Bakkt, Inc.BKKT
Bakkt, Inc. Fair Value Disclosure
Fair Value Measurements
The Company groups its assets and liabilities measured at fair value in three levels based on the nature of the inputs and assumptions used to determine fair value. Refer to Note 2, Summary of Significant Accounting Policies, for additional information on the accounting policies related to fair value.
Financial assets and liabilities that are measured at fair value on a recurring basis are classified as Level 1, Level 2 and Level 3 as follows (in thousands):
As of December 31, 2025 | ||||||||||||||
| Total | Level 1 | Level 2 | Level 3 | |||||||||||
| Assets: | ||||||||||||||
| Digital assets | $ | 1,238 | $ | — | $ | 1,238 | $ | — | ||||||
| Derivative assets | 3,352 | — | — | 3,352 | ||||||||||
| Total assets | $ | 4,590 | $ | — | $ | 1,238 | $ | 3,352 | ||||||
| Liabilities: | ||||||||||||||
| Warrant liability - Class 1 and Class 2 warrants | $ | 15,589 | $ | — | $ | — | $ | 15,589 | ||||||
| Warrant liability - public warrants | 1,143 | 1,143 | — | — | ||||||||||
| Total liabilities | $ | 16,732 | $ | 1,143 | $ | — | $ | 15,589 | ||||||
As of December 31, 2024 | ||||||||||||||
| Total | Level 1 | Level 2 | Level 3 | |||||||||||
| Liabilities: | ||||||||||||||
| Warrant liability - Class 1 and Class 2 warrants | $ | 42,782 | $ | — | $ | — | $ | 42,782 | ||||||
| Warrant liability - public warrants | 4,141 | 4,141 | — | — | ||||||||||
| Total liabilities | $ | 46,923 | $ | 4,141 | $ | — | $ | 42,782 | ||||||
The carrying amounts of certain financial instruments, including cash and cash equivalents, accounts receivables, unbilled accounts receivables, deposits with clearinghouse, due to related party, accounts payable and accrued liabilities, and operating lease obligations approximate their fair values due to their short-term nature. The balance of deposits with clearinghouse not invested in U.S. government securities are in the form of cash, and therefore approximate fair value.The fair value of the Company's digital assets was determined using Level 2 inputs which included using the value of the digital asset determined as the mid-point of a bid-ask spread in the market management determined to be the principal market for the related digital assets as of December 31, 2025.
Bakkt's derivative asset is comprised of a put/call option associated with a participation right on a third-party ownership interest in a publicly traded company. The fair value of the derivative asset was determined using a binomial model and Black-Scholes-Merton equation, both of which utilize certain Level 3 inputs.
The following table presents changes in Level 3 assets measured at fair value for the year ended December 31, 2025. Both observable and unobservable inputs were used to determine the fair value of positions that the Company has classified within the Level 3 category.
Derivative assets | |||||
| Balance as of December 31, 2024 | $ | — | |||
| Settlements | (10,621) | ||||
| Change in fair value | 13,973 | ||||
Balance as of December 31, 2025 | $ | 3,352 | |||
Inputs used to calculate the estimated fair value of the derivative assets at December 31, 2025 were as follows:
| Derivative assets | |||||
| Mean monthly return | 2.06 | % | |||
| Volatility | 68.4 | % | |||
| Time to maturity (years) | 10 | ||||
| Time to liquidity (months) | 1 month | ||||
| Risk free rate | 2.06 | % | |||
Since the second quarter 2024, the Company’s Class 1 Warrants and Class 2 Warrants were valued using the Black-Scholes-Merton model and a binomial lattice model, respectively, both of which utilize certain Level 3 inputs. Prior to the second quarter of 2024, the Class 1 Warrants and Class 2 Warrants were valued using the Black-Scholes-Merton model and a Monte Carlo simulation, respectively. A significant input to the Monte Carlo simulation included the volatility of movement in the price of the stock underlying the warrants, which was estimated using the historical volatility of the Company’s Class A Common Stock over the contractual period of the warrant.
The significant unobservable inputs used for the fair value measurement of the Class 1 Warrants and Class 2 Warrant liabilities as of December 31, 2025 are summarized as follows:
| Expected term (years) | 3.68 | ||||
| Continuous risk-free rate | 3.55 | % | |||
| Expected volatility | 140 | % | |||
The Public Warrant liability is valued based on quoted prices in active markets and is classified within Level 1.
The preceding methods described may produce fair value calculations that may not be indicative of net realizable value or reflective of future fair values. Furthermore, although management believes the Company’s valuation techniques are appropriate and consistent with other market participants, the use of different methodologies or assumptions to determine the fair value of certain financial instruments could result in a different fair value measurement at the reporting date.
Historical Timeline
| Fiscal Year | Filed | |
|---|---|---|
| 2025 | Mar 19, 2026 | Showing above |
| 2024 | Mar 20, 2025 | |
| 2023 | Mar 25, 2024 | |
| 2022 | Mar 24, 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.