Company: ZCARW
Filing Date: 2025-05-05
Form Type: S-1
Source: 0001213900-25-039778
Chunk: 384

Company: Zoomcar Holdings, Inc.
Filing Date: 2025-05-05
Form: S-1
Chunk 384
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Level 2: The fair value of Assets held for sale not traded in an active market is determined using the quoted prices in markets that are not active or inputs other than the quoted prices that are observable either directly or indirectly considering all the relevant factors of assets.

The Company’s recurring Level 3 financial instruments within the Company’s fair value hierarchy as of March 31, 2024 consist of Company’s Atalaya Note and as of March 31, 2023 consist of Company’s Notes, SSCPN, preferred stock warrant liability and derivative financial instrument.

The fair value of the warrant liability is estimated using a Monte Carlo simulation model as the series and number of shares issued upon exercise is contingent upon the outcome of multiple discrete scenarios. The fair value of the underlying shares used within the Monte Carlo simulation model was estimated using an option pricing model to estimate the allocation of value to the various classes of securities of the Company. The significant unobservable inputs into the valuation model include the expected warrant term, the fully-diluted stock value, and volatility. A significant increase/(decrease) in any of the unobservable inputs in isolation would result in a material increase/(decrease) in the Company’s estimate of fair value of the derivative financial instrument.

Warrant

The Company used the following assumptions for the valuation of warrant liability and derivative financial instrument in the model:

|                          |     |   | December 
 28, 2023 |   |     |   |    March 
 31, 2023 |   |
|:-------------------------|:----|:--|---------:|:--|:----|:--|---------:|:--|
| Remaining term           
 (years)                  |     |   |      5.0 |   |     |   |      5.2 |   |
| Volatility1              |     |   |       55 | % |     |   |       53 | % |
| Risk-free rate2          |     |   |     3.80 | % |     |   |     3.60 | % |
| Estimated exercise price |     | $ |      3.0 |   |     | $ |   0.23-5 |   |
| Fair value per share     |     | $ |      3.7 |   |     | $ |     10.7 |   |

| 1. | Expected volatility is based upon the historical volatility of a peer group of publicly traded companies.