Company: FEAV
Filing Date: 2025-02-13
Form Type: 10-Q
Source: 0000950170-25-019943
Chunk: 12

Company: 5E Advanced Materials, Inc.
Filing Date: 2025-02-13
Form: 10-Q
Item: Item 8
Chunk 12
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 the convertible note relates only to the debt component of such security and excludes the fair value associated with the related convertible note derivative that has been bifurcated and accounted for separately. Refer to Note 8–Convertible Note Derivatives for fair value information related to the Convertible Note Derivatives.The valuation model for the Convertible Notes and related Convertible Note Derivatives requires the input of subjective assumptions including expected share price volatility, risk-free interest rate and debt rate. Changes in the input assumptions as well as the Company's underlying share price can materially affect the fair value estimates. Changes in the reported fair value of the Convertible Notes between periods are not recognized in net income and therefore have no effect on reported net income (loss).The significant assumptions used in the fair value model for the Convertible Notes and related Convertible Note Derivatives include the following, with changes in volatility, debt rate and stock price having the most significant impact on the related fair values.

        Sep. 16, 2024

        Dec. 31, 2024
         
        (Sep. 2024 Notes)
         
        Jun. 30, 2024

        Risk-free interest rate
         
        4.4%
         
        3.4%
         
        4.5%

        Volatility
         
        60.0%
         
        60.0%
         
        50.0%

        Debt rate
         
        21.6% - 32.6%
        (1)
        23.7%
         
        28.7% - 36.7%
        (2)

        Stock price per share
         
        $0.64
         
        $0.50
         
        $1.21

      (1)Debt rates of 24.5%, 32.6% and 21.6% were utilized in the valuation of the August 2022 Notes, June 2024 Notes and September 2024 Notes, respectively.(2)Debt rates of 28.7% and 36.7% were utilized in the valuation of the August 2022 Notes and June 2024 Notes, respectively.

8. Convertible Note DerivativesThe June 2024 Convertible Note Derivative and September 2024 Convertible Note Derivative, each which relate to the June 2024 Notes and September 2024 Notes, respectively, described above