Warrant Liability (Tables)

6 Months Ended

Jun. 30, 2025

Schedule of Valuation Inputs into the Black Scholes Model for the Liability

The tables below summarize the valuation inputs into the Black Scholes model for the liability associated with the three tranches of Warrants at December 31, 2024 and June 30, 2025.

Tranche A Warrant	At December 31, 2024			At June 30, 2025
Fair value of underlying stock	$	7.90		$	4.77
Exercise price	$	5.39		$	5.39
Volatility		105.4% – 111.3	%		117.8% – 127.4	%
Risk free rate		4.2	%		3.9% – 4.3	%
Dividend yield		0	%		0	%
Term (in years)		0.5 – 1.5			0.5 – 1.5
Discount for lack of marketability		7.5	%		7.5	%
Probability for FDA approval		38.48% - 39.29	%		38.88% - 40.10	%

Tranche B Warrant	At December 31, 2024			At June 30, 2025
Fair value of underlying stock	$	7.90		$	4.77
Exercise price	$	5.93		$	5.93
Volatility		105.4% - 125.2	%		112.9% - 120.4	%
Risk free rate		4.2	%		3.8% - 4.0	%
Dividend yield		0	%		0	%
Term (in years)		1.0 - 2.0			1.0 - 2.0
Discount for lack of marketability		7.5	%		7.5	%
Probability for FDA approval		30	%		30.0	%

Tranche C Warrant	At December 31, 2024			At June 30, 2025
Fair value of underlying stock	$	7.90		$	4.77
Exercise price	$	7.41		$	7.41
Volatility		105.4% - 125.2	%		112.9% - 127.2	%
Risk free rate		4.2	%		3.7% - 3.9	%
Dividend yield		0	%		0	%
Term (in years)		1.5 – 2.5			1.5 – 2.5
Discount for lack of marketability		7.5	%		7.5	%
Probability for FDA approval		0.01% - 27.46	%		15% - 70	%

Schedule of Preferred Stock Warrants

The following table summarizes activity, on an as-converted to common shares basis, for the Company’s preferred stock warrants for the six months ended June 30, 2025:

						Weighted-
	Number of					Average
	Shares			Weighted-		Remaining		Aggregate
	Underlying			Average		Contractual		Intrinsic
	Outstanding			Exercise		Term		Value
	Warrants			Price		(in Years)		(in thousands)
Outstanding, December 31, 2024		16,095,817		$	6.40		2.12	$
Warrants contingently issuable		-			-		-		-
Warrants exercised		(277,000	)		-		-		-
Outstanding, June 30, 2025		15,818,817		$	6.42		1.63	$

Unicycive Therapeutics, Inc. 10-Q