Company: PFSA
Filing Date: 2025-06-13
Form Type: 10-Q
Source: 0001213900-25-054386
Chunk: 118

Company: Profusa, Inc.
Filing Date: 2025-06-13
Form: 10-Q
Item: Part I, Item 8
Chunk 118
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, 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.

The key inputs into the Monte Carlo simulation
model for the warrant liabilities were as follows at March 31, 2025 and December 31, 2024:

    March 31,
    2025  
    December 31,
    2024 
  
    Input 

    Risk-free interest
    rate 
     4.11% 
     4.18%
  
    Expected term (years) 
     0.19  
     0.89 
  
    Expected volatility 
     De
                                            minimis% 
     De
                                            minimis%
  
    Exercise price 
    $11.50  
    $11.50 
  
    Fair value of Common stock 
    $12.43  
    $12.12 

The key inputs into the Monte Carlo simulation
model for the convertible promissory note were as follows at March 31, 2025 and December 31, 2024:

    March 31,
    2025  
    December 31,
    2024 
  
    Input 

    Risk-free interest
    rate 
     4.34% 
     4.18%
  
    Expected term (years) 
     0.19  
     0.27 
  
    Expected volatility 
     De
                                            minimis% 
     De
                                            minimis%
  
    Exercise price 
    $11.50  
    $11.50 
  
    Fair value of Common stock 
    $12.43  
    $12.12 

The key inputs into the Monte Carlo simulation
model for the securities purchase agreement were as follows at March