Company: CXAI
Filing Date: 2025-11-12
Form Type: 10-Q
Source: 0001829126-25-009077
Chunk: 22

Company: CXApp Inc.
Filing Date: 2025-11-12
Form: 10-Q
Item: Part I, Item 1
Chunk 22
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,472

    Warrant liability – March 31, 2024

    3,155

    Change in fair value of derivative instruments

    1,051

    Warrant
    liability – June 30, 2024

    4,206

    Change in fair value of derivative instruments

    1,052

    Warrant liability – September 30, 2024
     
    $
    5,258

    17

The Company accounts for convertible debt under
the fair value option election using Level 3 inputs. For the three and nine months ended September 30, 2025, the Company recognized
an unrealized gain in the Consolidated Statements of Operations and Comprehensive loss of $887
and $387,
respectively. For the three and nine months ended September 30, 2024, the Company recognized an unrealized loss in the Consolidated
Statements of Operations and Comprehensive loss of  $67
thousand and $17
respectively, which are presented as a change in fair value of derivative liability. See additional details within Note 11,
Convertible debt.

Under ASC Topic 820-10, the convertible debts
that are being valued under the fair value option election were classified as Level 3 due to the use of unobservable inputs. The fair
value of the convertible note is valued by an independent valuer using a probability-weighted scenarios model with the following significant
inputs:

Avondale

Pre-Paid Purchase #1

    Schedule of valuation models

    Inputs
     
    September 30, 2025

    Valuation method
     
    Scenario based analysis

    Stock price
     
    $
    0.74

    Equity dividend yield

    0.00
    %

    Expected term (years)

    2.49

    Volatility

    97.80
    %

    Discount rate

    3.83
    %

    Risk free rate

    3.57
    %

Pre-Paid Purchase #2

    Inputs 
    September 30,2025 
  
    Valuation method 
    Scenario based analysis 
  
    Stock price 
    $0.74 
  
    Equity dividend yield 
     0.00%
  
    Expected term (years) 
     2.49 
  
    Volatility 
     97.80%
  
    Discount rate 
     3.83%
  
    Risk free rate