Company: PFSA
Filing Date: 2025-11-19
Form Type: 10-Q
Source: 0001213900-25-112723
Chunk: 33

Company: Profusa, Inc.
Filing Date: 2025-11-19
Form: 10-Q
Item: Part I, Item 1
Chunk 33
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 the warrants is assumed to be equivalent to their remaining contractual term.

The key inputs into the Monte Carlo simulation model for the warrant
liabilities were as follows at September 30, 2025 and July 11, 2025 (the “Closing Date”):

    September 30,
 2025  
    July 11,
 2025 
  
    Input 

    Risk-free interest rate 
     3.73% 
     3.99%
  
    Expected term (years) 
     4.8  
     5.00 
  
    Expected volatility 
     91.80% 
     42.00%
  
    Exercise price 
    $11.50  
    $11.50 
  
    Fair value of Common stock 
    $0.30  
    $2.50 

Warrant Liabilities

The following table provides a summary of the changes in the fair value
of the Company’s Level 3 warrant liabilities that are measured at fair value on a recurring basis for the three and nine months
ended September 30, 2025 (in thousands):

    Private
Placement 
Warrants  
    Representative’s
 Warrants  
    Total Level 3
 Warrant
 liabilities 
  
    Fair value at Beginning of period 
    $  -  
    $  -  
    $- 
  
    Assumption of warrant liabilities 
     1,107  
     87  
     1,194 
  
    Change in fair value of warrant liabilities 
     (820) 
     (64) 
     (884)
  
    Fair value at September 30, 2025 
    $287  
    $23  
    $311 

Convertible notes payable, related party

The Tasly Convertible note and the Convertible Promissory Note
– Related Party (collectively “Related Party Convertible Debt Payable”) were valued using a Probability Weighted Expected
Return Model to fair value the convertible note. The intrinsic conversion value as of September 30, 2025 is zero and the note has matured
and is payable at the principal amounts plus accrued interest.  Therefore, the fair value of the note is the face amount of the debt.

18

The following table provides a summary of the changes in the fair value
of the Company’s Level 3 Related Party Convertible Debt Payable for the three and nine months ended