Company: PFSA
Filing Date: 2025-11-19
Form Type: 10-Q
Source: 0001213900-25-112723
Chunk: 32

Company: Profusa, Inc.
Filing Date: 2025-11-19
Form: 10-Q
Item: Part I, Item 1
Chunk 32
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    $972  
    $—  
    $—  
    $972 
  
    Liabilities: 

    Related Party Convertible Notes at fair value 
    $—  
    $—  
    $4,127  
    $4,127 
  
    Loans payable - related party 
     —  
     —  
     14,359  
     14,359 
  
    Warrant liabilities - Private Placement Warrants 
     —  
     —  
     287  
     287 
  
    Warrant liabilities - Representative’s Warrants 
     —  
     —  
     23  
     23 
  
    Total liabilities measured at fair value 
    $—  
    $—  
    $18,797  
    $18,797 

    As of December 31, 2024  

    Level 1  
    Level 2  
    Level 3  
    Total 
  
    Liabilities: 

    Related Party Convertible Notes at fair value 
    $—  
    $—  
    $2,234  
    $2,234 
  
    Total liabilities measured at fair value 
    $—  
    $—  
    $2,234  
    $2,234 

17

The Private Placement Warrants and the Representative’s Warrants
are accounted for as liabilities in accordance with ASC 815-40 and are presented within liabilities on the condensed consolidated balance
sheets. The warrant liabilities are measured at fair value at inception and on a recurring basis, with changes in fair value presented
within change in fair value of warrant liabilities in the condensed consolidated statements of operations.

The Company uses a Monte Carlo simulation model to value the Private
Placement Warrants and the Representative’s Warrants. The Private Placement Warrants and the Representative’s Warrants were
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 warrants. 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 warrants. The
expected life of