Company: GSHRW
Filing Date: 2025-08-14
Form Type: 10-Q
Source: 0001213900-25-075907
Chunk: 77

Company: Gesher Acquisition Corp. II
Filing Date: 2025-08-14
Form: 10-Q
Item: Part I, Item 8
Chunk 77
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 in pricing the asset or liability.

16

GESHER ACQUISITION CORP. II

NOTES TO UNAUDITED CONDENSED FINANCIAL STATEMENTS

JUNE 30, 2025

The fair value of the Public Warrants is $1,890,313,
or $0.263 per Public Warrant. The fair value of Public Warrants was determined using the Monte Carlo Simulation Model. The Public Warrants
have been classified within shareholders’ equity (deficit) and will not require remeasurement after issuance. The following table
presents the quantitative information regarding market assumptions used in the Level 3 valuation of the Public Warrants:

    March 24, 2025 
  
    Current underlying unit price 
    $10.02 
  
    Market pricing adjustment 
     5.0%
  
    Strike price 
    $11.50 
  
    Redemption price 
    $18.00 
  
    Probability of a successful Business Combination 
     15.0%
  
    Risk-free rate 
     4.04%

The Company classifies its securities in the Trust
Account that are invested in funds, such as mutual funds or money market funds, that primarily invest in U.S. Treasury and equivalent
securities as trading securities in accordance with FASB ASC Topic 320, “Investments–Debt and Equity Securities”. Trading
securities are recorded at fair market value on the accompanying condensed balance sheets.

At June 30, 2025, assets held in the Trust Account
were comprised of $145,792,332 in a mutual fund that is invested primarily in U.S. government securities and $0 in cash. For the three
and six months ended June 30, 2025, the Company did not withdraw any of the interest earned on the Trust Account.

    Description 
    Level  
    June 30, 2025 
  
    Assets: 

    Marketable securities held in Trust Account – U.S. Money Market Fund 
     1  
    $145,792,332 

Note 9 — Segment Information 

ASC 280 establishes standards for companies to
report in their financial statement information about operating segments, products, services, geographic areas, and major customers. Operating
segments are defined as components of an enterprise for which separate financial information is available that is regularly evaluated
by the company’s CODM, or group, in deciding how to allocate resources and assess performance.

The Company’s