Company: DAAQ
Filing Date: 2025-08-19
Form Type: 10-Q
Source: 0001213900-25-078074
Chunk: 26

Company: Digital Asset Acquisition Corp.
Filing Date: 2025-08-19
Form: 10-Q
Item: Item 8
Chunk 26
---
000 Private Placement Warrants) in accordance with the guidance contained in ASC 815-40. Such guidance provides that the warrants
described above are not precluded from equity classification. Equity-classified contracts are initially measured at fair value (or allocated
value). Subsequent changes in fair value are not recognized as long as the contracts continue to be classified in equity.

The
fair value of the Public Warrants and Private Placement Warrants at issuance were estimated using the Black-Scholes option pricing model,
with the following assumptions:

    Risk-free interest rate 
     3.6%
  
    Expected term (years) 
     2.52 
  
    Expected volatility 
     7.9%
  
    Stock price on valuation date 
    $10.21 
  
    Exercise price 
    $11.5 
  
    Expected dividend 
     —%
  
    Market pricing adjustment 
     15%

16

DIGITAL
ASSET ACQUISITION CORP. 

JUNE
30, 2025

NOTES
TO UNAUDITED CONDENSED FINANCIAL STATEMENTS

NOTE
9. 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 our