Company: PFSA
Filing Date: 2025-03-31
Form Type: 10-K
Source: 0001013762-25-004396
Chunk: 618

Company: Profusa, Inc.
Filing Date: 2025-03-31
Form: 10-K
Item: Item 2
Chunk 618
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 due to the lack of an active market. At December 31, 2023, the Public Warrants
was classified as Level 1 due to the use of an observable market quote in an active market. As of December 31, 2024 and 2023, the aggregate
value of Public Warrants was $379,500 and $85,388, respectively.

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.

F-20

The
key inputs into the Monte Carlo simulation model for the warrant liabilities were as follows at December 31, 2024 and 2023:

    December 31, 2024  
    December 31, 2023 
  
    Input 

    Risk-free interest rate 
     4.18% 
     5.06%
  
    Expected term (years) 
     0.89  
     0.71 
  
    Expected volatility 
     De
    minimis% 
     De
    minimis%
  
    Exercise price 
    $11.50  
    $11.50 
  
    Fair value of Common stock 
    $12.12  
    $11.16 

The
key inputs into the Monte Carlo simulation model for the convertible promissory note were as follows at December 31, 2024 and 2023:

    December 31, 2024  
    December 31, 2023 
  
    Input 

    Risk-free interest rate 
     4.18% 
     5.48%
  
    Expected term (years) 
     0.27  
     0.19 
  
    Expected volatility 
     De
    minimis% 
     De
    minimis%