Company: VLDXW
Filing Date: 2025-08-06
Form Type: 10-Q
Source: 0001641172-25-022448
Chunk: 39

Company: Velo3D, Inc.
Filing Date: 2025-08-06
Form: 10-Q
Item: Part I, Item 1
Chunk 39
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—% 
     —%
  
    Expected Term (years) 
     0—  
     0— 

    20

Expected
volatility: The volatility is determined iteratively, such that the concluded value of the Private Placement Warrants are equal to the
traded price.

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 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, 2023 Placement Agent Warrants - Fair Value Assumptions

The
fair value assumptions used in the Black-Scholes simulation model for the recurring valuation of the 2022 Private Warrants, the RDO Warrants,
and the 2023 Placement Agent Warrants liabilities were as follows:

    As of 
June 30, 2025  
    As of 
December 31, 2024 
  
    Current stock price 
    $7.20  
    $10.20 
  
    Expected volatility 
     154.6% 
     139.9%
  
    Risk-free interest rate 
     4.1% 
     4.3%
  
    Dividend rate 
     —% 
     —%
  
    Expected Term (years) 
     3.50  
     4.00 

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