Alussa Energy Acquisition Corp. II Fair Value Disclosure
Note 8 — Fair Value Measurements
At December 31, 2025, assets held in the Trust Account were comprised of $288,940,875 of investments in U.S. government treasury bills with a maturity of one hundred eighty-five (185) days or less. Through December 31, 2025, the Company did not withdraw any amount of interest earned on the Trust Account. There were assets held in the Trust Account as of December 31, 2024.
The following table presents information about the Company’s assets held in the Trust Account that are measured at fair value on a recurring basis:
| December 31, 2025 | Level 1 | Level 2 | Level 3 | |||||||||||||
| Investments held in Trust Account | $ | 288,940,875 | $ | 288,940,875 | $ | $ | ||||||||||
The following table presents information about the Company’s Public Warrants that are measured at fair value on November 14, 2025 (upon issuance) and indicates the fair value hierarchy of the valuation inputs the Company utilized to determine such fair value. The public warrants have been classified within shareholders’ deficit and will not require remeasurement after issuance.
| Equity: | November 14, 2025 | |||
| Fair value of Public Warrants (Level 3) | $ | 3,162,500 | ||
The Public Warrants were valued using a Monte Carlo model. The Public Warrants have been classified within shareholders’ deficit and will not require remeasurement after issuance. The following table presents the quantitative information regarding market assumptions used in the valuation of the Public Warrants:
| November 14, 2025 | ||||
| Implied underlying stock price | $ | 9.93 | ||
| Exercise price | $ | 11.50 | ||
| Simulation term (years) | 7.0 | |||
| Risk-free rate (continuous) | 3.9 | % | ||
| Selected volatility | 5.5 | % | ||
| Probability of de-SPAC and market adjustment | 25 | % | ||
About Fair Value Disclosures
Fair value disclosures classify all assets and liabilities measured at fair value into a three-level hierarchy: Level 1 (quoted market prices), Level 2 (observable inputs like yield curves), and Level 3 (unobservable inputs requiring management estimates). The proportion of Level 3 assets directly reflects how much of the balance sheet depends on internal models rather than market evidence.
Key signals: a growing Level 3 balance relative to total fair-value assets increases valuation uncertainty and earnings volatility risk. Watch for transfers between levels — assets moving from Level 2 to Level 3 often signal deteriorating market liquidity. Unrealized gains and losses on Level 3 positions flow through earnings or other comprehensive income, so large swings deserve scrutiny. For financial institutions, examine the sensitivity disclosures that show how Level 3 valuations change under alternative assumptions. Compare the fair value of debt against its carrying amount to gauge hidden leverage.