Company: TBMC
Filing Date: 2025-11-21
Form Type: 10-Q
Source: 0001213900-25-113605
Chunk: 198

Company: Trailblazer Merger Corp I
Filing Date: 2025-11-21
Form: 10-Q
Item: Part I, Item 2
Chunk 198
---
 liability is a market in which transactions for the asset or liability occur with sufficient frequency and volume to provide pricing information on an ongoing basis.

    Level 2:
    Observable inputs other than Level 1 inputs. Examples of Level 2 inputs include quoted prices in active markets for similar assets or liabilities and quoted prices for identical assets or liabilities in markets that are not active.

    Level 3:
    Unobservable inputs based on our assessment of the assumptions that market participants would use in pricing the asset or liability.

32

As of July 29, 2025, the second
amended and restated promissory note was initially recognized at a fair value of $9,964,704. On September 16, 2025, the cash payment option
of the promissory note has expired and the settlement of the promissory note will be settled through issuance of new class of preferred
stock, requiring the remeasurement of the promissory note at fair value on such date. The Company amended the second amended and restated
promissory note on September 30, 2025 and assessed that the amended agreement is a freestanding ASC 480 liability, measured at fair value
initially and subsequently, with changes in earnings. As of September 30, 2025, the second amended and restated promissory note has a
fair value of $7,393,329. The fair value of the promissory note was determined using Monte Carlo Simulation Model. The following table
presents the quantitative information regarding market assumptions used in the Level 3 valuation of the second amended and restated promissory
note:

    July 29, 2025  
    September 16, 2025  
    September 30, 2025 
  
    Estimated deSPAC stock price 
    $5.76  
    $3.74  
    $3.36 
  
    Remaining term 
     1.7  
     1.9  
     1.8 
  
    Volatility 
     102.4% 
     102.4% 
     102.4%
  
    Risk-free rate 
     3.85% 
     3.46% 
     3.55%
  
    Implied probability of successful initial Business Combination 
     70.0% 
     73.7% 
     74.4%

The following table provides a summary of the changes