Company: ZCARW
Filing Date: 2025-02-14
Form Type: 10-Q
Source: 0001213900-25-014437
Chunk: 293

Company: Zoomcar Holdings, Inc.
Filing Date: 2025-02-14
Form: 10-Q
Item: Part I, Item 8
Chunk 293
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NOTES TO CONDENSED CONSOLIDATED
FINANCIAL STATEMENTS (UNAUDITED)

31Financial Instruments - Fair Value Measurements
(Continued) 

Atalaya Note

The Company measures its notes at
fair value based on significant inputs not observable in the market, which caused them to be classified as Level 3 measurements
within the fair value hierarchy. Changes in the fair value of unsecured convertible note related to updated assumptions and
estimates were recognized as change in fair value of Atalaya Note within the Condensed Consolidated Statements of Operations.

The Company used the following assumptions for the valuation
of Atalaya Note as on December 31, 2024 in the model of Valuation of:

    Atalaya Note 
  
    Remaining term (years) 
     0.25 
  
    Rate of interest 
     8.00%
  
    Penal rate of interest 
     8.00%
  
    Cost of Debt* 
     14.60%

*Cost of debt for commensurate term is considered as discount
rate for cash payment.

The assumptions for the valuation of
Atalaya Note as on December 31, 2024 have been updated since the last valuation. Until March 31, 2024, the settlement of Atalaya Note
could have been through either issue of shares or repayment of outstanding amount. During the nine months ended December 31, 2024, the
stock price of the Company was reduced below $25 ($ 0.25 prior to Reverse Stock Split) and in accordance with the agreement on the breach
of this stock price threshold, the Atalaya Note is to be settled mandatorily in cash. The Company adopted discounted cash flow method
to fair value the lability of Atalaya Note. The Company used the discount rate as per CCC+ bond i.e., 14.60% for discounting the future
cash outflow.

Derivative financial instruments

The Company measures its derivative
financial instruments at fair value based on significant inputs not observable in the market, which caused them to be classified as Level
3 measurements within the fair value hierarchy and used the Monte Carlo pricing model to calculate the fair value of the instruments.
Changes in the fair value of derivative financial instruments related to updated assumptions and estimates were recognized as change in
fair value of derivative financial instruments within the Condensed Consolidated Statements of Operations.

48

ZOOMCAR HOLDINGS, INC.

NOTES TO COND