Company: CDT
Filing Date: 2025-08-14
Form Type: 10-Q/A
Source: 0001641172-25-024123
Chunk: 21

Company: CDT Equity Inc.
Filing Date: 2025-08-14
Form: 10-Q/A
Chunk 21
---
     |   |           0.65 |   |     |   |               0.9 |   |
| Corporate bond yield   |     |   |           11.1 | % |     |   |               9.0 | % |
| Credit Spread          |     |   |           26.2 | % |     |   |              26.2 | % |
| Probability of Default |     |   |             40 | % |     |   |                40 | % |
| Recovery upon default  |     |   |              0 | % |     |   |                 0 | % |
| Volatility             |     |   |          167.0 | % |     |   |             101.6 | % |

Liability Classified Warrants

The A.G.P. 2024 Warrants, as defined in Note 15, are accounted for as liabilities in accordance with ASC 815-40 and are presented within Warrant liabilities in the condensed consolidated balance sheets. Warrant liabilities are measured at fair value at inception and on a recurring basis, with changes in fair value presented within other income (expense), net in the condensed consolidated statements of operations and comprehensive loss.

| 12 |

The measurement of the A.G.P. 2024 Warrants is classified as Level 3 due to the use of an option-pricing model that utilizes unobservable inputs and requires significant judgement. The Company estimated the fair value of the A.G.P. 2024 Warrants as of March 31, 2025 and December 31, 2024, utilizing a Black-Scholes option-pricing model with the following assumptions:

Schedule of Fair Value of Assumptions

|                                      |     |   | March 31, 2025 |   |     |   | December 31, 2024 |   |
|:-------------------------------------|:----|:--|---------------:|:--|:----|:--|------------------:|:--|
| Closing stock price                  |     | $ |           0.78 |   |     | $ |              6.90 |   |
| Contractual exercise price           |     | $ |          10.48 |   |     | $ |             10.48 |   |
| Risk-free rate                       |     |   |           4.78 | % |     |   |              4.38 | % |
| Estimated volatility