Company: PFSA
Filing Date: 2025-11-19
Form Type: 10-Q
Source: 0001213900-25-112723
Chunk: 157

Company: Profusa, Inc.
Filing Date: 2025-11-19
Form: 10-Q
Item: Part I, Item 8
Chunk 157
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 value presented
within change in fair value of warrant liabilities in the condensed consolidated statements of operations.

The Company uses a Monte Carlo simulation model to value the Private
Placement Warrants and the Representative’s Warrants. The Private Placement Warrants and the Representative’s Warrants were
classified within Level 3 of the fair value hierarchy due to the use of unobservable inputs. Inherent in pricing models are assumptions
related to expected share-price volatility, expected life and risk-free interest rate. The Company estimates the volatility of its common
stock based on historical volatility that matches the expected remaining life of the warrants. The risk-free interest rate is based on
the U.S. Treasury zero-coupon yield curve on the grant date for a maturity similar to the expected remaining life of the warrants. The
expected life of 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,