FibroBiologics, Inc.

Previous wording

We are a clinical-stage cell therapy company focused on developing and commercializing fibroblast-based therapies for patients suffering from chronic diseases with significant unmet medical needs, including degenerative disc disease, multiple sclerosis, wound healing, and certain cancers, and potential extension of life applications including thymic and splenic involution reversal. At present, our novel manufacturing process entails collecting excess tissue from surgical procedures and using the allogeneic fibroblasts to grow a cell bank for use in our procedures. Our most advanced product candidates are CybroCell™ and CYMS101.

Current wording

We are a clinical-stage biotechnology company focused on developing and commercializing fibroblast-based therapies for patients suffering from chronic diseases with significant unmet medical needs, including wound healing, multiple sclerosis, degenerative disc disease, psoriasis and certain cancers, and potential human longevity applications including thymic involution reversal. Our most advanced product candidates are CYWC628, CYMS101 and CybroCell™.

Previous wording

We are in the early stages of developing CYWC628 as an allogeneic fibroblast cell-based therapy for wound healing. Our studies are presently focused on utilizing fibroblasts and fibroblast-derived cells to treat wounds in diabetic mice and rats. Based upon our results achieved to date, we plan to pursue an IND submission with the FDA for wound healing as early as 2024.

Current wording

We are in the late pre-clinical stages of developing CYWC628 as an allogeneic fibroblast cell-based therapy for wound healing. Our pre-clinical studies focused on utilizing single cell fibroblasts, fibroblast spheroids, and fibroblast-derived materials to treat wounds in diabetic mice. We completed pre-clinical studies investigating (i) multiple administrations of CYWC628 spheroids on a chemically induced chronic wound NONcNZO10/LtJ and BKS.Cg-Dock7m +/+ Leprdb/J mouse model, (ii) dose titration to provide information on the proposed dose range of CYWC628, and (iii) acute and chronic toxicity. The results of our studies have shown statistically significant acceleration in the rate of wound closure in comparison with both a marketed wound care product and control, and improved quality of healed wounds. Based upon our results achieved to date, we are planning to initiate a twelve-week Phase 1/2 clinical trial in Australia for treatment of diabetic foot ulcers in the second half of 2025.

Previous wording

We are developing CYMS101 as an allogeneic fibroblast cell-based therapy to treat MS. After completing animal studies using CYMS101 (allogeneic fibroblast cells), we received approval to conduct clinical investigations in Mexico using the fibroblast cell composition for patients with MS and have completed a Phase 1 study. The study was conducted in five participants. The primary objective of the study was to assess safety, and the secondary objective was to assess efficacy. We are currently conducting further research to determine the mode of action of fibroblasts in oligodendrocyte expansion and expect to file an IND application for a Phase 2 clinical trial in MS. We will likely seek a strategic partner to collaborate with us on the development of CYMS101 either before initiating the Phase 2 study, or after its completion, if successful, and prior to commencing with a Phase 3 clinical trial.

Current wording

We are developing CYMS101 as a topically administered allogeneic fibroblast single cell, and fibroblast spheroid cell-based therapy to treat MS. After completing animal studies using CYMS101, we received approval from a U.S.-based IRB to conduct clinical investigations in Mexico using the fibroblast cell composition for patients with MS, and completed a Phase 1 study. The study was conducted in five participants. The primary objective of the study was to assess safety, and the secondary objective was to assess efficacy. The primary objective was achieved as we saw no adverse events related to the treatment - no adverse events during intravenous injection of the tolerogenic fibroblasts, no short or long-impact in complete blood count tests during the 16-week monitoring period, and no short or long impact in electrocardiogram results during the 16-week monitoring period. In addition, the study assessed clinical activity using a standard set of neurological assessments routinely used to assess MS. We are currently conducting further research to more fully characterize the mode of action of fibroblasts in oligodendrocyte expansion. We plan to file an IND application for a Phase 1/2 clinical trial relating to MS in the United States as funding allows. We expect to seek a strategic partner to collaborate with us on the development of CYMS101 either before initiating the Phase 1/2 study, or after its completion, if successful, and prior to commencing a potential Phase 3 clinical trial.

Previous wording

CybroCell™ is an allogeneic fibroblast cell-based therapy for degenerative disc disease and is being designed as an alternative method for repairing the cartilage of the intervertebral disc (or any other articular cartilage). We have completed two animal studies. The results from the studies were positive and resulted in “first in human” trial approval. We have received IND clearance from the FDA, conditional upon approval of our master cell bank, to run a Phase 1/2 study for patients suffering from degenerative disc disease and will be conducting this study within the United States. A timeline will be determined through discussions with the FDA.

Current wording

CybroCell™ is an investigational allogeneic fibroblast cell-based therapy in development for degenerative disc disease and is being designed as an alternative method for repairing the cartilage of the intervertebral disc (or any other articular cartilage). We have completed two animal studies in rabbit models. The results from the studies were positive and supported our IND application to run a “first in human” trial. We received IND clearance from the FDA in 2018, conditional upon approval of our master cell bank, to evaluate this candidate in a planned clinical trial. A timeline for the trial will be determined in connection with discussions with the FDA.

Previous wording

We also have cancer and extension of life programs in the early stages of development, and we plan to accelerate such programs as funding allows.

Current wording

We also have human longevity, certain cancer, and artificial pancreatic organoid research programs in the very early stages of research and development, and we plan to accelerate such programs as funding allows.

Previous wording

We have incurred net losses since inception and expect to incur losses in the future as we continue our research and development activities. To date, we have funded our operations primarily through investment from FibroGenesis, the sale of $5.6 million of our convertible promissory notes, which were all subsequently converted to equity, the sale of $18.6 million of preferred stock, and $1.9 million in proceeds from the sale of common stock through the GEM Capital Stock Purchase Agreement.

Current wording

We have incurred net losses since inception and expect to incur losses in the future as we continue our research and development activities. To date, we have funded our operations primarily through investment from FibroGenesis, the sale of $5.6 million of our convertible promissory notes, which were all subsequently converted to equity, the sale of $18.6 million of preferred stock, $10.4 million in proceeds from the sale of common stock through the GEM Capital Stock Purchase Agreement, and $9.4 million in proceeds from the issuance of additional convertible promissory notes.

Previous wording

As of December 31, 2023, we had cash and cash equivalents of approximately $9.2 million. Since our inception, we have incurred significant operating losses. We incurred net losses of approximately $16.5 million and $5.1 million for the years ended December 31, 2023 and 2022, respectively. As of December 31, 2023, we had an accumulated deficit of approximately $24.4 million. We expect to continue to incur significant expenses and operating losses for the next several years.

Current wording

As of December 31, 2024, we had cash and cash equivalents of approximately $14.0 million. Since our inception, we have incurred significant operating losses. We incurred net losses of approximately $11.2 million and $16.5 million for the years ended December 31, 2024 and 2023, respectively. As of December 31, 2024, we had an accumulated deficit of approximately $35.5 million.

Previous wording

As a result, we will need substantial additional funding to support our long-term continuing operations and pursue our growth strategy. Until such time as we can generate significant revenue from product sales, if ever, we expect to finance our operations through the sale of equity, debt financings or other capital sources, which may include collaborations with other companies or other strategic transactions. We may not be able to raise additional funds or enter into such other agreements or arrangements when needed on favorable terms, or at all. If we fail to raise capital or enter into such agreements as and when needed, we will have to significantly delay, reduce or eliminate the development and commercialization of one or more of our product candidates or delay our pursuit of potential in-licenses or acquisitions.

Current wording

Due to the numerous risks and uncertainties associated with biopharmaceutical product development and the economic and developmental uncertainty, we may be unable to accurately predict the timing or magnitude of all expenses. Our ability to ultimately generate revenue to achieve profitability will depend heavily on the development, approval, and subsequent commercialization of our product candidates. If we fail to become profitable or are unable to sustain profitability on a continuing basis, then we may be unable to continue our operations at planned levels and be forced to reduce or terminate our operations. As a result, we will need substantial additional funding to support our long-term continuing operations and pursue our growth strategy. Until such time as we can generate significant revenue from product sales, if ever, we expect to finance our operations through the sale of equity, debt financings or other capital sources, which may include collaborations with other companies or other strategic transactions. We may not be able to raise additional funds or enter into such other agreements or arrangements when needed on favorable terms, or at all. If we fail to raise capital or enter into such agreements as and when needed, we will have to significantly delay, reduce or eliminate the development and commercialization of one or more of our product candidates or delay our pursuit of potential in-licenses or acquisitions.

Previous wording

To date, we have not generated any revenue from product sales and do not expect to generate any revenue from the sale of products in the foreseeable future. If our development efforts for any of our product candidates are successful and result in regulatory approval, we may generate revenue in the future from product sales. We cannot predict if, when or to what extent we will generate revenue from the commercialization and sale of any of our product candidates. We may never succeed in obtaining regulatory approval for any of our product candidates.

Current wording

To date, we have not generated any revenue from product sales and do not expect to generate any revenue from the sale of products in the foreseeable future. If our development efforts for any of our product candidates are successful and result in regulatory approval, we may generate revenue in the future from product sales. We cannot predict if, when or to what extent we will generate revenue from the commercialization and sale of any of our product candidates. We may never succeed in obtaining regulatory approval for any of our product candidates and, even if we do, we may never generate revenue that is significant enough for us to achieve profitability.

Previous wording

Our interest expense consists primarily of accrued interest expense and amortization of discount on our convertible notes.

Current wording

Our interest expense consists primarily of accrued interest expense, interest on short-term borrowing to finance D&O insurance premiums, and amortization of discount on our convertible notes.

Previous wording

Research and development expenses were $2.4 million and $1.1 million for the years ended December 31, 2023 and 2022, respectively. The increase of $1.3 million was primarily due to:

Current wording

Research and development expenses were $4.5 million and $2.4 million for the years ended December 31, 2024 and 2023, respectively. The increase of $2.1 million was primarily due to:

Previous wording

General, administrative and other expenses were $6.5 million and $3.3 million for the years ended December 31, 2023 and 2022, respectively. The increase of $3.2 million was primarily due to:

Current wording

General, administrative and other expenses were $9.2 million and $6.5 million for the years ended December 31, 2024 and 2023, respectively. The increase of $2.7 million was primarily due to:

Previous wording

Interest expense was $0.1 million and $0.7 million for the years ended December 31, 2023 and 2022, respectively. The decrease of $0.6 million was due to the conversion in 2023 of convertible notes issued in December 2021, January 2022, and April 2022. Interest expense was recorded in 2022 and 2023, up to the point of the conversion, which occurred from February 2023 to June 2023, for the nominal interest rate of 6.0% plus the amortization of the discount on the 2022 convertible notes.

Current wording

Interest expense was $0.0 million and $0.1 million for the years ended December 31, 2024 and 2023, respectively. The decrease of $0.1 million was due to the maturities and conversions of the notes during the year ended December 31, 2023. Interest expense was recorded in 2023 for the nominal interest rate of 6.0% plus the amortization of the discount on the 2022 convertible notes. Interest expense in 2024 was primarily due to financing D&O insurance premiums.

Previous wording

Through February 20, 2024, we have financed our operations primarily with investment from FibroGenesis, proceeds from borrowings under our convertible loan agreements, proceeds from the issuance of preferred stock, and proceeds from the sale of common stock through the GEM Capital Stock Purchase Agreement. From inception through December 31, 2023, we have received aggregate proceeds of approximately $5.6 million from sales of our convertible notes and $18.6 million from the sales of preferred stock. As of December 31, 2023, we had cash and cash equivalents of approximately $9.2 million and an accumulated deficit of approximately $17.1 million. As of December 31, 2023, we had no outstanding debt.

Current wording

Through December 31, 2024, we have financed our operations primarily with investment from FibroGenesis, proceeds from borrowings under our convertible loan agreements, proceeds from the issuance of preferred stock, and proceeds from the sale of common stock through the GEM Capital Stock Purchase Agreement. From inception through December 31, 2024, we have received aggregate proceeds of approximately $15.0 million from sales of our convertible notes, $18.6 million from the sales of preferred stock, and $10.4 million from the issuance of common stock. As of December 31, 2024, we had cash and cash equivalents of approximately $14.0 million and an accumulated deficit of approximately $35.5 million. As of December 31, 2024, we had $10.0 million principal balance of outstanding debt with a fair value of $9.2 million.

Previous wording

Net cash used in operating activities was $6.4 million and $4.1 million for the years ended December 31, 2023 and 2022, respectively, and consisted primarily of net losses of $16.5 million and $5.1 million, respectively. Net losses for the year ended December 31, 2023 were partially offset by $7.2 million in other loss due to increase in liability instrument, $1.8 million in noncash stock-based compensation expense, an increase of $0.7 million in accounts payable and accrued expenses, $0.1 million increase in payable to Parent, $0.1 million net change in operating lease right-of-use asset and liability, and other noncash expenses of $0.1 million in noncash amortization of convertible notes debt discount and $0.1 million in other loss on derivative liability. An increase of $0.5 million in accounts payable and accrued expenses, plus noncash expenses of $0.3 million in stock-based compensation expense and $0.4 million in amortization of convertible notes debt discount, partially offset the net losses for the year ended December 31, 2022.

Current wording

Net cash used in operating activities was $11.9 million and $6.4 million for the years ended December 31, 2024 and 2023, respectively, and consisted primarily of net losses of $11.2 million and $16.5 million, respectively. Net losses for the year ended December 31, 2024 were partially offset by $2.2 million in noncash stock-based compensation expense, $1.9 million in noncash change in commitment fee payable to GEM, $0.4 million in noncash change in fair value of forward contract liability, an increase of $1.3 million in accounts payable and accrued expenses, noncash depreciation expense of $0.2 million, and were combined with a $5.4 million decrease in warrant liability, $1.2 million gain on termination of warrant and commitment fee liabilities, $0.1 million gain on issuance of convertible note, $0.1 million change in fair value of convertible debt, $0.2 million decrease in prepaid expenses, and $0.1 million decrease in payable to Parent. Net losses for the year ended December 31, 2023 were partially offset by $7.2 million in other loss due to increase in liability instrument, $1.8 million in noncash stock-based compensation expense, an increase of $0.7 million in accounts payable and accrued expenses, $0.1 million increase in payable to Parent, $0.1 million net change in operating lease right-of-use asset and liability, and other noncash expenses of $0.1 million in noncash amortization of convertible notes debt discount and $0.1 million in other loss on derivative liability.

Previous wording

Net cash used in investing activities was approximately $0.5 million and none for the years ended December 31, 2023 and 2022, respectively. In 2023, we purchased approximately $0.5 million of equipment for cash and $0.3 million of equipment in accounts payable and accrued expenses.

Current wording

Net cash used in investing activities was approximately $0.2 and $0.5 million for the years ended December 31, 2024 and 2023, respectively. In 2024, we purchased approximately $0.1 million of equipment for cash and $0.1 million of equipment in accounts payable and accrued expenses.

Previous wording

Net cash provided by financing activities was approximately $13.8 million and $5.9 million for the years ended December 31, 2023 and 2022, respectively. In 2023, we received $14.9 million from the sale of Series B Preferred Stock, $1.2 million from the sale of Series B-1 Preferred Stock, and $0.3 million in repayment of a note receivable from FibroGenesis, and we paid $2.6 million to FibroGenesis pursuant to the ROFN Agreement. In 2022, we received $4.3 million from the issuance of convertible notes in January and April 2022, and received $2.2 million from the issuance of preferred stock in December 2022. We repaid $0.2 million and loaned $0.4 million to FibroGenesis in 2022, and FibroGenesis repaid $0.1 million to us in 2022.

Current wording

Net cash provided by financing activities was approximately $16.9 million and $13.8 million for the years ended December 31, 2024 and 2023, respectively. In 2024, we received $7.5 million in net proceeds from the sale of common stock and received $9.4 million in net proceeds from the issuance of convertible notes. In 2023, we received $14.9 million from the sale of Series B Preferred Stock, $1.2 million from the sale of Series B-1 Preferred Stock, and $0.3 million in repayment of a note receivable from FibroGenesis, and we paid $2.6 million to FibroGenesis pursuant to the ROFN Agreement.

Previous wording

We do not have any products approved for sale, and we have never generated any revenue from contracts with customers. We do not expect to generate any meaningful revenue unless and until we obtain regulatory approval of and commercialize any of our current or future product candidates and we do not know when, or if, that will occur. We expect to continue to incur significant losses for the foreseeable future, and we expect the losses to increase as we continue the development of, and seek regulatory approvals for, our current and future product candidates, and begin to commercialize any approved products. We are subject to all the risks typically related to the development of new product candidates, and we may encounter unforeseen expenses, difficulties, complications, delays and other unknown factors that may adversely affect our business. Moreover, following the completion of our direct listing, we expect to incur additional costs associated with operating as a public company.

Current wording

We have incurred operating losses since our formation and expect such losses to continue in the future as we build infrastructure, develop intellectual property and conduct research and development activities. Moreover, we have incurred, and expect to continue to incur, additional costs associated with operating as a public company. We do not have any products approved for sale, and we have never generated any revenue from product sales. We have primarily relied on a combination of angel investors, private debt placements, convertible debt issuances, and sales of equity to fund our operations. As of December 31, 2024, we had an accumulated deficit of $35.5 million and cash and cash equivalents of $14.0 million. We do not expect to generate any meaningful revenue unless and until we obtain regulatory approval of and commercialize any of our current or future product candidates and we do not know when, or if, that will occur. Unless and until such time that revenue and net income are generated, we will need to continue to raise additional capital. These factors raise substantial doubt about our ability to continue as a going concern for one year from the issuance of the financial statements included in this Annual Report. The financial statements have been prepared as though we will continue as a going concern, which contemplates the realization of assets and satisfaction of liabilities in the normal course of business, and do not include any adjustments that might be necessary if we are unable to continue as a going concern.

Previous wording

If we need to raise additional capital to fund our operations, funding may not be available to us on acceptable terms, or at all. If we are unable to obtain adequate financing when needed, we may have to delay, reduce the scope of or suspend one or more of our preclinical studies, clinical trials, research and development programs or commercialization efforts. We may seek to raise any necessary additional capital through a combination of public or private equity offerings, debt financings, collaborations and other licensing arrangements. If we raise additional capital through debt financing, we may be subject to covenants limiting or restricting our ability to take specific actions, such as incurring additional debt, making capital expenditures or declaring dividends. If we raise additional capital through marketing and distribution arrangements or other collaborations, strategic alliances or licensing arrangements with third parties, we may have to relinquish certain valuable rights to our product candidates, technologies, future revenue streams or research programs or grant licenses on terms that may not be favorable to us.

Current wording

Our ability to continue as a going concern is dependent on our ability to raise additional capital. We believe we will be able to obtain additional capital through equity financings or other arrangements to fund operations; however, there can be no assurance that such additional financing, if available, can be obtained on acceptable terms. If we are unable to obtain adequate financing when needed, we may have to delay, reduce the scope of or suspend one or more of our preclinical studies, clinical trials, research and development programs or commercialization efforts. We may seek to raise any necessary additional capital through a combination of public or private equity offerings, debt financings, collaborations and other licensing arrangements. If we raise additional capital through debt financing, we may be subject to covenants limiting or restricting our ability to take specific actions, such as incurring additional debt, making capital expenditures, or declaring dividends. If we raise additional capital through marketing and distribution arrangements or other collaborations, strategic alliances, or licensing arrangements with third parties, we may have to relinquish certain valuable rights to our product candidates, technologies, future revenue streams or research programs or grant licenses on terms that may not be favorable to us.

Previous wording

Further, our operating plan may change, and we may need additional funds to meet operational needs and capital requirements for clinical trials and other research and development expenditures.

Current wording

We are subject to all the risks typically related to the development of new product candidates, and we may encounter unforeseen expenses, difficulties, complications, delays, and other unknown factors that may adversely affect our business. Further, our operating plan may change, and we may need additional funds to meet operational needs and capital requirements for clinical trials and other research and development expenditures.

Previous wording

Please see “Part II., Item 1A. Risk Factors—Risks Related to Our Financial Condition and Need for Additional Capital.”

Current wording

Please see “Part II., Item 1A. Risk Factors—Risks Related to Our Financial Condition and Capital Requirements.”

Previous wording

We have material cash requirements and other contractual obligations related to our office and lab rent (as described in Note 10, “Leases” to the financial statements in this Annual Report on Form 10-K).

Current wording

We have material cash requirements and other contractual obligations related to our office and lab rent (as described in Note 10, “Leases” to the financial statements in this Annual Report).

Previous wording

Now that a public trading market for our common stock has been established in connection with the completion of the Direct Listing, it will no longer be necessary for our board of directors to estimate the fair value of our common stock in connection with our accounting for granted stock options and other such awards we may grant, as the fair value of our common stock will be determined based on the quoted market price of our common stock.

Current wording

Now that a public trading market for our common stock has been established following the completion of the Direct Listing, it is no longer necessary for our board of directors to estimate the fair value of our common stock in connection with our accounting for granted stock options and other such awards we may grant, as the fair value of our common stock will be determined based on the quoted market price of our common stock.

Previous wording

On November 12, 2021, the Company entered into a Share Purchase Agreement with certain investors for the sale of up to $100,000 thousand of common stock at the option of the Company (the “Aggregate Limit”) at 90% of the average applicable Daily Closing Price during the Draw Down Pricing Period. This agreement is contingent upon the Company achieving a public listing of its common stock. Major terms of the agreement include five-year warrants issued to the investors at the time of public listing to purchase common stock shares equal to 4% of the total equity interests of the Company at the lesser of a) the price per share at the time of the public listing or b) the quotient of $700,000 thousand divided by the total number of equity interests (fully diluted common shares). The Company may request a drawdown, or sale of common stock shares to the investors, over the five-year term of this agreement following the public listing unless terminated earlier.

Current wording

On November 12, 2021, we entered into a Share Purchase Agreement with certain investors for the sale of up to $100,000,000 of common stock at our option, or the Aggregate Limit, at 90% of the average applicable Daily Closing Price during the Draw Down Pricing Period. This agreement was contingent upon our achieving a public listing of our common stock. Major terms of the agreement included five-year warrants issued to the investors at the time of public listing to purchase common stock shares equal to 4% of our total equity interests at an exercise price equal to the lesser of (a) the price per share at the time of the public listing or (b) the quotient of $700,000,000 divided by the total number of our outstanding equity interests on a fully diluted basis. We could request a drawdown, or sale of common stock shares to the investors, over the five-year term of this agreement following the public listing unless terminated earlier.

Previous wording

Upon issuance, the warrants will be freestanding derivative financial instruments and must be liability classified until such time as they qualify for equity classification. A change to equity classification may not occur until the Adjustment Date when the strike price adjustment period is concluded. For accounting purposes, the warrants are considered issued regardless of the contingent event (public listing) for future issuance. The Company valued the contingent warrant at inception at $0 based upon the low likelihood of a future public listing. As of December 31, 2023, the fair value of the contingent warrant was included with the contingent put option and recognized as Liability instrument, and the increase in fair value since inception was recognized as other loss (Change in fair value of liability instrument) in the Statement of Operations. Any future changes in the fair value of the Liability instrument, up to the point of reclassification to equity classification, will be recognized in other gains and losses in the Statement of Operations each reporting period. The Company will reassess the liability classification criteria each reporting period to determine if reclassification to equity classification is required, and any prior gains and losses recognized in earnings up to the point of reclassification will not be reversed.

Current wording

Upon issuance, the warrants will be freestanding derivative financial instruments and must be liability classified until such time as they qualify for equity classification. A change to equity classification may not occur until the Adjustment Date when the strike price adjustment period is concluded. For accounting purposes, the warrants are considered issued regardless of the contingent event (public listing) for future issuance. We valued the contingent warrant at inception at $0 based upon the low likelihood of a future public listing.

Previous wording

As of December 31, 2023, the liability instrument includes the contingent warrant and the contingent put option as a single unit of account. As of December 31, 2023, the liability instrument value was determined using a Black-Scholes valuation model and management’s assumption of a 50% likelihood as of December 31, 2023, of becoming a public company prior to the expiration of the Stock Purchase Agreement. Inputs used in the Black-Scholes valuation model included an estimated number of warrants, an assumed common stock share price of $15.00 per share, the five-year time to maturity, a 0% dividend yield, an annual risk-free interest rate of 3.84% for the five-year time to maturity, and an assumed annualized volatility of 96% based on comparable companies with a five-year history of stock prices. As of December 31, 2023, the Company evaluated the put option component of the liability instrument and determined that any value as it relates to the liability instrument would be de minimus given the Company’s financial condition, intention to seek other sources of financing as needed, and ability do so given access to public markets.

Current wording

As of December 31, 2023, the liability instrument included the contingent warrant liability and the contingent put option (forward contract) liability as a single unit of account. The liability instrument value was determined using a Black-Scholes valuation model and management’s assumption of a 50% likelihood as of December 31, 2023, of becoming a public company prior to the expiration of the Stock Purchase Agreement. Inputs used in the Black-Scholes valuation model included an estimated number of warrants, an assumed common stock share price of $15.00 per share, the five-year time to maturity, a 0% dividend yield, an annual risk-free interest rate of 3.84% for the five-year time to maturity, and an assumed annualized volatility of 96% based on comparable companies with a five-year history of stock prices.