Bold Eagle Acquisition Corp. Fair Value Disclosure
Note 9—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 assessment of the assumptions that market participants would use in pricing the asset or liability.
The Company did not have any liabilities that were measured at fair value on December 31, 2025 and 2024.
The following table presents information about the Company’s assets and liabilities that are measured at fair value on October 25, 2024, December 31, 2024, and December 31, 2025. It also outlines indicates the fair value hierarchy of the valuation inputs the Company utilized to determine such fair value:
| Level | Quoted Prices in Active Markets | |||||||
| Money market fund as of December 31, 2025 | 1 | $ | 269,835,824 | |||||
| Money market fund as of December 31, 2024 | 1 | $ | 260,033,862 | |||||
| Level | October 25, 2024 | |||||||
| Over-allotment option liability | 3 | $ | 298,500 | |||||
At the Initial Public Offering, the Over-Allotment Option was accounted for as a liability in accordance with ASC 815-40 and was presented within current liabilities on the balance sheet prior to its partial exercise on December 9, 2024. The Over-Allotment Option Liability was measured at fair value at inception and on a recurring basis, with changes in fair value presented within change in fair value of Over-Allotment Option Liability in the statements of operations. Upon the partial exercise of the Over-Allotment Option by the underwriters on December 9, 2024, the Company recorded an unrealized gain on change in fair value of Over-Allotment Option Liability of $236,900.
The Company used a Black-Scholes model to value the Over-Allotment Option. The Over-Allotment Option Liability was classified within Level 3 of the fair value hierarchy at the measurement dates due to the use of unobservable inputs inherent in pricing models are assumptions related to expected share-price volatility, expected life and risk-free interest rate. The Company estimated the volatility of its ordinary shares based on historical volatility. The risk-free interest rate was based on the 1-month U.S. Treasury yield. The expected life of the option was assumed to be equivalent to their remaining contractual term.
The key inputs into the Black-Scholes model were as follows at initial measurement of the Over-Allotment Option:
| Input | October 25, 2024 | |||
| Risk-free interest rate | 4.9 | % | ||
| Expected term (years) | 0.12 | |||
| Expected volatility | 3.0 | % | ||
| Exercise price | $ | 10.00 | ||
| Fair value of Over-Allotment Option Unit | $ | 0.08 | ||
The following table provides a summary of the changes in the fair value of the Over-Allotment Option Liability:
| Over- allotment Option liability | ||||
| Initial measurement of Over-Allotment Option Liability at October 25, 2024 | $ | 298,500 | ||
| Change in fair value of Over-Allotment Option Liability at December 9, 2024 | (9,750 | ) | ||
| Reduction in Over-Allotment Option Liability upon partial exercise of Over-Allotment Option at December 9, 2024 | (61,600 | ) | ||
| Forfeiture of Over-Allotment Option Liability at December 9, 2024 | (227,150 | ) | ||
| Fair value of Over-Allotment Option Liability at December 31, 2024 | $ | |||
At the Initial Public Offering, the fair value of Eagle Share Rights was determined using a discounted cash flow analysis that incorporates the probability-weighted payoff of the share right, discounted over the expected term to business combination. The Eagle Share Rights 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 Eagle Share Rights:
| October 25, 2024 | ||||
| Traded price of unit | $ | 10.00 | ||
| Probability of initial business combination(1) | 60 | % | ||
| Expected term to initial business combination (years) | 2.0 | |||
| Risk-free rate(2) | 4.1 | % | ||
| (1) | Based on rounded average of market data per SPACInsider.com and Eagle Equity Partners’ track record of 100% initial business combination completion. |
| (2) | Interpolated rate based on the U.S. Constant Maturity Treasury Yield curve. |
Historical Timeline
| Fiscal Year | Filed | |
|---|---|---|
| 2025 | Mar 23, 2026 | Showing above |
| 2024 | Mar 28, 2025 | |
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.