Company: DAAQ
Filing Date: 2025-11-14
Form Type: 10-Q
Source: 0001213900-25-110841
Chunk: 31

Company: Digital Asset Acquisition Corp.
Filing Date: 2025-11-14
Form: 10-Q
Item: Item 1
Chunk 31
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The Private Placement Warrants (including the
Class A ordinary shares issuable upon exercise of the Private Placement Warrants) will not be transferable, assignable or salable until
30 days after the completion of the initial Business Combination. The Private Placement Warrants have terms and provisions that are identical
to those of the Public Warrants sold as part of the Units in the Initial Public Offering.

The Company accounts for the 14,075,000 warrants
issued in connection with the Initial Public Offering (including 8,625,000 Public Warrants and 5,450,000 Private Placement Warrants) in
accordance with the guidance contained in ASC 815-40. Such guidance provides that the warrants described above are not precluded from
equity classification. Equity-classified contracts are initially measured at fair value (or allocated value). Subsequent changes in fair
value are not recognized as long as the contracts continue to be classified in equity.

The fair value of the Public Warrants and Private
Placement Warrants at issuance was estimated using the Black-Scholes option pricing model, with the following assumptions:

    Risk-free interest rate 
     3.6%
  
    Expected term (years) 
     2.52 
  
    Expected volatility 
     7.9%
  
    Stock price on valuation date 
    $10.21 
  
    Exercise price 
    $11.50 
  
    Expected dividend 
     —%
  
    Market pricing adjustment 
     15.0%

19

DIGITAL ASSET ACQUISITION CORP.

SEPTEMBER 30, 2025

NOTES TO UNAUDITED CONDENSED FINANCIAL STATEMENTS

NOTE 9. FAIR VALUE MEASUREMENTS

The fair value of the Company’s financial
assets and liabilities reflects management’s estimate of amounts that the Company would have received in connection with the sale
of the assets or paid in connection with the transfer of the liabilities in an orderly transaction between market participants at the
measurement date. In connection with measuring the fair value of its assets and liabilities, the Company seeks to maximize the use of
observable inputs (market data obtained from independent sources) and to minimize the use of unobservable inputs (internal assumptions
about how market participants would price assets and liabilities). The following fair value hierarchy is used to classify assets and liabilities
based on the observable inputs and unobservable inputs used in order to value the assets and liabilities:

Level 1: Quoted prices in