Company: CBLO
Filing Date: 2025-11-19
Form Type: 10-Q
Source: 0001882781-25-000042
Chunk: 10

Company: C2 Blockchain, Inc.
Filing Date: 2025-11-19
Form: 10-Q
Item: Item 1
Chunk 10
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of the note.

The
fair values of the conversion option of outstanding convertible notes payable and common stock warrants were determined to be derivative
liabilities under ASC 815 due to variable conversion features on convertible notes payable disclosed above. In addition, as a result
of the variable conversion features, all other potentially dilutive instruments must also be recorded at fair value pursuant to ASC 815.
The fair value of the derivative liabilities was estimated using a black-scholes model with the following assumptions: 

    As
    of September 30, 2025

    Conversion
    Option

    Warrants

    Volatility

    415.63%

    350.22%

    Dividend Yield

    0%

    0%

    Risk-free rate

    4.05%

    3.74%

    Expected term

    1 year

    5 years

    Stock price
     
    $
    0.18

    $
    0.18

    Exercise price
     
    $
    0.01

    $
    0.05

    Derivative liability fair
    value
     
    $
    1,097,254

    $
    500,260

    Number
    of shares issued upon conversion, exercise, or satisfaction of required conditions as of September 30, 2025

    6,222,223

    2,777,778

All
fair value measurements related to the derivative liabilities are considered significant unobservable inputs (Level 3) under the fair
value hierarchy of ASC 820.

The
table below presents the change in the fair value of the derivative liability during the three months ended September 30, 2025:

    Fair value as of June 30, 2024
     
    $
    -

    Establishment of derivative liability upon issuance
    of notes

    455,310

    Establishment of derivative liability on tainted warrants

    208,325

    Change in fair value of derivatives

    933,879

    Fair value as of September 30, 2025
     
    $
    1,597,514

The
total impact of derivative liabilities recognized in the Company’s consolidated statements of operations includes the change in
fair value of derivatives, with the Company recognizing a total loss of $933,879 during the three months ended September 30, 2025, and
a day one loss charged to interest expense of