Company: VLDXW
Filing Date: 2025-01-14
Form Type: 10-Q
Source: 0000950170-25-005443
Chunk: 107

Company: Velo3D, Inc.
Filing Date: 2025-01-14
Form: 10-Q
Item: Part I, Item 8
Chunk 107
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 that the warrants are expected to be outstanding and is determined using the simplified method, which deems the term to be the average of the time to vesting and the contractual life of the common stock warrants.2022 Private Warrants, RDO Warrants, Placement Agent Warrants - Fair Value AssumptionsThe fair value assumptions used in the Black-Scholes simulation model for the recurring valuation of the 2022 Private Warrant, the RDO Warrants, and the Placement Agent Warrants liabilities were as follows: 

        As of September 30, 2024

        As of December 31, 2023

        Current stock price
         
        $
        0.72

        $
        14.00

        Expected volatility

        138.0
        %

        108.3
        %

        Risk-free interest rate

        4.9
        %
         
        3.8% - 3.9%

        Dividend rate

        —
        %

        —
        %

        Expected Term (years)

        9.82

        5 - 10.57

       Expected volatility: The expected volatility was derived from the implied volatility of the Company’s publicly traded common stock.Risk-free interest rate: The risk-free interest rate is based on the U.S. Treasury yield curve in effect at the time of grant for zero-coupon U.S. Treasury notes with maturities corresponding to the expected term of the common stock warrants.Expected dividend yield: The expected dividend rate is zero as the Company currently has no history or expectation of declaring dividends on its common stock.Expected term: The expected term represents the period that the warrant is expected to be outstanding and is determined using the simplified method, which deems the term to be the average of the time to vesting and the contractual life of the warrant.2024 Private Warrants, - Fair Value AssumptionsThe fair value assumptions used in the Monte Carlo simulation model for the valuation of the 2024 Private Warrants liability was as follows: 

        As of September 30, 2024

        Current stock price
         
        $
        0.72

        Expected volatility

        188.8
        %

        Risk-free interest rate

        4.2
        %

        Dividend yield

        —
        %

        Expected Term (years)

        0.62

       Expected volatility: The expected volatility was derived from