Company: CERO
Filing Date: 2025-04-15
Form Type: 10-K
Source: 0001213900-25-032134
Chunk: 2711

Company: CERO THERAPEUTICS HOLDINGS, INC.
Filing Date: 2025-04-15
Form: 10-K
Item: Item 7
Chunk 2711
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   Number of Warrants   Weighted Average Exercise Price   Weighted Average Remaining Contractual Life (in years)   Public Warrants   91,925   $1,150.00    4.13   February 2024 Series A Common Warrants   6,127    139.00    2.62   Series A Preferred Warrants   625    800.00    0.12   September 2024 Series C Common Warrants   81,753    9.80    3.23   December 2024 Common Warrants   84,061    5.61    3.48   Outstanding as of December 31, 2024   264,491   $409.61    3.60  

F-26

NOTE 10 – FAIR VALUE MEASUREMENTS

Predecessor estimated the fair value of the Predecessor
Series A Preferred Stock Warrants at December 31, 2023, using Black-Scholes with the following assumptions:

    December 31, 

    2023 

    (Predecessor) 
  
    Risk-free interest rate 
     5.40%
  
    Expected life (in years) 
     0.25 
  
    Expected dividend yield 
     -%
  
    Expected volatility 
     65.90%

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:

     December 31,  February 14     2024  2024     (Successor)  (Successor)  Starting share price  $6.00   $490.00   Tranche 1 trigger price  $1.25   $3.20   Tranche 2 trigger price  $1.25   $3.85   Contractual term   3.1    4.0   Volatility   100%   90%  Risk-free interest rate   4.23%   4.20% 

F-27

At December 31, 2024 for
the Successor and December 31, 2023 for the Predecessor