Company: GAUZ
Filing Date: 2025-03-11
Form Type: 20-F
Source: 0001213900-25-022437
Chunk: 187

Company: Gauzy Ltd.
Filing Date: 2025-03-11
Form: 20-F
Item: Item 19
Chunk 187
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 risk-neutral framework, which requires a risk-free rate assumption based upon constant-maturity treasury yields, which
are interpolated based on the remaining term of the warrants as of each valuation date.

The following table provides quantitative
information regarding Level 3 fair value measurements inputs at their measurement dates:

                               December 31       
 ─────────────────────────────────────────────────
                               2024              
  Exercise price               $ 14.35 -$ 31.08  
  Share price                  $ 9.91            
  Volatility                   44.49%            
  Term (years)                 3.67 - 4.83       
  Risk-free interest rate      4.26% - 4.33%     
  Dividend yield               0.0%              

F-38

GAUZY LTD.

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued)

(U. S. dollars in thousands, except share and per
share amounts)

NOTE 13 - FAIR VALUE MEASUREMENTS(continued):

As of July 2024, the Company paid in
full the Earn Out liability totaling to $0.75million (€0.7million)

The fair value of the 2024 NPA, measured
under the fair value option, was measured by discounting the predicted cashflows of the loan using a spread equal to0.91% above an ilCa
USD yield curve.

  Financial instruments measured not at fair value on a recurring basis  

Financial instruments not recorded at
fair value on a recurring basis include cash and cash equivalents, restricted cash, trade receivables, bank deposits, trade and other
payables and short-term borrowings. Due to their nature, their fair value approximates their carrying value.

The fair value of Vision’s bank
loans approximates their carrying value.

NOTE 14 - REDEEMABLE
CONVERTIBLE PREFERRED SHARES AND SHAREHOLDERS’ EQUITY:

  As of December 31, 2024 and 2023, the share capital is composed of shares as follows:  
 ─────────────────────────────────────────────────────────────────────────────────────────

                       December 31, 2024                                                                                               
                       Authorized                             Issued and paid                      Carrying               Liquidation  
                                                                                                   Value                  Preference   
 ───────────────────────────────────────────────────────────────────────────────────────────────────────────────────────────────────────
  Ordinary Shares                             49,200,191                           18,720,287      $             865