Company: KITTW
Filing Date: 2025-11-14
Form Type: 10-Q
Source: 0001849820-25-000278
Chunk: 92

Company: Nauticus Robotics, Inc.
Filing Date: 2025-11-14
Form: 10-Q
Item: Part I, Item 1
Chunk 92
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 risk free interest rate (U.S. Treasury rates), and expected term to maturity. The fair value measurement is classified as Level 3 in the fair value hierarchy due to the use of unobservable inputs. At September 30, 2025, the following assumptions were used in order to estimate the fair value of the November 2024 Debentures: stock price of $2.88, a risk free rate of 3.70%, implied volatility of 172% and a remaining term of 0.94 years.The fair value of the Public, Private and SPA Warrants are measured at each reporting date in accordance with ASC 820-10. The Public Warrants were valued based on their publicly-traded price. The Private and SPA Warrants are considered Level 3 measurements as they involve significant unobservable inputs. In connection with the acquisition of SeaTrepid on March 20, 2025, the Company measured the identifiable assets acquired and liabilities assumed at fair value in accordance to ASC 820-10. The fair value of land and buildings acquired were measured using the market approach and considered Level 2 measurements as observable inputs from comparable sales were used. Machinery and equipment acquired were measured using cost approach and considered Level 3 measurements due to the use of unobservable inputs. The fair value of the earnout shares related to the acquisition were measured using the Monte Carlo simulation model. The model incorporates Level 3 inputs, including stock price of $10.26, stock price volatility of 99.9%, revenue volatility of 101.4%, risk free rate of 4.15% and a remaining term of 0.78 years.The fair value of notes payable acquired approximated their carrying values at the acquisition date as the Company plans to pay off the notes in the short term. The fair values of working capital items, including cash, accounts receivable, accounts payable, and accrued expenses, approximated their carrying values at the acquisition date due to their short-term nature. These items are not presented in the table below.In connection with the issuance of Series B Preferred Stock on August 6, 2025, the Company measured the fair value of the Series A Preferred stock using a Monte Carlo simulation model. Consistent with the guidance in ASC 260-10-S99-2, the valuation incorporated two separate simulations: (a) the fair value of the instrument assuming the pre-reset conversion price ($11.07 per share post-reverse stock split), and (b) the fair value of the instrument assuming the reduced