Company: FLDDW
Filing Date: 2025-03-28
Form Type: 10-K
Source: 0001013762-25-004107
Chunk: 722

Company: Fold Holdings, Inc.
Filing Date: 2025-03-28
Form: 10-K
Item: Item 2
Chunk 722
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trading day before the Company sends the notice of redemption to the warrant holders.

NOTE 8. FAIR VALUE MEASUREMENTS

The following table presents information about
the Company’s assets that are measured at fair value on December 31, 2024 and 2023, and indicates the fair value hierarchy of the
valuation inputs the Company utilized to determine such fair value: 

    December 31, 2024  
    Quoted Prices In Active Markets (Level 1)  
    Significant Other Observable Inputs (Level 2)  
    Significant Other Unobservable Inputs (Level 3) 
  
    Asset: 

    Investments held in Trust Account 
    $51,289,643  
    $51,289,643  
    $  —  
    $  — 

    December 31, 2023  
    Quoted Prices In Active Markets (Level 1)  
    Significant Other Observable Inputs (Level 2)  
    Significant Other Unobservable Inputs (Level 3) 
  
    Asset: 

    Investments held in Trust Account 
    $165,653,149  
    $165,653,149  
    $        —  
    $         — 

Promissory note

The note payable was valued using the standard
closed-form Black Scholes model which is considered to be a Level 3 fair value measurement.

The key inputs into the Black Scholes model for
the promissory note were as follows at January 3, 2024:

    Input 
    January 3, 2024 
  
    Risk-free interest rate 
     3.90%
  
    Term (in years) 
     5.0 
  
    Probability of de-SPAC 
     20.0%
  
    Exercise price 
    $11.50 
  
    Public Warrant Price 
    $0.053 

F-20

FOLD HOLDINGS, INC.

(F/K/A FTAC EMERALD ACQUISITION CORP.)

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS

DECEMBER 31, 2024

The following table presents the changes in the
fair value of the Level 3 note payable:

    Fair value as of December 31, 2023
    $
    - 
  
    Initial value 
     550,000 
  
    Fair value as of December