|
The
fair value of the warrant liabilities presented below were measured using a Black Scholes Merton (BSM) valuation model. Significant inputs
into the respective model at the reporting period measurement dates are as follows:
Schedule of Fair Value Warrant Liabilities
| Valuation Assumptions |
|
Period ended September 29, 2019
|
|
|
Period ended September 27, 2020
|
|
|
Period ended June 28, 2020
|
|
|
Period ended June 27, 2021
|
|
| Exercise Price (1) |
|
$ |
1.50 |
|
|
$ |
1.50 |
|
|
$ |
1.50 |
|
|
$ |
1.50 |
|
| Warrant Expiration Date (1) |
|
|
8/26/2021 |
|
|
|
8/26/2021 |
|
|
|
8/26/2021 |
|
|
|
8/26/2021 |
|
| Stock Price (2) |
|
$ |
1.56 |
|
|
$ |
1.96 |
|
|
$ |
1.90 |
|
|
$ |
1.53 |
|
| Interest Rate (annual) (3) |
|
|
1.63 |
% |
|
|
0.12 |
% |
|
|
0.17 |
% |
|
|
0.06 |
% |
| Volatility (annual) |
|
|
53.66 |
% |
|
|
51.67 |
% |
|
|
52.82 |
% |
|
|
44.35 |
% |
| Time to Maturity (Years) |
|
|
1.9 |
|
|
|
0.9 |
|
|
|
1.2 |
|
|
|
0.2 |
|
| Calculated fair value per share |
|
$ |
0.49 |
|
|
$ |
0.62 |
|
|
$ |
0.62 |
|
|
$ |
0.13 |
|
| (1) |
Based on the terms provided in
the warrant agreement to purchase common stock of Optex Systems Holdings, Inc. dated August 26, 2016. |
| (2) |
Based on the trading value of common stock of Optex
Systems Holdings, Inc. as of each presented period ended date. |
| (3) |
Interest rate for U.S. Treasury Bonds as each presented
period ended date, as published by the U.S. Federal Reserve. |
|