Company: VLDXW
Filing Date: 2025-08-06
Form Type: 10-Q
Source: 0001641172-25-022448
Chunk: 40

Company: Velo3D, Inc.
Filing Date: 2025-08-06
Form: 10-Q
Item: Part I, Item 1
Chunk 40
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 be outstanding and is determined using the simplified method,
which deems the term to be the average of the time to vesting and the contractual life of the warrant.

2024
Private Warrants, - Fair Value Assumptions

The
fair value of the 2024 Private Warrant Liability was $0 and $2,007 as of June 30, 2025 and December 31, 2024, respectively, as the warrants
expired on May 16, 2025. The fair value assumptions used in the Monte Carlo simulation model for the valuation of the 2024 Private Warrants
liability was as follows:

    As of 
June 30, 2025  
    As of 
December 31, 2024 
  
    Current stock price 
    $—  
    $10.20 
  
    Expected volatility 
     —% 
     191.6%
  
    Risk-free interest rate 
     —% 
     4.2%
  
    Dividend yield 
     —% 
     —%
  
    Expected Term (years) 
     0—  
     0.37 

Expected
volatility: The expected volatility was derived from the implied volatility of the Company’s publicly traded common stock.

    21

Risk-free
interest rate: The risk-free interest rate is based on the U.S. Treasury yield curve in effect at the time of grant for zero-coupon U.S.
Treasury notes with maturities corresponding to the expected term of the common stock warrants.

Expected
dividend yield: The expected dividend rate is zero as the Company currently has no history or expectation of declaring dividends on its
common stock.

Expected
term: The expected term represents the period that the warrant is expected to be outstanding and is determined using the simplified method,
which deems the term to be the average of the time to vesting and the contractual life of the warrant.

BEPO
Warrants, BEPO Agent Warrant - Fair Value Assumptions

The
fair value assumptions used in the Black-Scholes simulation model for the valuation of the BEPO Warrant and the BEPO Agent Warrant liabilities
were as follows:

    As of 
June 30, 2025  
    As of 
December 31, 2024 
  
    Current stock price 
    $7.20  
    $10.20 
  
    Expected volatility 
     154.6%