Company: IXHL
Filing Date: 2025-02-14
Form Type: 10-Q
Source: 0001213900-25-013783
Chunk: 77

Company: Incannex Healthcare Inc.
Filing Date: 2025-02-14
Form: 10-Q
Item: Part I, Item 8
Chunk 77
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 costs were
capitalized to the carrying amount of the debt. Such costs are presented on the balance sheet as a direct deduction from that debt liability
host.

The First Tranche Warrant was classified as a Level
3 financial instrument in the fair value hierarchy and were valued using the BSOPM. The following table presents the fair value of the
First Tranche Warrant and the valuation assumptions under the BSOPM as of December 31, 2024, and at inception.

    December 31,  2024  
    At inception 
  
    Fair value 
    $547  
    $365 
  
    Exercise price 
    $1.89  
    $1.89 
  
    Common stock price 
    $2.12  
    $1.60 
  
    Expected option term (years) 
     4.7  
     4.9 
  
    Expected volatility 
     60.0% 
     60.0%
  
    Risk free rate of return 
     4.28% 
     3.81%
  
    Expected annual dividend yield 
     Nil  
     Nil 

The conversion right of the First Tranche Debenture
classified as a Level 3 financial instrument within the fair value hierarchy and were valued using the Monte Carlo option pricing model
(“MCSOPM”). The following table presents the fair value of the conversion right of the First Tranche Debenture and the valuation
assumptions under the MCSOPM as of December 31, 2024 and at inception.

    December 31,  2024  
    At inception 
  
    Fair value 
    $477  
    $300 
  
    Exercise price 
    $1.84  
    $1.84 
  
    Common stock price 
    $2.12  
    $1.64 
  
    Expected option term (years) 
     1.3  
     1.5 
  
    Expected volatility 
     60.0% 
     60.0%
  
    Risk free rate of return 
     4.10% 
     3.98%
  
    Expected annual dividend yield 
     Nil  
     Nil 

For subsequent measurement of the debt host, refer
to Note 13.

Note 13 – Debt

The table below presents details of the Company’s
debt as of the following periods