BigBear.ai Holdings, Inc.BBAI
BigBear.ai Holdings, Inc. Fair Value Disclosure
Fair Value of Financial Instruments
Cash and cash equivalents, accounts receivable, prepaid expenses and other current assets, accounts payable, short-term debt, including the current portion of long-term debt, accrued liabilities and other current liabilities are reflected on the consolidated balance sheets at amounts that approximate fair value because of the short-term nature of these financial assets and liabilities.
Certain warrants that were issued at BigBear.ai’s initial public offering (“IPO Private Warrants”), warrants issued in BigBear.ai’s 2023 and 2024 private placement warrants (“PIPE Warrants”), and warrants issued in BigBear.ai’s 2023, 2024 and 2025 registered direct offering warrants (“RDO Warrants”) are valued using a modified Black-Scholes option pricing model (“OPM”). The conversion options of the 2026 Convertible Notes (“2026 Notes Conversion Option”) and 2029 Convertible Notes (“2029 Notes Conversion Option”) are valued using a binomial lattice convertible bond model and discounted cash flow method, considering the traded price of the 2026 Convertible Notes and 2029 Convertible Notes, respectively, and other unobservable input assumptions. The 2026 Notes Conversion Option, 2029 Notes Conversion Option, IPO Private Warrants, PIPE Warrants and RDO Warrants are considered to be Level 3 fair value measurements. See Note 19—Derivatives for information on the Level 3 inputs used to value the IPO Private Warrants, PIPE Warrants, RDO Warrants, 2026 Notes Conversion Option, and the 2029 Notes Conversion Option.
Valuations of available for sale investments are provided by independent pricing service providers who have experience in valuing these securities and are compared to the average of quoted market prices obtained from independent brokers. These fair value measurements based on quoted prices in markets that are not active or for which all significant inputs are observable, directly or indirectly, and are considered to be Level 2 fair value measurements.
The table below presents the financial assets and liabilities measured at fair value :
| December 31, 2025 | |||||||||||||||||||||||||||||
| Balance Sheet Caption | Level 1 | Level 2 | Level 3 | Total | |||||||||||||||||||||||||
Recurring fair value measurements: | |||||||||||||||||||||||||||||
| Available for sale investments | Available for sale investments | $ | — | $ | 374,410 | $ | — | $ | 374,410 | ||||||||||||||||||||
| 2024 PIPE warrants | Derivative liabilities | — | — | — | — | ||||||||||||||||||||||||
| 2024 RDO Warrants | Derivative liabilities | — | — | — | — | ||||||||||||||||||||||||
| 2025 RDO Warrants | Derivative liabilities | — | — | 16,437 | 16,437 | ||||||||||||||||||||||||
| IPO Private Warrants | Derivative liabilities | — | — | 128 | 128 | ||||||||||||||||||||||||
| 2026 Notes Conversion Option | Derivative liabilities | — | — | 1,585 | 1,585 | ||||||||||||||||||||||||
| 2029 Notes Conversion Option | Derivative liabilities | — | — | 98,756 | 98,756 | ||||||||||||||||||||||||
| Total recurring fair value measurements: | $ | — | $ | 374,410 | $ | 116,906 | $ | 491,316 | |||||||||||||||||||||
Nonrecurring fair value measurement: | |||||||||||||||||||||||||||||
Goodwill(2) | Goodwill | $ | — | $ | — | $ | 241,100 | $ | 241,100 | ||||||||||||||||||||
| December 31, 2024 | |||||||||||||||||||||||||||||
| Balance Sheet Caption | Level 1 | Level 2 | Level 3 | Total | |||||||||||||||||||||||||
Recurring fair value measurements: | |||||||||||||||||||||||||||||
| Available for sale investments | Available for sale investments | $ | — | $ | — | $ | — | $ | — | ||||||||||||||||||||
| 2024 PIPE Warrants | Derivative liabilities | — | — | 32,760 | 32,760 | ||||||||||||||||||||||||
| 2024 RDO Warrants | Derivative liabilities | — | — | 21,634 | 21,634 | ||||||||||||||||||||||||
| 2025 RDO Warrants | Derivative liabilities | — | — | — | — | ||||||||||||||||||||||||
| IPO Private Warrants | Derivative liabilities | — | — | 290 | 290 | ||||||||||||||||||||||||
| 2026 Notes Conversion Option | Derivative liabilities | — | — | 322 | 322 | ||||||||||||||||||||||||
| 2029 Notes Conversion Option | Derivative liabilities | — | — | 115,831 | 115,831 | ||||||||||||||||||||||||
Total recurring fair value measurements: | $ | — | $ | — | $ | 170,837 | $ | 170,837 | |||||||||||||||||||||
Nonrecurring fair value measurement: | |||||||||||||||||||||||||||||
Goodwill(1) | Goodwill | $ | — | $ | — | $ | 119,081 | $ | 119,081 | ||||||||||||||||||||
(1) As of March 31, 2024, in accordance with ASC 350-20, goodwill with a carrying amount of $204.8 million was written down to its implied fair value of $119.1 million, resulting in an impairment charge of $85.0 million, which was included in earnings during the first quarter of 2024. Differences between the implied fair value of $119.1 million and the balance as of December 31, 2024 relate to subsequent measurement period adjustments.
(2) As of June 30, 2025, in accordance with ASC 350-20, goodwill with a carrying amount $119.1 million was written down to its implied fair value of $48.4 million, resulting in an impairment charge of $70.6 million, which was included in earnings during the second quarter of 2025.
The changes in the fair value of the Level 3 liabilities are as follows:
| 2023 PIPE warrants | 2023 RDO warrants | 2024 PIPE warrants | 2024 RDO Warrants | 2025 RDO warrants | IPO private warrants | 2026 Notes Conversion Option | 2029 Notes Conversion Option | ||||||||||||||||||||||||||||||||||||||||
| December 31, 2023 | $ | 22,778 | $ | 15,018 | $ | — | $ | — | $ | — | $ | 66 | $ | 491 | $ | — | |||||||||||||||||||||||||||||||
| Additions | — | — | 27,990 | 15,196 | — | — | — | 61,402 | |||||||||||||||||||||||||||||||||||||||
| Changes in fair value | 37,361 | 15,551 | 4,770 | 6,438 | — | 227 | (169) | 54,429 | |||||||||||||||||||||||||||||||||||||||
| Settlements | (60,139) | (30,569) | — | — | — | (3) | — | — | |||||||||||||||||||||||||||||||||||||||
| December 31, 2024 | $ | — | $ | — | $ | 32,760 | $ | 21,634 | $ | — | $ | 290 | $ | 322 | $ | 115,831 | |||||||||||||||||||||||||||||||
| Additions | — | — | — | — | 18,586 | — | — | — | |||||||||||||||||||||||||||||||||||||||
| Changes in fair value | — | — | (270) | 14,294 | (2,149) | (162) | 1,263 | 79,818 | |||||||||||||||||||||||||||||||||||||||
| Settlements | — | — | (32,490) | (35,928) | — | — | — | (96,893) | |||||||||||||||||||||||||||||||||||||||
| December 31, 2025 | $ | — | $ | — | $ | — | $ | — | $ | 16,437 | $ | 128 | $ | 1,585 | $ | 98,756 | |||||||||||||||||||||||||||||||
Historical Timeline
| Fiscal Year | Filed | |
|---|---|---|
| 2025 | Mar 2, 2026 | Showing above |
| 2024 | Mar 25, 2025 | |
| 2023 | Mar 15, 2024 | |
| 2022 | Mar 31, 2023 | |
| 2021 | Mar 31, 2022 | |
| 2020 | Mar 31, 2021 | |
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.