Company: CDT
Filing Date: 2025-03-28
Form Type: 10-K
Source: 0001641172-25-001246
Chunk: 859

Company: CDT Equity Inc.
Filing Date: 2025-03-28
Form: 10-K
Item: Item 9B
Chunk 859
---
0%
  
    Credit Spread

    26.2
    % 
     26.2%
  
    Probability of Default

    40
    % 
     40%
  
    Recovery upon default

    0
    % 
     0%
  
    Volatility

    108.7
    % 
     101.6%

    F-16

Liability
Classified Warrants

The
PIPE Warrants, A.G.P. Warrants, and A.G.P. 2024 Warrants, as defined in Note 18, are accounted for as liabilities in accordance with ASC 815-40 and are presented
within Warrant liabilities in the 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 consolidated statements of operations and comprehensive
income (loss).

The
measurement of the PIPE Warrants and the measurement of the A.G.P warrants are classified as Level 2 fair value measurements due to the
use of an observable market quote for the Company’s publicly traded warrants, which are considered to be a similar asset in an
active market. 

The
PIPE Warrant and A.G.P. Warrant liabilities are calculated by multiplying the quoted market price of the Company’s publicly traded
warrants by the number of liability classified warrants.

On
December 11, 2024, the Company amended the exercise price of the PIPE Warrants to be $8.83,
at which time all PIPE Warrants were exercised. As the exercise price was amended on the same date that the PIPE Warrants were
exercised, the Company remeasured the warrant liability immediately before exercise based on the difference between the closing
stock price of the Company’s common stock on December 11, 2024, and the amendment exercise price of the PIPE Warrants,
resulting in a gain on the change in fair value of warrant liability of approximately $12
thousand. Refer to Note 18 for additional information. Upon exercise of the PIPE Warrants, less than $1
thousand of Level 2 liability classified warrants remain on the consolidated balance sheet as of December 31, 2024.

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 warrants