16. SHARE CAPITAL (CONTINUED) The estimated fair value of the options to acquire ordinary shares has been determined using the Black-Scholes valuation model. The significant inputs into the model were the share price on date of valuation, the estimated future volatility of the share price, the risk-free interest rate, the expected life and a dividend yield of 0%. The estimated future volatility of the share price was derived by analysing the historic volatility of the share price on a daily basis during the two years prior to the issue date of 7 February 2024, as this period is reflective of the anticipated volatility in the future. Details of the options to acquire ordinary shares during the year ended 31 December 2024, the estimated fair value and variable inputs into the valuation model are shown in the following tables: Number of shares under option 700,000 Issue date 7 February 2024 Exercise price per share option1 $23.09 Share price on date of valuation $22.91 Estimated future volatility 53.87% Annual risk-free rate 3.72% Vesting condition (i) Vesting condition (ii) Vesting condition (iii) Fair value per share option $7.25 $8.14 $9.64 Expected life 1.95 2.46 3.46 1 The exercise price for the options to acquire ordinary shares is the 5-day weighted average price at which the shares were traded on the ASX in the 5 days preceding the issue of the options. The share options included in the outstanding balance at 31 December 2024, vest subject to remaining an employee or consultant if and when the following non-market performance vesting conditions are met: 950,000 share options 500,000 share options 750,000 share options i. on acceptance by the US Food and Drug Administration of the filing of a New Drug Application for trofinetide – 40% – ii. when the Company determines to progress NNZ-2591 to a Phase 2b or Phase 3 clinical trial following a positive Phase 2 clinical trial outcome, or executes a partnering transaction for NNZ-2591 60% 40% 60% iii. when the Company executes a partnering transaction for trofinetide outside North America, or submits a Marketing Authorisation Application for trofinetide in the European Union, the United Kingdom, or Japan 40% 20% 40% Each of these vesting conditions shall be tested separately from the other vesting conditions. The first vesting condition (i) was met in September 2022, the second vesting condition (ii) was met in February 2024 and the third vesting condition (iii) was met in July 2023. The estimated fair value of the options to acquire ordinary shares has been determined using the Black-Scholes valuation model. The significant inputs into the model were the share price on date of valuation, the estimated future volatility of the share price, the risk-free interest rate, a dividend yield rate of 0% and an expected life of 2.75 years. The estimated future volatility of the share price was derived by analysing the historic volatility of the share price on a daily basis during the two years prior to the issue date, as this period is reflective of the anticipated volatility in the future. NOTES TO THE CONSOLIDATED FINANCIAL STATEMENTS CONTINUED Neuren Pharmaceuticals Limited Annual Report 2024 42
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