate |
|
4.8% - 4.9% |
Risk-adjusted discount rate |
|
N/A |
Expected dividend yield |
|
N/A |
SYME Bonds The following table sets forth a summary of the changes in fair value of the SYME Bonds:
|
|
|
|
|
|
|
|
|
|
|
Three months ended June 30, |
|
|
Six months ended June 30, |
|
|
|
2026 |
|
Fair value, beginning balance |
|
$ |
5,685,021 |
|
|
$ |
— |
|
Fair value at issuance |
|
|
— |
|
|
|
5,718,059 |
|
Change in fair value |
|
|
95,206 |
|
|
|
62,168 |
|
Fair value, ending balance |
|
$ |
5,780,227 |
|
|
$ |
5,780,227 |
|
The fair value of the SYME Bonds at issuance and through June 30, 2026 was estimated using an income based approach, a Level 3 valuation, with the range of significant inputs to the calculation of the fair value as follows:
|
|
|
|
|
Six months ended June 30, |
|
|
2026 |
Expected term (in years) |
|
2.7 - 2.95 |
Credit spread |
|
13.0% - 13.3% |
Level 3 Financial Liabilities Debt - Fair Value Option The following tables set forth a summary of the changes in fair value of the Company's debt recorded under the fair value option. For information regarding debt not recorded under the fair value option, see Note 10.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Three months ended June 30, |
|
|
|
2026 |
|
|
|
Beginning Balance |
|
|
Issuance |
|
|
Additions & (Payments) |
|
|
Conversion |
|
|
Change in Fair Value |
|
|
Ending Balance |
|
December 2025 YA Debenture |
|
$ |
24,116,097 |
|
|
$ |
— |
|
|
$ |
(8,228,463 |
) |
|
$ |
— |
|
|
$ |
(316,015 |
) |
|
$ |
15,571,619 |
|
2026 Brick Lane H&K Investment Note |
|
|
14,100,600 |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
(75,600 |
) |
|
|
14,025,000 |
|
2025 Indigo Capital Convertible Notes |
|
|
18,924 |
|
|
|
— |
|
|
|
— |
|
|
|
(18,795 |
) |
|
|
(129 |
) |
|
|
— |
|
2025 Diagonal Convertible Notes |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
Agile Note |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
2025 Brick Lane Convertible Notes |
|
|
198,300 |
|
|
|
— |
|
|
|
— |
|
|
|
(196,798 |
) |
|
|
(1,502 |
) |
|
|
— |
|
2025 Bomore Convertible Notes |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
2025 Torcross Convertible Note |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
Total |
|
$ |
38,433,921 |
|
|
$ |
— |
|
|
$ |
(8,228,463 |
) |
|
$ |
(215,593 |
) |
|
$ |
(393,246 |
) |
|
$ |
29,596,619 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Three months ended June 30, |
|
|
|
2025 |
|
|
|
Beginning Balance |
|
|
Issuance |
|
|
Additions & (Payments) |
|
|
Conversion |
|
|
Change in Fair Value |
|
|
Ending Balance |
|
2025 Indigo Capital Convertible Notes |
|
$ |
4,047,000 |
|
|
$ |
3,803,374 |
|
|
$ |
— |
|
|
$ |
(2,761,362 |
) |
|
$ |
1,173,366 |
|
|
$ |
6,262,378 |
|
Agile Note |
|
|
— |
|
|
|
500,000 |
|
|
|
58,417 |
|
|
|
— |
|
|
|
316,143 |
|
|
|
874,560 |
|
2025 Diagonal Convertible Notes |
|
|
— |
|
|
|
399,955 |
|
|
|
— |
|
|
|
— |
|
|
|
(6,735 |
) |
|
|
393,220 |
|
2025 Boot Convertible Note |
|
|
— |
|
|
|
193,215 |
|
|
|
— |
|
|
|
— |
|
|
|
(3,254 |
) |
|
|
189,961 |
|
2025 Brick Lane Convertible Notes |
|
|
— |
|
|
|
2,565,384 |
|
|
|
— |
|
|
|
(2,264,573 |
) |
|
|
(29,972 |
) |
|
|
270,839 |
|
2025 Bomore Convertible Notes |
|
|
— |
|
|
|
1,411,829 |
|
|
|
— |
|
|
|
— |
|
|
|
(28,190 |
) |
|
|
1,383,639 |
|
2025 Torcross Convertible Note |
|
|
— |
|
|
|
133,883 |
|
|
|
— |
|
|
|
— |
|
|
|
1,537 |
|
|
|
135,420 |
|
Total |
|
$ |
4,047,000 |
|
|
$ |
9,007,640 |
|
|
$ |
58,417 |
|
|
$ |
(5,025,935 |
) |
|
$ |
1,422,895 |
|
|
$ |
9,510,017 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Six months ended June 30, |
|
|
|
2026 |
|
|
|
Beginning Balance |
|
|
Issuance |
|
|
Additions & (Payments) |
|
|
Conversion |
|
|
Change in Fair Value |
|
|
Ending Balance |
|
December 2025 YA Debenture |
|
$ |
25,337,500 |
|
|
$ |
— |
|
|
$ |
(10,401,234 |
) |
|
$ |
— |
|
|
$ |
635,353 |
|
|
$ |
15,571,619 |
|
2026 Brick Lane H&K Investment Note |
|
|
— |
|
|
|
23,350,000 |
|
|
|
— |
|
|
|
— |
|
|
|
(9,325,000 |
) |
|
|
14,025,000 |
|
2025 Indigo Capital Convertible Notes |
|
|
51,056 |
|
|
|
— |
|
|
|
— |
|
|
|
(55,134 |
) |
|
|
4,078 |
|
|
|
— |
|
2025 Diagonal Convertible Notes |
|
|
293,659 |
|
|
|
— |
|
|
|
— |
|
|
|
(250,756 |
) |
|
|
(42,903 |
) |
|
|
— |
|
Agile Note |
|
|
14,557 |
|
|
|
— |
|
|
|
(21,000 |
) |
|
|
— |
|
|
|
6,443 |
|
|
|
— |
|
2025 Brick Lane Convertible Notes |
|
|
191,179 |
|
|
|
— |
|
|
|
— |
|
|
|
(222,711 |
) |
|
|
31,532 |
|
|
|
— |
|
2025 Bomore Convertible Notes |
|
|
48,171 |
|
|
|
— |
|
|
|
— |
|
|
|
(60,174 |
) |
|
|
12,003 |
|
|
|
— |
|
2025 Torcross Convertible Note |
|
|
24,084 |
|
|
|
— |
|
|
|
— |
|
|
|
(30,086 |
) |
|
|
6,002 |
|
|
|
— |
|
Total |
|
$ |
25,960,206 |
|
|
$ |
23,350,000 |
|
|
$ |
(10,422,234 |
) |
|
$ |
(618,861 |
) |
|
$ |
(8,672,492 |
) |
|
$ |
29,596,619 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Six months ended June 30, |
|
|
|
2025 |
|
|
|
Beginning Balance |
|
|
Issuance |
|
|
Additions & (Payments) |
|
|
Conversion |
|
|
Change in Fair Value |
|
|
Ending Balance |
|
2025 Indigo Capital Convertible Notes |
|
$ |
— |
|
|
$ |
9,014,474 |
|
|
$ |
— |
|
|
$ |
(3,668,940 |
) |
|
$ |
916,844 |
|
|
$ |
6,262,378 |
|
Agile Note |
|
|
— |
|
|
|
500,000 |
|
|
|
58,417 |
|
|
|
— |
|
|
|
316,143 |
|
|
|
874,560 |
|
2025 Diagonal Convertible Notes |
|
|
— |
|
|
|
399,955 |
|
|
|
— |
|
|
|
— |
|
|
|
(6,735 |
) |
|
|
393,220 |
|
2025 Boot Convertible Note |
|
|
— |
|
|
|
193,215 |
|
|
|
— |
|
|
|
— |
|
|
|
(3,254 |
) |
|
|
189,961 |
|
2025 Brick Lane Convertible Notes |
|
|
— |
|
|
|
2,565,384 |
|
|
|
— |
|
|
|
(2,264,573 |
) |
|
|
(29,972 |
) |
|
|
270,839 |
|
2025 Bomore Convertible Notes |
|
|
— |
|
|
|
1,411,829 |
|
|
|
— |
|
|
|
— |
|
|
|
(28,190 |
) |
|
|
1,383,639 |
|
2025 Torcross Convertible Note |
|
|
— |
|
|
|
133,883 |
|
|
|
— |
|
|
|
— |
|
|
|
1,537 |
|
|
|
135,420 |
|
Total |
|
$ |
— |
|
|
$ |
14,218,740 |
|
|
$ |
58,417 |
|
|
$ |
(5,933,513 |
) |
|
$ |
1,166,373 |
|
|
$ |
9,510,017 |
|
The fair value of the Company's debt recorded under the fair value option was estimated using Level 3 fair value measurements. The range of significant inputs to the calculation of the fair value of the debt recorded under the fair value option at issuance through June 30, 2026 were as follows:
|
|
|
|
|
|
|
|
|
|
|
Six months ended June 30, 2026 |
Valuation Inputs: |
|
December 2025 YA Debenture (1) |
|
Brick Lane H&K Investment Note(2) |
|
2025 Indigo Capital Convertible Notes(1) |
|
2025 Brick Lane
Convertible Notes(1)(3) |
Stock price |
$ |
0.18 |
$ |
0.13 - 0.18 |
$ |
0.18 |
$ |
0.18 |
Expected term (in years) |
|
0.10- 0.70 |
|
0.72- 1.12 |
|
0.38 |
|
0.42 |
Expected volatility |
|
213.0% |
|
150.2% - 175.1% |
|
N/A |
|
N/A |
Risk-free interest rate |
|
3.8% |
|
3.5% - 4.0% |
|
N/A |
|
N/A |
Risk-adjusted discount rate |
|
99.8% |
|
N/A |
|
N/A |
|
N/A |
Expected dividend yield |
|
N/A |
|
N/A |
|
N/A |
|
N/A |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Six months ended June 30, 2025 |
Valuation Inputs: |
|
2025 Indigo Capital Convertible Notes(1) |
|
Agile Note (4) |
|
2025 Diagonal Convertible Notes (1) |
|
2025 Boot Convertible Note (1) |
|
2025 Brick Lane Convertible Notes (1)(3) |
|
2025 Bomore Convertible Notes (3) |
|
2025 Torcross Convertible Note (3) |
Stock price (5) |
$ |
0.80 - 1.75 |
|
N/A |
$ |
0.70 - 1.75 |
$ |
0.70 - 1.75 |
$ |
1.55 - 1.75 |
$ |
1.65 - 1.75 |
$ |
1.70 - 1.75 |
Expected term (in years) |
|
0.67 - 0.99 |
|
0.49 - 0.58 |
|
0.66 - 0.79 |
|
0.66 - 0.79 |
|
0.92 - 1.00 |
|
0.96 - 1.00 |
|
0.98 - 1.00 |
Expected volatility |
|
237.8% - 268.7% |
|
N/A |
|
220.5% - 245.4% |
|
220.5% - 245.4% |
|
N/A |
|
258.4% |
|
N/A |
Risk-free interest rate |
|
4.0% - 4.2% |
|
N/A |
|
4.2% |
|
4.2% |
|
N/A |
|
4.1% |
|
N/A |
Risk-adjusted discount rate |
|
0.0% - 12.9% |
|
18.0% - 18.6% |
|
N/A |
|
N/A |
|
N/A |
|
N/A |
|
N/A |
Expected dividend yield |
|
N/A |
|
N/A |
|
N/A |
|
N/A |
|
N/A |
|
N/A |
|
N/A |
(1)Through March 21, 2026, the fair value was estimated using a Monte Carlo simulation model, which incorporates significant assumptions including the expected volatility of the Company's stock price, the risk-free interest rate, and the timing and probability of future liquidity events. Beginning with the June 30, 2026 valuation, the Company utilized a discounted cash flow valuation method due to the expected near-term settlement of the debenture, which occurred in July 2026 using proceeds from the July 2026 Offering, as defined and described in Note 18. (2)Fair value was estimated using a combination of the Black-Scholes option pricing model to value the conversion feature and a discounted principal component using a credit-adjusted discount rate. The valuation involves significant judgment in determining key inputs such as the Company's expected stock price volatility, the risk-free rate of return, the conversion price, and the applicable credit-adjusted discount rate. (3)Fair value was estimated using the current value method, which allocates the Company's most recent enterprise value to the various classes of equity based on their respective rights and preferences. (4)Fair value was estimated using a discounted cash flow method, which applies a risk-adjusted discount rate to projected future cash flows. The valuation involves significant judgment in determining key inputs such as forecasted revenue growth, margin expectations and discount rates. (5)Stock price amount for the period presented has been adjusted to reflect the 1-for-4.99 February 2026 Reverse Stock Split. See Note 2 for additional information. SEPA Liability The following table sets forth a summary of the changes in fair value of the Company's SEPA liability:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Three months ended June 30, |
|
|
Six months ended June 30, |
|
|
|
2026 |
|
|
2025 |
|
|
2026 |
|
|
2025 |
|
Fair value, beginning balance |
|
$ |
2,994,500 |
|
|
$ |
— |
|
|
$ |
3,201,500 |
|
|
$ |
— |
|
Fair value at issuance |
|
|
— |
|
|
|
3,582,724 |
|
|
|
— |
|
|
|
3,582,724 |
|
Common Stock issued |
|
|
(9,090,785 |
) |
|
|
(545,309 |
) |
|
|
(11,241,621 |
) |
|
|
(545,309 |
) |
Settlement of December 2025 YA Debenture |
|
|
7,028,193 |
|
|
|
— |
|
|
|
9,200,964 |
|
|
|
— |
|
Cash proceeds |
|
|
1,795,571 |
|
|
|
— |
|
|
|
1,795,571 |
|
|
|
— |
|
Change in fair value |
|
|
(1,244,414 |
) |
|
|
260,507 |
|
|
|
(1,473,349 |
) |
|
|
260,507 |
|
Fair value, ending balance |
|
$ |
1,483,065 |
|
|
$ |
3,297,922 |
|
|
$ |
1,483,065 |
|
|
$ |
3,297,922 |
|
The fair value of the Company's SEPA liability at issuance and through June 30, 2026 was estimated using (i) related to the put option, a Monte Carlo valuation model utilizing various inputs including the Company’s stock price, volatility, risk-free interest rate, expected term of the agreement and expected share draw amount and (ii) for the June 30, 2025 valuation, related to the shares issuable in connection with the SEPA commitment fee, the fair value of the underlying shares, each of which is a Level 3 valuation. The range of significant inputs to the calculation of the fair value of the SEPA liability at issuance through June 30, 2026 were as follows:
|
|
|
|
|
|
|
Six months ended June 30, |
|
|
2026 |
|
2025 (1) |
Stock price |
$ |
0.13 - 0.18 |
$ |
1.75 - 1.85 |
Expected term (in years) |
|
1.9 - 2.2 |
|
2.9 - 3.0 |
Expected volatility |
|
206.0 % - 213.0% |
|
205.0% |
Risk-free interest rate |
|
3.8% - 4.1% |
|
3.7% - 3.9% |
Expected dividend yield |
|
N/A |
|
0.0% |
(1)Stock price amount for the period presented has been adjusted to reflect the 1-for-4.99 February 2026 Reverse Stock Split. See Note 2 for additional information. Warrant Liabilities The following table sets forth a summary of the changes in fair values of the February 2026 Offering Common Warrants, February 2026 Offering Pre-Funded Warrants, 2025 Offering Common Stock Warrants and Junior Note Warrants (the warrants issued in connection with the Junior Notes, as further described in Note 12):
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Three months ended June 30, |
|
|
|
2026 |
|
|
2025 |
|
|
|
February 2026 Offering Common Warrants |
|
|
February 2026 Offering Pre-Funded Warrants |
|
|
2025 Offering Common Stock Warrants |
|
|
Junior Note Warrants |
|
|
Total Warrant Liabilities |
|
|
Junior Note Warrants |
|
Fair value, beginning balance |
|
$ |
5,080,540 |
|
|
$ |
376,198 |
|
|
$ |
93,610 |
|
|
$ |
66,992 |
|
|
$ |
5,617,340 |
|
|
$ |
1,315 |
|
Fair value allocation at issuance |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
Exercises |
|
|
— |
|
|
|
(597,577 |
) |
|
|
(346,060 |
) |
|
|
— |
|
|
|
(943,637 |
) |
|
|
— |
|
Change in fair value |
|
|
(1,279,002 |
) |
|
|
221,379 |
|
|
|
252,450 |
|
|
|
(24,242 |
) |
|
|
(829,415 |
) |
|
|
16,986 |
|
Fair value, ending balance |
|
$ |
3,801,538 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
42,750 |
|
|
$ |
3,844,288 |
|
|
$ |
18,301 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Six months ended June 30, |
|
|
|
2026 |
|
|
2025 |
|
|
|
February 2026 Offering Common Warrants |
|
|
February 2026 Offering Pre-Funded Warrants |
|
|
2025 Offering Common Stock Warrants |
|
|
Junior Note Warrants |
|
|
Total Warrant Liabilities |
|
|
Junior Note Warrants |
|
Fair value, beginning balance |
|
$ |
— |
|
|
$ |
— |
|
|
$ |
353,160 |
|
|
$ |
44,241 |
|
|
$ |
397,401 |
|
|
$ |
128,615 |
|
Fair value allocation at issuance |
|
|
14,055,705 |
|
|
|
4,863,259 |
|
|
|
— |
|
|
|
— |
|
|
|
18,918,964 |
|
|
|
— |
|
Exercises |
|
|
— |
|
|
|
(2,900,342 |
) |
|
|
(346,060 |
) |
|
|
— |
|
|
|
(3,246,402 |
) |
|
|
— |
|
Change in fair value |
|
|
(10,254,167 |
) |
|
|
(1,962,917 |
) |
|
|
(7,100 |
) |
|
|
(1,491 |
) |
|
|
(12,225,675 |
) |
|
|
(110,314 |
) |
Fair value, ending balance |
|
$ |
3,801,538 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
42,750 |
|
|
$ |
3,844,288 |
|
|
$ |
18,301 |
|
The aggregate fair values of the February 2026 Offering Common Warrants, February 2026 Offering Pre-Funded Warrants, 2025 Offering Common Stock Warrants and Junior Note Warrants were estimated using a Monte Carlo simulation based approach, a Level 3 valuation. The range of significant inputs to the calculation of the fair value of the warrant liability related to the February 2026 Offering Common Warrants, February 2026 Offering Pre-Funded Warrants, 2025 Offering Common Stock Warrants and Junior Note Warrants at issuance through June 30, 2026 were as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
Six months ended June 30, |
|
|
2026 |
|
2025 |
|
|
February 2026 Offering Common Warrants |
|
February 2026 Offering Pre-Funded Warrants |
|
2025 Offering Common Stock Warrants |
|
Junior Note Warrants |
|
Junior Note Warrants (1) |
Stock price |
$ |
0.10 - 0.18 |
$ |
0.10 - 0.18 |
$ |
0.18 |
$ |
0.13 - 0.17 |
$ |
1.75 |
Expected term (in years) |
|
4.60 - 5.00 |
|
N/A |
|
N/A |
|
2.40 - 3.40 |
|
3.4 - 4.1 |
Expected volatility |
|
146.0% - 168.0% |
|
N/A |
|
N/A |
|
192.0% - 205.0% |
|
66.2% - 70.8% |
Risk-free interest rate |
|
3.6% - 4.2% |
|
N/A |
|
N/A |
|
3.9% - 4.2% |
|
3.7% |
Expected dividend yield |
|
N/A |
|
N/A |
|
N/A |
|
N/A |
|
0.0% |
(1)Stock price amount for the period presented has been adjusted to reflect the 1-for-4.99 February 2026 Reverse Stock Split. See Note 2 for additional information. Contingent Consideration The following table sets forth a summary of the changes in fair values of the contingent consideration, which is comprised of the RegTech Contingent Consideration and the Lyocon Contingent Consideration, each as defined and described in Note 4:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Three months ended June 30, |
|
|
|
2026 |
|
|
|
RegTech Contingent Consideration |
|
|
Lyocon Contingent Consideration |
|
|
Total |
|
Fair value, beginning balance |
|
$ |
482,916 |
|
|
$ |
142,575 |
|
|
$ |
625,491 |
|
Fair value at issuance |
|
|
— |
|
|
|
— |
|
|
|
— |
|
Change in fair value |
|
|
351,042 |
|
|
|
17,481 |
|
|
|
368,523 |
|
Foreign currency translation adjustment |
|
|
(9,572 |
) |
|
|
— |
|
|
|
(9,572 |
) |
Fair value, ending balance |
|
$ |
824,386 |
|
|
$ |
160,056 |
|
|
$ |
984,442 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Six months ended June 30, |
|
|
|
2026 |
|
|
|
RegTech Contingent Consideration |
|
|
Lyocon Contingent Consideration |
|
|
Total |
|
Fair value, beginning balance |
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
Fair value at issuance |
|
|
790,432 |
|
|
|
138,558 |
|
|
|
928,990 |
|
Change in fair value |
|
|
46,661 |
|
|
|
21,498 |
|
|
|
68,159 |
|
Foreign currency translation adjustment |
|
|
(12,707 |
) |
|
|
— |
|
|
|
(12,707 |
) |
Fair value, ending balance |
|
$ |
824,386 |
|
|
$ |
160,056 |
|
|
$ |
984,442 |
|
The fair value of the RegTech Contingent Consideration and the Lyocon Contingent Consideration at issuance and through June 30, 2026 were each estimated using a Monte Carlo simulation based approach, a Level 3 valuation, with the range of significant inputs to the calculation of the fair value as follows:
|
|
|
|
|
|
|
Six months ended June 30, |
|
|
2026 |
|
|
RegTech Contingent Consideration |
|
Lyocon Contingent Consideration |
Stock price |
$ |
N/A |
$ |
N/A |
Expected term (in years) |
|
2.25 - 2.71 |
|
2.34 - 4.79 |
Expected volatility |
|
42.5% - 60.0% |
|
77.5% |
Risk-free interest rate |
|
3.6% - 4.1% |
|
3.7% - 4.2% |
Risk-adjusted discount rate |
|
13.5% - 19.1% |
|
19.4% - 23.5% |
Expected dividend yield |
|
N/A |
|
N/A |
August 2024 Convertible Note Derivative Liability In March 2025, the remaining August 2024 Convertible Notes (the convertible notes issued by the Company in August 2024) were purchased by Indigo Capital and subsequently extinguished. For additional information, see Note 10. The following table sets forth a summary of the changes in fair value of the Company's August 2024 Convertible Note Derivative Liability:
|
|
|
|
|
|
|
Six months ended June 30, |
|
|
|
2025 |
|
Fair value, beginning balance |
|
$ |
37,900 |
|
Extinguishment of August 2024 Convertible Notes |
|
|
(37,900 |
) |
Fair value, ending balance |
|
$ |
— |
|
|