Company: GAUZ
Filing Date: 2025-03-11
Form Type: 20-F
Source: 0001213900-25-022437
Chunk: 186

Company: Gauzy Ltd.
Filing Date: 2025-03-11
Form: 20-F
Item: Item 19
Chunk 186
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 fair value                        ( 1,350      24,906      2,226       ( 1,194          747      1    
  December 31, 2023         $                  21,566      55,940      21,976       23,151        2,997      186  

The fair value of the Company’s
liabilities, based on the Company’s share price, were classified as Level 3. Before the IPO, they were estimated using a hybrid
model in order to reflect two scenarios: (1) IPO event and (2) other liquidation events. The IPO scenario was based on the fair value
of the Company’s business based on management estimation. The other liquidation events scenario was based on various market indications
using an option pricing model (OPM) (income approach-based valuation technique). Application of these approaches and methodologies involves
the use of estimates, judgments, and assumptions that are highly complex and subjective, such as those regarding the Company’s expected
future revenue, expenses, and future cash flows, discount rates, the selection of comparable public companies, and the probability of
and timing associated with possible future events.

The following table presents the main
assumptions used in the hybrid model for the periods presented:

                                                                 December 31             
 ─────────────────────────────────────────────────────────────────────────────────────────
                                                                        2023             
  Expected volatility                                                             44.87  
  Assumptions regarding the price of the underlying shares:                              
  Probability of an IPO scenario                                                     25  
  Expected time to IPO (years)                                                     0.75  
  Probability of liquidation events                                                  75  
  Expected time to liquidation (years)                                              2.0  

Starting from the closing of the IPO,
the Company utilized a Black-Scholes Option Pricing model with Level 3 inputs for the valuation of its liability-classified warrants.
Inherent in pricing models are assumptions related to expected share-price volatility, expected life, risk-free interest rate and dividend
yield. The underlying stock price input is the closing stock price as of each valuation date and the exercise price is the price as stated
in the warrant agreement. The volatility input was determined using the historical volatility of comparable publicly traded companies
which operate in a similar industry or compete directly against the Company.

Volatility for each comparable publicly
traded company is calculated as the annualized standard deviation of daily continuously compounded returns. The Black-Scholes analysis
is performed in a