ALPHA MODUS HOLDINGS, INC. Fair Value Disclosure
NOTE 8 – FAIR VALUE MEASUREMENTS
The following tables present information about the Company’s liabilities that are measured at fair value on a recurring basis as of December 31, 2025 and 2024 and indicate the fair value hierarchy of the valuation techniques that the Company utilized to determine such fair value:
The fair value of financial instruments on December 31, 2025 is summarized below:
| Description | Quoted Prices in Active Markets (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Other Unobservable Inputs (Level 3) | |||||||||
| Liabilities: | ||||||||||||
| Derivative liabilities-public warrants | $ | $ | 658,800 | $ | ||||||||
| Derivative liabilities-private warrants | $ | $ | 487,573 | $ | ||||||||
| Derivative liabilities-earnout shares | $ | $ | $ | |||||||||
| Derivative liabilities-sponsor earnout shares | $ | $ | $ | |||||||||
| Total | $ | $ | 1,146,373 | $ | ||||||||
| Mezzanine Equity: | ||||||||||||
| Series C preferred stock | $ | $ | $ | 41,170,508 | ||||||||
The fair value of financial instruments on December 31, 2024 is summarized below:
| Description | Quoted Prices in Active Markets (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Other Unobservable Inputs (Level 3) | |||||||||
| Liabilities: | ||||||||||||
| Derivative liabilities-public warrants | $ | $ | $ | 1,020,000 | ||||||||
| Derivative liabilities-private warrants | $ | $ | $ | 930,053 | ||||||||
| Derivative liabilities-earnout shares | $ | $ | $ | 785,351 | ||||||||
| Derivative liabilities-sponsor earnout shares | $ | $ | $ | 267,733 | ||||||||
| Total | $ | $ | $ | 3,003,137 | ||||||||
| Mezzanine Equity: | ||||||||||||
| Series C preferred stock | $ | $ | $ | 71,809,025 | ||||||||
The initial and subsequent fair values of the Public Warrants issued in connection with the Initial Public Offering and the fair value of the Private Placement Warrants have been estimated using a Black-Scholes model. For the year ended December 31, 2025 and 2024, the Company recognized a gain in the statement of operations resulting from an decrease in the fair value of warrant liabilities of $803,680 for the year ended December 31, 2025 and recognized a loss in the statement of operations resulting from an increase in the fair value of warrant liabilities of $397,553 for the year ended December 31, 2024, presented as change in fair value of derivative warrant liabilities on the accompanying consolidated statements of operations.
| December 31, 2025 | December 31, 2024 | |||||||
| Exercise price | $ | 11.5000 | $ | 11.5000 | ||||
| Stock price | $ | 0.4601 | $ | 3.0000 | ||||
| Public warrant price | $ | 0.0549 | $ | 0.0850 | ||||
| Volatility | 92.40 | % | 33.50 | % | ||||
| Risk-free rate | 3.64 | % | 4.38 | % | ||||
| Dividend yield | 0.00 | % | 0.00 | % | ||||
The initial fair value of the Company Earnout Shares and the fair value of the Sponsor Earnout Shares have been estimated using a Monte Carlo simulation model. For the year ended December 31, 2025 and 2024, the Company recognized a gain in the statement of operations resulting from a decrease in the fair value of liabilities of approximately $1,053,084 and $18,731,514, respectively, presented as change in fair value of derivative earnout shares and sponsor earnout shares liabilities on the accompanying consolidated statements of operations.
The following table provides quantitative information regarding Level 3 fair value measurements inputs at their measurement dates: December 31, 2025 and 2024:
| December 31, 2025 | December 31, 2024 | |||||||
| Stock price | $ | 0.4601 | $ | 3.0000 | ||||
| Volatility | 25.80 | % | 33.50 | % | ||||
| Risk-free rate | 3.64 | % | 4.38 | % | ||||
| Dividend yield | 0.00 | % | 0.00 | % | ||||
The initial fair value of the Series C Preferred Stock has been estimated using a Monte Carlo simulation model at the business combination date of December 13, 2024. For the year ended December 31, 2024, the Company recognized the fair value of the Series C Preferred Stock of approximately $71,809,025, presented as mezzanine equity on the accompanying consolidated balance sheets.
The following table provides quantitative information regarding Level 3 fair value measurements inputs at the measurement date: December 13, 2024:
| December 13, 2024 | ||||
| Stock price | $ | 9.50 | ||
| Volatility | 26.50 | % | ||
| Risk-free rate | 4.25 | % | ||
| Dividend yield | 0.00 | % | ||
Historical Timeline
| Fiscal Year | Filed | |
|---|---|---|
| 2025 | Mar 31, 2026 | Showing above |
| 2024 | Apr 15, 2025 | |
| 2023 | May 14, 2024 | |
| 2022 | Apr 19, 2023 | |
| 2021 | Mar 31, 2022 | |
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.