|
The Company uses a third-party valuation expert
to assist in the determination of the fair value of the Warrants. The tables below summarize the valuation inputs into the Black Scholes
model for the liability associated with the three tranches of Warrants at December 31, 2024, and March 31, 2025.
| Tranche A Warrant |
|
At
December 31,
2024 |
|
|
At
March 31,
2025 |
|
| Fair value of underlying stock |
|
$ |
0.79 |
|
|
$ |
0.57 |
|
| Exercise price |
|
$ |
0.54 |
|
|
$ |
0.54 |
|
| Volatility |
|
|
105.4% – 111.3 |
% |
|
|
71.2% – 104.7 |
% |
| Risk free rate |
|
|
4.2 |
% |
|
|
4.0%
– 4.3 |
% |
| Dividend yield |
|
|
0 |
% |
|
|
0 |
% |
| Term (in years) |
|
|
0.5
– 1.5 |
|
|
|
0.2
– 1.2 |
|
| Discount for lack of marketability |
|
|
7.5 |
% |
|
|
7.5 |
% |
| Probability for FDA approval |
|
|
38.48% - 39.29 |
% |
|
|
38.48% - 39.29 |
% |
| Tranche B Warrant |
|
At
December 31,
2024 |
|
|
At
March 31,
2025 |
|
| Fair value of underlying stock |
|
$ |
0.79 |
|
|
$ |
0.57 |
|
| Exercise price |
|
$ |
0.59 |
|
|
$ |
0.59 |
|
| Volatility |
|
|
105.4% - 125.2 |
% |
|
|
103.1% - 104.7 |
% |
| Risk free rate |
|
|
4.2 |
% |
|
|
4.0% - 4.1 |
% |
| Dividend yield |
|
|
0 |
% |
|
|
0 |
% |
| Term (in years) |
|
|
1.0 - 2.0 |
|
|
|
0.8 - 1.8 |
|
| Discount for lack of marketability |
|
|
7.5 |
% |
|
|
7.5 |
% |
| Probability for FDA approval |
|
|
30 |
% |
|
|
30.0 |
% |
| Tranche C Warrant |
|
At
December 31,
2024 |
|
|
At
March 31,
2025 |
|
| Fair value of underlying stock |
|
$ |
0.79 |
|
|
$ |
0.57 |
|
| Exercise price |
|
$ |
0.74 |
|
|
$ |
0.74 |
|
| Volatility |
|
|
105.4% - 125.2 |
% |
|
|
103.1% - 122.3 |
% |
| Risk free rate |
|
|
4.2 |
% |
|
|
3.9% - 4.0 |
% |
| Dividend yield |
|
|
0 |
% |
|
|
0 |
% |
| Term (in years) |
|
|
1.5 – 2.5 |
|
|
|
1.2 – 2.2 |
|
| Discount for lack of marketability |
|
|
7.5 |
% |
|
|
7.5 |
% |
| Probability for FDA approval |
|
|
0.01% - 27.46 |
% |
|
|
0.01% - 27.46 |
% |
|