Company: FLDDW
Filing Date: 2025-03-28
Form Type: 10-K
Source: 0001013762-25-004107
Chunk: 818

Company: Fold Holdings, Inc.
Filing Date: 2025-03-28
Form: 10-K
Item: Item 3
Chunk 818
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 share. The fair value of the
Investor Shares was recorded as an expense with a corresponding credit to additional paid-in capital. The fair value was determined based
on an application of a binomial/lattice model which is considered to be a Level 3 fair value measurement.

F-16

FOLD HOLDINGS, INC.

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

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS

DECEMBER 31, 2024

The key inputs into the binomial/lattice model
for the Investor Shares were as follows at September 30, 2023:

    Input 
    September 30, 2023 
  
    Risk-free interest rate 
     4.6%
  
    Term (in years) 
     5.1 
  
    Volatility 
     10.0%
  
    Exercise price 
    $11.50 
  
    Asset Price 
    $10.46 

On January 17, 2024, the Company entered into
non-redemption agreements with unaffiliated third parties in exchange for each such party agreeing not to redeem public shares in connection
with the January Meeting that was held on January 19, 2024. In exchange for the foregoing commitments not to redeem public shares, the
Company has agreed to issue or cause to be issued an aggregate of 1,112,500 Investor Shares. In addition, the Company has agreed that
it will not utilize any funds from the Trust Account to pay any potential excise taxes that may become due pursuant to the IR Act upon
a redemption of public shares, including in connection with the January Charter Amendment, an initial business combination or liquidation
of the Company. The Company evaluated the classification and accounting of the issuance of the Investor Shares under ASC 815-40, “Derivatives
and Hedging – Contracts in Entity’s Own Equity”. The Company concluded that the monetary value of the obligation is
a known and fixed amount at inception as the monetary value of the obligation will be defined and provided to each investor with the
final number of Investor Shares stated in the non-redemption agreements. Therefore, the settlement terms of the non-redemption agreement
(i.e., number of shares held by the holder) is considered an input into a fixed-for-fixed contract and the shares issued will be recorded
in equity. The Company estimated the aggregate fair value of the 1,112,500 Investor Shares attributable to the non-re