Company: TBMC
Filing Date: 2025-11-21
Form Type: 10-Q
Source: 0001213900-25-113605
Chunk: 121

Company: Trailblazer Merger Corp I
Filing Date: 2025-11-21
Form: 10-Q
Item: Part I, Item 8
Chunk 121
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 settled through issuance of new class of preferred stock, requiring
the remeasurement of the promissory note at fair value on such date. The Company amended the second amended and restated promissory note
on September 30, 2025 and assessed that the amended agreement is a freestanding ASC 480 liability, measured at fair value initially and
subsequently, with changes in earnings. As of September 30, 2025, the second amended and restated promissory note has a fair value of
$7,393,329. The fair value of the promissory note was determined using Monte Carlo Simulation Model. The following table presents the
quantitative information regarding market assumptions used in the Level 3 valuation of the second amended and restated promissory note:

    July 29, 2025  
    September 16, 2025  
    September 30, 2025 
  
    Estimated deSPAC stock price 
    $5.76  
    $3.74  
    $3.36 
  
    Remaining term 
     1.7  
     1.9  
     1.8 
  
    Volatility 
     102.4% 
     102.4% 
     102.4%
  
    Risk-free rate 
     3.85% 
     3.46% 
     3.55%
  
    Implied probability of successful initial Business Combination 
     70.0% 
     73.7% 
     74.4%

18

The following table provides a summary of the changes in the fair value
of the Company’s Level 3 financial instruments that are measured at fair value on a recurring basis:

    Promissory note - 
2nd amended and 
restated 
  
    Fair value at July 29, 2025 
    $9,964,704 
  
    Additional draws on promissory note 
     285,000 
  
    Gain on change in fair value of promissory note 
     (2,075,267)
  
    Fair value at September 16, 2025 
     8,174,437 
  
    Gain on change in fair value of promissory note 
     (781,108)
  
    Fair value at September 30, 2025 
    $7,393,329 

NOTE 9. SEGMENT INFORMATION

ASC