Company: QTIWW
Filing Date: 2025-01-31
Form Type: S-1/A
Source: 0001628280-25-003316
Chunk: 465

Company: QT IMAGING HOLDINGS, INC.
Filing Date: 2025-01-31
Form: S-1/A
Chunk 465
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 sheets in interest receivable on cash and marketable securities held in Trust Account as of December 31, 2023 and 2022, respectively.

The Company has determined that the Private Placement Warrants are subject to treatment as a liability, as the transfer of the warrants to anyone other than the purchasers or their permitted transferees would result in these warrants having substantially the same terms as the Public Warrants. The Public Warrants did not start trading separately until November 4, 2021, so the Company initially determined the fair value of each warrant using a Black-Scholes option-pricing model, which requires the use of significant unobservable market values. Accordingly, the Private Placement Warrants were initially classified as Level 3 financial instruments. After the Public Warrants started trading separately, the Company determined that the fair value of each Private Placement Warrant approximates the fair value of a Public Warrant. Accordingly, the Private Placement Warrants are valued upon observable data and have been reclassified as Level 2 financial instruments.

The Working Capital Note was valued using a combination of the Black-Scholes option pricing model and present value method, which is considered to be a Level 3 fair value measurement. The estimated fair value of the Working Capital Note was based on the following ranges of significant inputs at issuance for advances made under the Working Capital Note during the year ended December 31, 2023 and as of December 31, 2023 and 2022 for all advances made under the Working Capital Note:

|                           | Assumptions |     | At Issuance |               |     |     |        As of 
 December 31, 
         2023 |     |     |     |        As of 
 December 31, 
         2022 |               |
|:--------------------------|:------------|:----|------------:|:--------------|:----|:----|-------------:|----:|:----|:----|-------------:|--------------:|
| Expected term             |             |     |             | 0.7 - 0.8     |     |     |              | 0.7 |     |     |              |           0.9 |
| Volatility                |             |     |          65 | %             |     |     |         65.0 |   % |     |     |         65.0 |             % |
| Risk free rate            |             |     |             | 4.5% - 5.