Company: FLDDW
Filing Date: 2025-08-11
Form Type: 424B3
Source: 0001213900-25-074298
Chunk: 347

Company: Fold Holdings, Inc.
Filing Date: 2025-08-11
Form: 424B3
Chunk 347
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15. FAIR VALUE MEASUREMENTS (cont.) Convertible Note The estimated fair value of the convertible note (refer to Note 10) was determined using a Monte Carlo simulation model, which requires the use of several inputs and significant assumptions, including the risk -freerate and volatility. The discount rate at each valuation date was the risk free rate. Additionally, in the Company’s estimate of the fair value of the convertible note, the forced conversion right was treated as soft call options within the valuation model. Fair value measurements associated with the convertible note were determined based on significant inputs not observable in the market, which represent Level 3 measurements within the fair value hierarchy. Increases and decreases in the fair value of the convertible note can result from updates to assumptions such as the price of bitcoin, expected timing and probability of the Company being able to exercise their forced conversion right, or changes in the risk -freerate, among other assumptions. Based on the Company’s assessment of the valuation of the convertible note, performed by the Company’s third -partyvaluation specialists, none of the changes in the fair value of those instruments were due to changes in the Company’s own credit risk for the reporting periods presented. Judgment is used in determining these assumptions as of the initial valuation date and at each subsequent reporting period. Changes or updates to assumptions could have a material impact on the reported fair value and the change in fair value of the convertible note and the results of operations in any given period. The following table summarizes the changes in fair value associated with Level 3 convertible note financial instruments held at the beginning or end of the periods presented:

| Balance at December 31, 2024                            |     | Convertible 
 Note        |          — |   |
|:--------------------------------------------------------|:----|:------------|-----------:|:--|
| Additions                                               |     |             | 46,279,500 |   |
| Fair Value adjustment, Day one loss on issuance of debt |     |             | 12,753,994 |   |
| Fair Value adjustment, Change in fair value             |     |             | (6,219,851 | ) |
| Balance at March 31, 2025                               |     | $           | 52,813,643 |   |

The following table summarizes the significant inputs which the fair value measurements associated with the convertible note was determined:

|                                          |     | As of     
 March 31, 
 2025      |            |   |     | As of        
 December 31,