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 | | | June 30,
2026 | | | Expected volatility (%) | | | 85.6 | % | | | 92.4 | % | | Risk-free interest rate (%) | | | 3.61 | % | | | 4.18 | % | | Expected dividend yield | | | 0.0 | % | | | 0.0 | % | | Expected term (years) | | | 5 | | | | 4.66 | | | Conversion price (U.S. dollars) | | | 2.130 | | | | 2.130 | | | Underlying share price (U.S. dollars) | | | 2.130 | | | | 0.171 | | | Fair value (U.S. dollars in thousands) | | | 25,429 | | | | 124,387 | |
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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 | |
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