Company: SRFM
Filing Date: 2025-03-21
Form Type: 10-K
Source: 0000950170-25-043326
Chunk: 328

Company: SURF AIR MOBILITY INC.
Filing Date: 2025-03-21
Form: 10-K
Item: Item 8
Chunk 328
---
 of other long-term liabilities within the Consolidated Balance Sheets. Significant inputs in determining period end fair values of the Mandatory Convertible Security are as follows: 

        August 7, 2024

        December 31, 2024

        Par amount

        35,200

        38,615

        Probability of default

        15.8
        %

        —
        %

        Expected volatility

        130.6
        %

        155.7
        %

        Discount rate

        3.8
        %

        4.3
        %

        Share price
         
        $
        1.995

        $
        5.390

Note 13. Fair Value MeasurementsThe fair values of the convertible notes, SAFE instruments, preferred stock warrant liabilities, and derivative liability were based on the estimated values of the notes, SAFE instruments, warrants, and derivatives upon conversion including adjustments to the conversion rates, which were probability weighted associated with certain events, such as a sale of the Company or the Company becoming a public company. The estimated fair values of these financial liabilities were determined utilizing the Probability-Weighted Expected Return Method and is considered a Level 3 fair value measurement. 

98

Assets and liabilities are classified in the hierarchy based on the lowest level of input that is significant to the fair value measurement. The Company’s assessment of the significance of a particular input to the fair value measurement requires judgment and may affect the valuation of the assets and liabilities being measured and their placement within the fair value hierarchy. The following tables summarize the Company’s financial liabilities that are measured at fair value on a recurring basis in the consolidated financial statements (in thousands): 

        Fair Value Measurements at December 31, 2024 Using:

        Level 1

        Level 2

        Level 3

        Total

        Liabilities:

        Convertible notes at fair value
         
        $
        -

        $
        -

        $
        7,347

        $
        7,347

        SAFE notes at fair value

        —

        —

        13

        13

        LamVen Note

        —

        —

        50,000

        50,000

        Mandatory Convertible Security

        —

        —

        23,221

        23,221

        Total financial liabilities
         
        $
        —

        $
        —

        $
        80,581

        $
        80,581