Company: GSHRW
Filing Date: 2025-11-12
Form Type: 10-Q
Source: 0001213900-25-109193
Chunk: 31

Company: Gesher Acquisition Corp. II
Filing Date: 2025-11-12
Form: 10-Q
Item: Part I, Item 1
Chunk 31
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 exchange or in the applicable market, regular way, without the right to
receive such rights.

Note 8
— Fair Value Measurements

The
fair value of the Company’s financial assets and liabilities reflects Management’s estimate of amounts that the Company would
have received in connection with the sale of the assets or paid in connection with the transfer of the liabilities in an orderly transaction
between market participants at the measurement date. In connection with measuring the fair value of its assets and liabilities, the Company
seeks to maximize the use of observable inputs (market data obtained from independent sources) and to minimize the use of unobservable
inputs (internal assumptions about how market participants would price assets and liabilities). The following fair value hierarchy is
used to classify assets and liabilities based on the observable inputs and unobservable inputs used in order to value the assets and
liabilities:

    Level
    1:
    Quoted
    prices in active markets for identical assets or liabilities. An active market for an asset or liability is a market in which transactions
    for the asset 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
the 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%

17

GESHER
                                            ACQUISITION CORP. II

NOTES
TO