Warrants (Tables)

3 Months Ended

Mar. 31, 2025

Class of Warrant or Right [Line Items]

The following table summarizes warrant activity for the three months ended March 31, 2025 and 2024:


	Outstanding December 31, 2024		Warrants Issued		Warrants Exercised		Warrants Forfeited		Outstanding March 31, 2025
Transaction
Business Combination Public Warrants		575,000		—		—		—		575,000
Private Placement Warrants		20,860		—		—		—		20,860
PIPE Warrants		736,337		—		—		—		736,337
PIPE Placement Agent Warrants		21,091		—		—		—		21,091
Ladenburg Warrants		30,000		—		—		—		30,000
Preferred Tranche B Warrants (1)		42,846		—		—		42,846		—
Preferred Tranche C Warrants		107,115		—		—		—		107,115
Preferred PIPE Placement Agent Warrants		850,119		—		—		—		850,119

(1)

On January 1, 2025, 42,846 Preferred Tranche B warrants expired, unexercised. The Company recognized a gain of $3 thousand in other income in our condensed consolidated statement of operations, representing the fair value of the warrants at expiration. The valuation as of December 31, 2024, was based on a risk-free interest rate of 3.93%, an expected remaining term of 0.23 periods, implied volatility of 75%, and an underlying stock price of $309.37.


	Outstanding December 31, 2023		Warrants Issued		Warrants Exercised		Warrants Forfeited		Outstanding March, 31, 2024
Transaction
Business Combination Public Warrants		575,000		—		—		—		575,000
Private Placement Warrants		20,860		—		—		—		20,860
PIPE Warrants		736,337		—		—		—		736,337
PIPE Placement Agent Warrants		21,091		—		—		—		21,091
Ladenburg Warrants		30,000		—		—		—		30,000
Tranche B Warrants		42,846		—		—		—		42,846
Tranche C Warrants		107,115		—		—		—		107,115
Preferred PIPE Placement Agent Warrants		850,119		—		—		—		850,119

Schedule of Key Inputs into Monte Carlo Simulation

The key inputs into the valuations as of March 31, 2025 and December 31, 2024 were as follows:


	March 31, 2025			December 31, 2024
Risk-free interest rate		3.98	%		4.19	%
Expected term remaining (periods)		1.56			1.81
Implied volatility		212.3	%		160.9	%
Closing common stock price on the measurement date	$	1.36		$	3.79

Preferred Tranche C Warrants [Member]

Class of Warrant or Right [Line Items]

Schedule of Key Inputs into Monte Carlo Simulation

The key inputs utilized in determining the fair value of each Preferred Tranche C Warrant as of March 31, 2025 and December 31, 2024 were as follows:


	March 31, 2025			December 31, 2024
Risk-free interest rate (1)		3.91	%		4.32	%
Expected term remaining (periods) (1)		3.66			3.91
Implied volatility		95.0	%		95.0	%
Underlying Stock Price (Preferred Series A)	$	110.89		$	309.37

(1)

Reflects a probability-weighted input derived from multiple Black-Scholes calculations. These calculations incorporate the Company’s estimated probability of dissolution, should SABS’ intellectual property fail to yield positive results in forthcoming clinical trials, potentially leading to dissolution before 2028. The probability was 38.5% as of March 31, 2025 and December 31, 2024.

SAB Biotherapeutics, Inc. 10-Q