Company: PTHS
Filing Date: 2025-03-27
Form Type: 10-K
Source: 0001753926-25-000503
Chunk: 668

Company: Pelthos Therapeutics Inc.
Filing Date: 2025-03-27
Form: 10-K
Item: Item 1C
Chunk 668
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    Exercise price
     
    $
    0.73-1.30

    $
    22.68

    Expected dividend yield

    0
    %

    0
    %

    Risk free interest rate

    4.20
    %

    3.50-3.93
    %

    Expected life in years

    10

    10

    Expected volatility

    196-201
    %

    157-158
    %

    F-22 

The
risk-free interest rate assumption for options granted is based upon observed interest rates on the United States Government Bond
Equivalent Yield appropriate for the expected term of the options.

With
certain adjustments outlined below, the Company based its determination of the underlying fair value of the Company’s Common
Stock on the findings of an independent third party engaged by the Company to determine the fair value of the Company’s
intellectual property. The Company had the analysis conducted in conjunction with the Contribution Agreement, which was executed
on August 10, 2022. The analysis determined that the fair value of the Company’s intellectual property was $44.8 million.
At the time of the Contribution Agreement and the option grants, there was 1,187,302 shares (on an as converted basis
reflecting the conversion of the 600,000 Series A Convertible Preferred Stock held by Chromocell Holdings). As of December
31, 2024, all of the Series A Convertible Preferred Stock shares have been converted. The resulting value per share of common
stock was $37.71. The Company then adjusted this value in accordance with the following:

Schedule
of of Servicing Assets at Fair Value 

    Value
    of intellectual property
     
    $
    44.8 million

    Common shares outstanding
    (as converted)

    1,187,302

    Value per common
    share
     
    $
    37.71

    Illiquidity discount

    20
    %

    Minority discount

    20
    %

    Fair value of the
    common stock
     
    $
    22.68

After
the completion of the Company’s IPO, the trading price of the Company’s Common Stock is used as the fair value of
the Company’s Common Stock.

The
Company determined the expected volatility assumption for options granted using the historical volatility of comparable public
companies’ common stock