Company: NOEMW
Filing Date: 2025-03-31
Form Type: 10-K
Source: 0001013762-25-004368
Chunk: 1068

Company: CO2 Energy Transition Corp.
Filing Date: 2025-03-31
Form: 10-K
Item: Item 7
Chunk 1068
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    Level 3 — defined as unobservable inputs in which little or no market
    data exists, therefore requiring an entity to develop its own assumptions, such as valuations derived from valuation techniques in
    which one or more significant inputs or significant value drivers are unobservable.

F-18

The fair value of the Representative
Shares was determined using the Monte Carlo Simulation Model. The Representative Shares have been allocated between temporary equity
and stockholders’ deficit and will not require remeasurement after issuance. The following table presents the quantitative information
regarding market assumptions used in the valuation of the Representative Shares:

    November 22, 2024 
  
    Implied common stock price 
    $9.88 
  
    Lockup Term (years) 
     0.5 
  
    Probability of De-SPAC and Market Adjustment 
     7.5%
  
    Discount for Lack of Marketability 
    $(0.10)

The fair value of Public
Rights was determined using the Monte Carlo Simulation Model. The Public Rights have been classified within stockholders’ deficit
and will not require remeasurement after issuance. The following table presents the quantitative information regarding market assumptions
used in the valuation of the Public Rights:

    November 22, 2024 
  
    Traded price of Unit 
    $9.98 
  
    Expected Term to De-SPAC (Years) 
     1.5 
  
    Probability of De-SPAC and Market Adjustment 
     7.5%
  
    Risk-free rate 
    $4.45%
  
    Implied common stock price 
    $9.88 
  
    Fair value per share right 
    $0.09 

The fair value of the Public
Warrants was determined using the Monte Carlo Simulation Model. The Public Warrants have been classified within stockholders’ deficit
and will not require remeasurement after issuance. The following table presents the quantitative information regarding market assumptions
used in the valuation of the Public Warrants: 

    November 22, 2024 
  
    Expected Term to De-SPAC (Years) 
     1.5 
  
    Warrant Term 
     6.5 
  
    Implied common stock price 
    $9.88 
  
    Exercise price 
     11.50 
  
    Risk-free rate 
     4.35%
  
    Probability of De-SPAC and Market Adjustment