Company: PFSA
Filing Date: 2025-08-14
Form Type: 10-Q
Source: 0001213900-25-076861
Chunk: 135

Company: Profusa, Inc.
Filing Date: 2025-08-14
Form: 10-Q
Item: Part I, Item 8
Chunk 135
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 value of convertible promissory note 
     (60,077)
  
    Fair value at March 31, 2024 
     1,262,226 
  
    Proceeds received through convertible promissory note 
     330,796 
  
    Change in fair value of convertible promissory note 
     (66,021)
  
    Fair value at June 30, 2024 
    $1,527,001 

The fair value of the Company’s convertible
promissory note is valued using a compound option formula on the convertible feature and a present value of the host contract. The valuation
technique requires inputs that are both unobservable and significant to the overall fair value measurement. These inputs reflect management’s
own assumption about the assumptions a market participant would use in pricing the working capital loan.

The convertible promissory note was 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 note. 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 note. The expected life
of the note is assumed to be equivalent to their remaining contractual term.

    Securities Purchase Agreement 
  
    Fair value at February 11, 2025 
    $— 
  
    Change in fair value of securities purchase agreement 
     23,487 
  
    Fair value at March 31, 2025 
     23,487 
  
    Change in fair value of securities purchase agreement 
     170,391 
  
    Fair value at June 30, 2025 
    $193,878 

23

The Company utilizes a Monte Carlo model to estimate
the fair value of the conversion feature within the securities purchase agreement, which is required to be recorded at its initial fair
value on the date of issuance, and each balance sheet date thereafter. Changes in the estimated fair value of the conversion feature
are recognized as non-cash gains or losses in the accompanying condensed consolidated statements of operations.

The key assumptions in the model relate to expected
share-price volatility, risk-free interest rate, exercise price, expected term and the probability of occurrence of the transaction.
The expected volatility was