Company: CERO
Filing Date: 2025-11-19
Form Type: 10-Q
Source: 0001213900-25-112619
Chunk: 209

Company: CERO THERAPEUTICS HOLDINGS, INC.
Filing Date: 2025-11-19
Form: 10-Q
Item: Item 8
Chunk 209
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 impairment, if any. This non-cash transaction during the three months ended June 30, 2025 did not impact the Company’s
cash flows and is disclosed as a non-cash investing and financing activity in the condensed consolidated statement of cash flows in accordance
with ASC 230, Statement of Cash Flows.

Earnout and warrant
liabilities

The Company initially recorded
the earnout liability at estimated fair value using a Monte Carlo analysis and has revalued the earnout liability at each subsequent period.
The Monte Carlo analysis used the following assumptions:

    February 14 

    September 30, 2025  
    2024 to September 30, 2024 

    (Successor)  
    (Successor) 
  
    Starting share price 
    $14.60  
     $180.00 to $9,800.00 
  
    Tranche 1 trigger price 
    $2,500.00  
     $2,500.00 to $6,400.00 
  
    Tranche 2 trigger price 
    $3,000.00  
     $3,000.00 to $7,700.00 
  
    Contractual term (in years) 
     2.40  
     3.40 to 4.00 
  
    Volatility 
     100% 
     90%
  
    Risk-free interest rate 
     3.82% 
     3.52% to 4.33% 

27

The classification of the fair
value of the earnout liability and derivative liabilities and the change in the fair value measurement using significant inputs (Level
3) for the nine months ended September 30, 2025 (Successor), for the period from January 1, 2024 through February 13, 2024 (Predecessor),
for the three months ended September 30, 2024 (Successor), and for the period from February 14, 2024 through September 30, 2024 (Successor)
for the Company is presented below:

    Level 1  
    Level 2  
    Level 3  
    Total 
  
    Preferred stock warrant liability (Predecessor): 

    Balance at December 31, 2023 
    $-  
    $-  
    $320,117  
     320,117