Company: QTIWW
Filing Date: 2025-11-12
Form Type: 10-Q
Source: 0001628280-25-051332
Chunk: 44

Company: QT IMAGING HOLDINGS, INC.
Filing Date: 2025-11-12
Form: 10-Q
Item: Part I, Item 1
Chunk 44
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-Scholes Model. 

15

Significant assumptions used in the valuation of the fair value of the Yorkville Warrant as of issuance on February 26, 2025 and as of modification on June 11, 2025 were as follows:February 26, 2025June 11, 2025Fair value of common stock$1.20 $1.50 Exercise price$1.20 $1.20 Expected warrant term (years)5.0 4.7 Expected volatility51.6 %39.2 %Risk-free rate of return4.1 %4.0 %Expected annual dividend yield— %— %The activity for the fair value of the Yorkville Warrant during the three and nine months ended September 30, 2025 were as follows:Yorkville WarrantBeginning balance, January 1, 2025$— Fair value at issuance2,992,522Change in fair value111,795 Ending balance, March 31, 20253,104,317 Change in fair value484,872 Reclassification of warrant liability upon warrant modification(3,589,189)Ending balance, June 30, 2025 and September 30, 2025$— Earnout LiabilityThe fair value of the Merger Consideration Earnout shares was calculated using a Monte Carlo simulation. The simulation used as significant inputs the Company's management’s current assessment of placements of breast scanning systems in 2024 and 2025, likely expected values for revenues from 2024 through 2026, probabilities for regulatory approvals including FDA clearances, and probabilities of other triggering events related to the open angle scanner. The probabilities of the non-revenue triggers generally range from 0 to 25 percent. The revenue forecast for the respective measurement periods are generally in line with the revenue triggers as defined in the Business Combination Agreement, as amended. Additional significant inputs into the simulation include the volatility of Company's equity, assets, and revenue that was derived in a manner as would be common for such simulation, and published industry operating profitability metrics. A weighted average cost of capital (“WACC”) was estimated based on a venture capital rates of return on debt and equity. This WACC was used as the discount rate applicable to revenue, after applying a delivering factor to convert it from being applicable to earnings before interest and tax (“EBIT”) to being applicable to revenue. This EBIT to revenue delivering factor was estimated