Company: CDT
Filing Date: 2025-08-14
Form Type: 10-Q
Source: 0001641172-25-024140
Chunk: 91

Company: CDT Equity Inc.
Filing Date: 2025-08-14
Form: 10-Q
Item: Part I, Item 8
Chunk 91
---
 Nirland Note was repaid in full.

Additionally,
as discussed in Note 4, during November 2024, the Company issued to A.G.P./Alliance Global Partners (“A.G.P.”) a convertible promissory note (the “A.G.P. Convertible
Note”) in the principal amount of $5.7 million to evidence the A.G.P.’s currently owed deferred commission payable.

The
Company elected to account for the August 2024 Nirland Note and A.G.P. Convertible Note (collectively the “Convertible Notes Payable”)
at fair value. The fair value of the Convertible Notes Payable is estimated each period using a binomial lattice model. Significant estimates
in the binomial lattice model include the Company’s stock price, volatility, risk-free rate, corporate bond yield, credit spread,
probability of default, and recovery upon default.

As
of June 30, 2025, no obligations remain under the August 2024 Nirland Note (refer to Note 4 for details) and therefore only the fair
value of the A.G.P. Convertible Note was estimated using a binomial lattice model.

    12

The
following table outlines the range of significant unobservable inputs used in calculating the fair value of the A.G.P. Convertible Note
as of June 30, 2025, and December 31, 2024:

 Schedule of Fair Value of Assumptions

    June
                                            30,
                                                                                                                         2025  
    December
                                            31,
                                                                                                                         2024 
  
    Stock Price 
    $2.76  
    $103.50 
  
    Term
    (years) 
     0.41  
     0.9 
  
    Corporate
    bond yield 
     16.3% 
     9.0%
  
    Credit
    Spread 
     26.2% 
     26.2%
  
    Probability of Default 
     40% 
     40%
  
    Recovery
    upon default 
     0% 
     0%
  
    Volatility 
     194.3% 
     101.6%

Liability
Classified Warrants

The
A.G.P. 2024 Warrants, as defined in Note 13, are accounted for as liabilities in accordance with ASC 815-40 and are presented within
Warrant liabilities in the condensed consolidated balance sheets.