Company: CDT
Filing Date: 2025-05-15
Form Type: 10-Q
Source: 0001641172-25-010405
Chunk: 82

Company: CDT Equity Inc.
Filing Date: 2025-05-15
Form: 10-Q
Item: Part I, Item 8
Chunk 82
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 Company’s stock price, volatility, risk-free rate, corporate bond yield, credit spread, probability of default,
and recovery upon default.

As of March 31, 2025, no obligations remain under the August 2024 Nirland Note (refer to Note 4 for details) and therefore only
the fair value of the A.G.P. Convertible Note was estimated using a binomial lattice model.

The
following table outlines the range of significant unobservable inputs used in calculating the fair value of the A.G.P. Convertible Note
as of March 31, 2025, and December 31, 2024:

 Schedule of Fair Value of Assumptions

    March 31, 2025  
    December 31, 2024 
  
    Stock Price 
    $0.78  
    $6.90 
  
    Term (years) 
     0.65  
     0.9 
  
    Corporate bond yield 
     11.1% 
     9.0%
  
    Credit Spread 
     26.2% 
     26.2%
  
    Probability of Default 
     40% 
     40%
  
    Recovery upon default 
     0% 
     0%
  
    Volatility 
     167.0% 
     101.6%

Liability
Classified Warrants

The
A.G.P. 2024 Warrants, as defined in Note 14, are accounted for as liabilities in accordance with
ASC 815-40 and are presented within Warrant liabilities in the condensed consolidated balance sheets. Warrant liabilities are measured
at fair value at inception and on a recurring basis, with changes in fair value presented within other income (expense), net in the condensed
consolidated statements of operations and comprehensive loss.

    11

The
measurement of the A.G.P. 2024 Warrants is classified as Level 3 due to the use of an option-pricing model that utilizes unobservable
inputs and requires significant judgement. The Company estimated the fair value of the A.G.P. 2024 Warrants as of March 31, 2025 and
December 31, 2024, utilizing a Black-Scholes option-pricing model with the following assumptions:

 Schedule of Fair Value of Assumptions

    March 31, 2025  
    December 31, 2024 
  
    Closing stock price