Company: PFSA
Filing Date: 2025-08-14
Form Type: 10-Q
Source: 0001213900-25-076861
Chunk: 48

Company: Profusa, Inc.
Filing Date: 2025-08-14
Form: 10-Q
Item: Part I, Item 1
Chunk 48
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 promissory note was classified
within Level 3 of the fair value hierarchy due to the use of unobservable inputs. Inherent in pricing models are assumptions related
to expected share-price volatility, expected life and risk-free interest rate. The Company estimates the volatility of its common stock
based on historical volatility that matches the expected remaining life of the note. The risk-free interest rate is based on the U.S.
Treasury zero-coupon yield curve on the grant date for a maturity similar to the expected remaining life of the note. The expected life
of the note is assumed to be equivalent to their remaining contractual term.

    Securities Purchase Agreement 
  
    Fair value at February 11, 2025 
    $— 
  
    Change in fair value of securities purchase agreement 
     23,487 
  
    Fair value at March 31, 2025 
     23,487 
  
    Change in fair value of securities purchase agreement 
     170,391 
  
    Fair value at June 30, 2025 
    $193,878 

23

The Company utilizes a Monte Carlo model to estimate
the fair value of the conversion feature within the securities purchase agreement, which is required to be recorded at its initial fair
value on the date of issuance, and each balance sheet date thereafter. Changes in the estimated fair value of the conversion feature
are recognized as non-cash gains or losses in the accompanying condensed consolidated statements of operations.

The key assumptions in the model relate to expected
share-price volatility, risk-free interest rate, exercise price, expected term and the probability of occurrence of the transaction.
The expected volatility was based on the average volatility of special purpose acquisition companies that are searching for an acquisition
target. The risk-free interest rate is based on the U.S. Treasury zero-coupon yield curve on the grant date for a maturity similar to
the expected remaining life of the note. The expected life of the note is assumed to be equivalent to their remaining contractual term.

Note 9 – Segment Information

ASC Topic 280, “Segment Reporting,”
establishes standards for companies to report in their financial statement information about operating segments, products, services,
geographic areas, and major customers. Operating segments are defined as components of an enterprise that engage in business activities
from which it may recognize revenues and incur expenses, and for which separate financial information is available that is regularly
evaluated by the Company’s chief operating decision maker, or group, in deciding how to allocate