Bitcoin Infrastructure Acquisition Corp Ltd 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 assets or paid in connection with the transfer of liabilities in an orderly transaction between market participants at the measurement date.
The following table presents information about the Company’s fair value measurements of the Company’s financial assets and liabilities as of December 31, 2025, and indicates the fair value hierarchy of the valuation inputs the Company utilized to determine such fair value:
| Level | December 31, 2025 |
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| Assets: | |||||||
| Cash and marketable securities held in Trust Account | 1 | $ | 220,645,454 | ||||
| Liabilities: | |||||||
| Over-allotment option | 3 | $ | 15,000 | ||||
The following table presents a rollforward of Level 3 fair value measurements for the period from June 9, 2025 (inception) through December 31, 2025:
| Over-allotment Option |
||||
| Balance as of June 9, 2025 (inception) | $ | |||
| Establishment of over-allotment option liability at December 3, 2025 | 102,000 | |||
| Change in fair value | (87,000 | ) | ||
| Balance as of December 31, 2025 | $ | 15,000 | ||
The fair value of the over-allotment option liability was determined using a Black-Scholes simulation model. The over-allotment option was accounted for as a liability in accordance with ASC 815-40 and was presented within liabilities on the balance sheet. The over-allotment liability is 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 liability in the statement of operations. The following table presents the quantitative information regarding market assumptions used in the valuation of the over-allotment option:
| December 3, 2025 |
December 31, 2025 |
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| Unit price | $ | 10.01 | $ | 9.96 | ||||
| Exercise price | $ | 10.00 | $ | 10.00 | ||||
| Risk-free rate | % | % | ||||||
| Estimated implied volatility | % | % | ||||||
| Time to expiration | $ | $ | ||||||
As of December 3, 2025, the fair value of the Public Warrants was $3,736,264, or approximately $0.35 per Public Warrant. The fair value of Public Warrants was determined using Black-Scholes simulation 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 Level 3 valuation of the Public Warrants:
| December 3, 2025 |
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| Implied ordinary share price | $ | 9.84 | ||
| Exercise price | $ | 11.50 | ||
| Term to expiration | ||||
| Risk-free rate | % | |||
| Estimated implied volatility | % | |||
| Market adjustment | $ | 33.41 | ||
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.