Company: GSHRW
Filing Date: 2025-11-12
Form Type: 10-Q
Source: 0001213900-25-109193
Chunk: 81

Company: Gesher Acquisition Corp. II
Filing Date: 2025-11-12
Form: 10-Q
Item: Part I, Item 8
Chunk 81
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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.

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:

    March 24, 2025 
  
    Current underlying unit price 
    $10.02 
  
    Market pricing adjustment 
     5.0%
  
    Strike price 
    $11.50 
  
    Redemption price 
    $18.00 
  
    Probability of a successful Business Combination 
     15.0%
  
    Risk-free rate 
     4.04%

17

GESHER
                                            ACQUISITION CORP. II

NOTES
TO CONDENSED FINANCIAL STATEMENTS (UNAUDITED)

SEPTEMBER
30, 2025

The
Company classifies its securities in the Trust Account that are invested in funds, such as mutual funds or money market funds, that primarily
invest in U.S. Treasury and equivalent securities as trading securities in accordance with FASB ASC Topic 320, “Investments–Debt
and Equity Securities”. Trading securities are recorded at fair market value on the accompanying condensed balance sheets.

At
September 30, 2025, assets held in the Trust Account were comprised of $147,300,306 in a mutual fund that is invested primarily
in U.S. government securities and $0 in cash