Company: DDC
Filing Date: 2025-01-28
Form Type: 20-F
Source: 0001213900-25-007160
Chunk: 314

Company: DDC Enterprise Ltd
Filing Date: 2025-01-28
Form: 20-F
Item: Item 19
Chunk 314
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                                                                     As of                                                   As of                                 
  Risk-free interest rate                                                               4.60                       4.60                             3.92%- 4.12    
  Expected volatility                                                                  40.87                      40.95                             35.55%- 41.61  
  Dividend yield                                                                        0.00                       0.00                             0.00           
  Remaining contractual life                                                            0.75                       0.74                             Permanent      
  Fair value of the underlying preferred shares/ordinary shares      US$               45.28      US$             12.96      US$                    4.67           

The Company estimated the fair values of option
liability using the binomial option-pricing model with the assistance of an independent third-party valuation firm using the corresponding
inputs:

                                                     As of                    
  Risk-free interest rate                                               4.59  
  Expected volatility                                                  37.57  
  Dividend yield                                                        0.00  
  Remaining contractual life                                            0.09  
  Fair value of the underlying preferred shares      US$               16.16  

  (1)      The                                                                                                                                     

  (2)      The                                                                                                                                   

  (3)      The                                                                                                                                       

The fair value of the convertible loans measured
at fair value was RMB18.8million (US$2.7million) and RMB14.3million (US$2.0million) as of December 31, 2022 and 2023, respectively.
The Company estimated the fair value of the convertible loans based on a probability-weighted analysis which included the discounted cash
flows from the convertible loans and the value of the conversion option as determined by the binomial option pricing model. The inputs
used in the analysis were classified as Level 3 inputs within the fair value hierarchy due to the lack of observable market data and activity.
If different estimates and assumptions had been used, the fair values of the preferred shares and ordinary shares could be significantly
different, and the fair value of the convertible loans may materially differ from the recognized amount. Interest expense on the Company’s
fixed- rate debt is displayed separately from other changes in its fair value. The amount presented as interest expense is determined
each period by applying the interest method using the effective interest rate on the debt at its issuance.

The Company did not transfer any financial assets
or liabilities in or out of Level 3 during the years ended December 31,