Company: GSHRW
Filing Date: 2025-08-14
Form Type: 10-Q
Source: 0001213900-25-075907
Chunk: 29

Company: Gesher Acquisition Corp. II
Filing Date: 2025-08-14
Form: 10-Q
Item: Part I, Item 1
Chunk 29
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there will be taken into account any consideration received for such rights, as well as any additional amount payable upon exercise or
conversion and (ii) fair market value means the volume weighted average price of Class A Ordinary Shares as reported during the ten
(10) trading day period ending on the trading day prior to the first date on which the Class A Ordinary Shares trade on the
applicable exchange or in the applicable market, regular way, without the right to receive such rights.

Note 8 — Fair Value Measurements

The fair value of the Company’s financial
assets and liabilities reflects Management’s estimate of amounts that the Company would have received in connection with the sale
of the assets or paid in connection with the transfer of the liabilities in an orderly transaction between market participants at the
measurement date. In connection with measuring the fair value of its assets and liabilities, the Company seeks to maximize the use of
observable inputs (market data obtained from independent sources) and to minimize the use of unobservable inputs (internal assumptions
about how market participants would price assets and liabilities). The following fair value hierarchy is used to classify assets and liabilities
based on the observable inputs and unobservable inputs used in order to value the assets and liabilities:

    Level 1:
    Quoted prices in active markets for identical assets or liabilities. An active market for an asset or liability is a market in which transactions for the asset or liability occur with sufficient frequency and volume to provide pricing information on an ongoing basis.

    Level 2:
    Observable inputs other than Level 1 inputs. Examples of Level 2 inputs include quoted prices in active markets for similar assets or liabilities and quoted prices for identical assets or liabilities in markets that are not active.

    Level 3:
    Unobservable inputs based on an assessment of the assumptions that market participants would use 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: