Company: CDT
Filing Date: 2025-11-13
Form Type: 10-Q
Source: 0001493152-25-022373
Chunk: 16

Company: CDT Equity Inc.
Filing Date: 2025-11-13
Form: 10-Q
Item: Part I, Item 8
Chunk 16
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 Note 5 for details) and therefore only the
fair value of the A.G.P. Convertible Note was estimated using a binomial lattice model.

    12

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 September 30, 2025, and December 31, 2024:

Schedule of Fair Value of Assumptions 

    September 30, 2025  
    December 31, 2024 
  
    Stock Price 
    $5.44  
    $103.50 
  
    Term (years) 
     0.48  
     0.9 
  
    Corporate bond yield 
     11.3% 
     9.0%
  
    Credit Spread 
     26.2% 
     26.2%
  
    Probability of default 
     40% 
     40%
  
    Probability of maturity extension (six months) 
     40% 
     0%
  
    Recovery upon default 
     0% 
     0%
  
    Volatility 
     158.5% 
     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.

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 judgment. The Company estimated the fair value of the A.G.P. 2024 Warrants as of September 30, 2025
and December 31, 2024, utilizing a Black-Scholes option-pricing model with the following assumptions:

Schedule of Fair Value of Assumptions 

    September 30, 2025  
    December 31, 2024 
  
    Closing stock price 
    $5.44  
    $12.94 
  
    Contractual exercise price 
    $1,257.60  
    $1,257