Company: GSHRW
Filing Date: 2025-05-14
Form Type: 10-Q
Source: 0001213900-25-043440
Chunk: 73

Company: Gesher Acquisition Corp. II
Filing Date: 2025-05-14
Form: 10-Q
Item: Part I, Item 8
Chunk 73
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 or liability occur with sufficient frequency and volume to provide pricing information on an ongoing basis.

    Level 2:
    Observable inputs other than Level 1 inputs. Examples of Level 2 inputs include quoted prices in active markets for similar assets or liabilities and quoted prices for identical assets or liabilities in markets that are not active.

    Level 3:
    Unobservable inputs based on an assessment of the assumptions that market participants would use in pricing the asset or liability.

The fair value of the Public Warrants is $1,890,313, or $0.263 per
Public Warrant. The fair value of Public Warrants was determined using Monte Carlo Simulation Model. The Public Warrants have been classified
within shareholders’ equity (deficit) and will not require remeasurement after issuance. The following table presents the quantitative
information regarding market assumptions used in the Level 3 valuation of the Public Warrants:

    March 24, 2025 
  
    Current underlying unit price 
    $10.02 
  
    Market pricing adjustment 
     5.0%
  
    Strike price 
    $11.50 
  
    Redemption price 
    $18.00 
  
    Probability of a successful business combination 
     15.0%
  
    Risk-free rate 
     4.04%

The Company classifies its securities in the Trust
Account that are invested in funds, such as Mutual Funds or Money Market Funds, that primarily invest in U.S. Treasury and equivalent
securities as trading securities in accordance with ASC Topic 320, “Investments–Debt and Equity Securities”. Trading
securities are recorded at fair market value on the accompanying condensed balance sheets.

At March 31, 2025, assets held in the Trust Account were comprised
of $144,197,761 in a mutual fund that is invested primarily in U.S. Treasury Securities and $97,162 in cash. For the three months ended
March 31, 2025, the Company did not withdraw any of the interest earned on the Trust Account.

    Description 
    Level 
    March 31, 2025 
  
    Assets: 

    Cash 
    1 
    $97,162 
  
    Marketable securities held in Trust Account – U.S. Money Market Fund 
    1 
    $144,197,761 

16

GESHER ACQUISITION CORP. II

NOTES TO CONDENSED FINANCIAL STATEMENTS

MARCH