Company: APXIF
Filing Date: 2025-06-11
Form Type: 10-Q
Source: 0001213900-25-053185
Chunk: 115

Company: APx Acquisition Corp. I
Filing Date: 2025-06-11
Form: 10-Q
Item: Part I, Item 8
Chunk 115
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 accordance with ASC 815-40 and are presented within warrant liabilities on the Balance Sheet. The warrant liabilities are measured
at fair value at inception and on a recurring basis, with changes in fair value presented within the statements of operations.

Initial Measurement

The Warrants were valued
using a Binomial Lattice model-based approach, which is considered to be a Level 3 fair value measurement. The Binomial Lattice simulation
model’s primary unobservable input utilized in determining the fair value of the Warrants is the expected volatility of the ordinary
shares. The expected volatility as of the Initial Public Offering date was derived from observable public warrant pricing on comparable
‘blank-check’ companies without an identified target. For periods subsequent to the detachment of the Public Warrants from
the Units, the close price of the Public Warrant price will be used as the fair value as of each relevant date.

The key inputs into the
Binomial Lattice simulation model for the Private Placement Warrants and Public Warrants were as follows at initial measurement:

    Inputs 
    December 9,
2021 
(Initial Measurement) 
  
    Risk-free interest rate 
     1.26%
  
    Expected term (years) 
     5.0 
  
    Expected volatility 
     15.0%
  
    Exercise price 
    $11.50 
  
    Stock price 
    $9.59 

The Company’s use
of a Binomial Lattice simulation model required the use of subjective assumptions:

●The risk-free interest rate assumption was based on the five-year
U.S. Treasury rate, which was commensurate with the contractual term of the Warrants, which expire on the earlier of (i) five years
after the completion of the initial business combination and (ii) upon redemption or liquidation. An increase in the risk-free interest
rate, in isolation, would result in an increase in the fair value measurement of the warrant liabilities and vice versa.

    ●
    
    The expected term was determined to be five years, in-line with
a typical equity investor assumed holding period

    ●
    The expected volatility assumption was based on the implied volatility from a set of comparable publicly-traded warrants as determined based on the size and proximity of business combinations by similar special purpose acquisition companies. An increase in the expected volatility, in isolation, would result in an increase in the fair value measurement of the warrant liabilities and vice versa. 

    ●
    The fair value of the Units, which