Company: CDT
Filing Date: 2025-05-15
Form Type: 10-Q
Source: 0001641172-25-010405
Chunk: 144

Company: CDT Equity Inc.
Filing Date: 2025-05-15
Form: 10-Q
Item: Part I, Item 2
Chunk 144
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attice Pricing Models involve the construction
of various intermediate lattices: stock price tree, conversion value tree, conversion probability tree, and discount rate tree. In doing
so, we assume the holders act rationally to maximize return and minimize cost at each decision point. We computed the notes payoff at
maturity and at intermediate decision nodes based upon the better of (i) conversion or (ii) repayment of principal and interest.

The
significant inputs and assumptions used to estimate the fair value include:
(i) the Company’s stock price; (ii) the term of the convertible debt; (iii) the sum of the notes’ principal and unpaid accrued
interest; (iv) expected volatility; (v) risk-free interest rate; (vi) the corporate bond yield; (vii) the credit spread; (viii) probability
of default; and (ix) the estimated recovery upon default. Any change to the unobservable inputs to estimate fair value could produce significantly
higher or lower fair value measurements and result in a material change within the financial statements.

The
convertible debt will subsequently be remeasured at fair value each reporting date until settled or converted.

Fair
Value of Warrants

The Company has issued warrants
to investors in our debt and equity offerings. The Company has also issued warrants to service providers in relation to our financing
offerings. We evaluate all warrants issued to determine the appropriate classification under ASC 480 and ASC 815.

For
warrants that are determined to be equity-classified, we estimate the fair value at issuance and record the amounts to additional paid
in capital. For warrants that are determined to be liability-classified, we estimate the fair value at issuance and each subsequent reporting
date.

For
the Company’s liability classified warrants, we estimate fair value
using the Black-Scholes model. The significant inputs and assumptions used to estimate the fair value include: (i) the Company’s
stock price; (ii) the risk-free rate; (iii) the expected volatility; and (iv) the dividend yield. The use of these valuation models requires
the input of highly subjective assumptions. Any change to these inputs could produce significantly higher or lower fair value measurements
and result in a material change within the financial statements.

35

Contingencies

In
the ordinary course of business, we are involved in various legal proceedings that are complex in nature and have outcomes that are difficult
to predict. We describe our legal proceedings and other matters that are significant or that we