Blaize Holdings, Inc. Fair Value Disclosure
NOTE 9. FAIR VALUE MEASUREMENTS
The following table presents information about the Company’s assets and liabilities that were measured at fair value on a recurring basis as of December 31, 2024 and 2023 and indicates the fair value hierarchy of the valuation techniques the Company utilized to determine such fair value:
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Quoted Prices |
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Significant Other |
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Significant Other |
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As of December 31, |
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in Active Markets |
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Observable Inputs |
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Unobservable Inputs |
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2024 |
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(Level 1) |
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(Level 2) |
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(Level 3) |
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Assets: |
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U.S. Money Market Funds held in Trust Accounts |
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$ |
47,558,112 |
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$ |
47,558,112 |
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$ |
— |
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$ |
— |
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Liabilities: |
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Derivative liability - Non-Redemption Agreement |
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1,084,963 |
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— |
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— |
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1,084,963 |
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Quoted Prices |
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Significant Other |
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Significant Other |
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As of December 31, |
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in Active Markets |
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Observable Inputs |
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Unobservable Inputs |
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2023 |
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(Level 1) |
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(Level 2) |
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(Level 3) |
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Assets: |
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U.S. Money Market Funds held in Trust Accounts |
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$ |
71,432,177 |
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$ |
71,432,177 |
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$ |
— |
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$ |
— |
|
The Backstop Subscription Agreement was valued using a Probability Weighted Expected Return Model (“PWERM”). The PWERM is a multi-step process in which value is estimated based on the probability-weighted present value of various future outcomes. The estimated fair value of the Backstop Subscription Agreement liability was determined using Level 3 inputs. Inherent in the pricing models are assumptions related to expected share-price volatility, expected life and risk-free interest rate. The risk-free interest rate is based on the U.S. Treasury zero-coupon yield curve on the grant date for a maturity similar to the expected remaining life of the Backstop Subscription Agreement. The expected life of the Backstop Subscription Agreement is assumed to be equivalent to its remaining contractual term. The initial fair value of the Backstop Subscription Agreement as of April 22, 2024, was $361,124. The Backstop Subscription Agreement was waived at the execution of the Non-Redemption Agreements on December 31, 2024, as such the fair value of the Backstop Subscription Agreement as of December 31, 2024 was nil. The two transactions netted together to result in a net change in fair value of the Backstop Subscription Agreement of nil for the year ended December 31, 2024.
The key inputs of the models used to value the Company’s Backstop Subscription Agreement were as follows:
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Initial |
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Measurement(1) |
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Stock price |
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$ |
11.05 |
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Risk-free rate |
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5.4 |
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% |
Weighted-average expected life (in years) |
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0.5 |
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Market implied likelihood of Initial Business Combination |
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10.4 |
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% |
The Non-Redemption Agreement is valued using a Monte Carlo model, which is considered to be a Level 3 fair value measurement. The primary unobservable input utilized in determining the fair value of the Non-Redemption Agreement is equity volatility, and debt rate. The initial fair value of the Non-Redemption Agreement as of December 31, 2024, was $1,084,963.
The key inputs of the models used to value the Company’s Non-Redemption Agreement were as follows:
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Initial |
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Measurement(1) |
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Stock price |
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$ |
15.00 |
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Volatility |
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118.2 |
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% |
Risk-free rate |
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4.2 |
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% |
Debt rate |
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11.8 |
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% |
Weighted-average expected life (in years) |
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0.5 |
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The following table provides a summary of the changes in the fair value of the Company’s Level 3 financial instruments that are measured at fair value on a recurring basis for the year ended December 31, 2024:
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Subscription Purchase |
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Non-Redemption |
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Agreement |
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Agreement |
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Balance as of December 31, 2023 |
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$ |
— |
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$ |
— |
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Initial Measurement on April 22, 2024 |
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361,124 |
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— |
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Initial Measurement on December 31, 2024 |
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— |
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1,084,963 |
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Change in estimated fair value |
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(361,124 |
) |
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|
— |
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Balance as of December 31, 2024 |
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$ |
— |
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$ |
1,084,963 |
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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.