Company: XAIR
Filing Date: 2025-02-10
Form Type: 10-Q
Source: 0001493152-25-005678
Chunk: 92

Company: Beyond Air, Inc.
Filing Date: 2025-02-10
Form: 10-Q
Item: Part II, Item 8
Chunk 92
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23,090  
    $23,090  
    $-  
    $- 

    Liabilities: 

    Warrant liability 
    $275  
    $-  
    $-  
    $275 
  
    Derivative liability 
     1,314  
     -  
     -  
     1,314 
  
    Total liabilities measured and recorded at fair value 
    $1,589  
    $-  
    $-  
    $1,589 

Level
3 Valuation

The
common stock warrants issued in connection with the Loan and Security Agreement in June 2023 (Note 10) are recorded as a warrant liability
within the unaudited condensed consolidated balance sheet as of December 31, 2024 as the warrants contain certain settlement features
that are not indexed to the Company’s own stock. In addition, the conversion feature embedded within the long-term debt required
bifurcation as certain adjustments to the conversion price were not indexed to the Company’s own stock and recorded as a derivative
liability. The warrants and derivative liability are remeasured each reporting period with the change in fair value recorded to other
income (expense) in the condensed consolidated statement of operations and comprehensive loss until the warrants and derivative are exercised,
expired, reclassified or otherwise settled. The significant assumptions used in valuing the warrants and derivative were as follows:

  SCHEDULE
OF VALUING THE WARRANTS AND DERIVATIVES

    At December 31, 2024 
    Warrants  
    Derivative 
  
    Expected term (in years) 
     3.5  
     - 
  
    Volatility 
     99.9% 
     - 
  
    Risk-free rate 
     4.27% 
     - 

    At March 31, 2024 
    Warrants  
    Derivative 
  
    Expected term (in years) 
     4.25  
     3.25 
  
    Volatility 
     88% 
     86%
  
    Risk-free rate 
     4.09% 
     4.38%

The
bifurcated derivative liability was revalued to zero at September 30, 2024 as the conversion feature has a 30% premium to the latest
price per round and was known/knowable at