DeFi Development Corp.DFDV
DeFi Development Corp. Fair Value Disclosure
NOTE 15—FAIR VALUE MEASUREMENTS
ASSETS AND LIABILITIES MEASURED AT FAIR VALUE ON A RECURRING BASIS
The Company’s financial assets and liabilities subject to fair value measurements on a recurring basis and the level of inputs used for such measurements were as follows:
| 2025 | |||||||||||||||||||||||||||||||||||
| Fair Value | |||||||||||||||||||||||||||||||||||
| December 31 (in thousands) | Carrying Value | Level 1 | Level 2 | Level 3 | Total | ||||||||||||||||||||||||||||||
| Assets: | |||||||||||||||||||||||||||||||||||
| Digital assets, at fair value | $ | 136,000 | $ | 30,156 | $ | 105,844 | $ | — | $ | 136,000 | |||||||||||||||||||||||||
| Digital assets pledged as collateral | 103,943 | 56,968 | 46,975 | — | 103,943 | ||||||||||||||||||||||||||||||
Stablecoins(a) | 522 | 522 | — | — | 522 | ||||||||||||||||||||||||||||||
Debt securities(b) | 841 | 841 | — | — | 841 | ||||||||||||||||||||||||||||||
Marketable securities(b) | 698 | 698 | — | — | 698 | ||||||||||||||||||||||||||||||
| Total assets | $ | 242,004 | $ | 89,185 | $ | 152,819 | $ | — | $ | 242,004 | |||||||||||||||||||||||||
| Liabilities: | |||||||||||||||||||||||||||||||||||
| Digital asset financing arrangements | $ | 67,521 | $ | 67,521 | $ | — | $ | — | $ | 67,521 | |||||||||||||||||||||||||
Accrued crypto loan borrowing fees(c) | 256 | 256 | — | — | 256 | ||||||||||||||||||||||||||||||
| Total liabilities | $ | 67,777 | $ | 67,777 | $ | — | $ | — | $ | 67,777 | |||||||||||||||||||||||||
| 2024 | ||||||||||||||||||||||||||||||||
| Fair Value | ||||||||||||||||||||||||||||||||
| December 31 (in thousands) | Carrying Value | Level 1 | Level 2 | Level 3 | Total | |||||||||||||||||||||||||||
| Assets: | ||||||||||||||||||||||||||||||||
Marketable securities(b) | $ | 340 | $ | 340 | $ | — | $ | — | $ | 340 | ||||||||||||||||||||||
| Total | $ | 340 | $ | 340 | $ | — | $ | — | $ | 340 | ||||||||||||||||||||||
| Liabilities: | ||||||||||||||||||||||||||||||||
| Contingent consideration | $ | 179 | $ | — | $ | — | $ | 179 | $ | 179 | ||||||||||||||||||||||
| Total | $ | 179 | $ | — | $ | — | $ | 179 | $ | 179 | ||||||||||||||||||||||
| (a) Amounts are included within Other current assets as stated on our Consolidated Balance Sheets. | ||||||||||||||||||||||||||||||||
| (b) Amounts are included within Investments as stated on our Consolidated Balance Sheets. | ||||||||||||||||||||||||||||||||
| (c) Amounts are included within Accounts payable and accrued expenses as stated on our Consolidated Balance Sheets. | ||||||||||||||||||||||||||||||||
Financial assets and liabilities classified within Level 1 are valued using unadjusted quoted prices for identical assets and liabilities in active markets. There are no active markets for our locked SOL holdings. Accordingly, we have valued the locked SOL holdings using unadjusted quoted price on the active market we identified as the principal market, and adjusted for Level 2 inputs, which incorporate observable market transactions executed by public companies comparable to our Digital Asset Treasury segment and those transactions entered into by us.
Our derivative instruments are primarily comprised of digital asset financing arrangements and digital assets pledged as collateral for those financing arrangements and are valued based on the underlying digital asset. Derivative instruments that are classified within Level 1 are valued using unadjusted quoted prices on the active exchange that we have identified as the principal market for the underlying digital asset. For derivative
instruments classified within Level 2 we determine the value using quoted prices for identical tokens in markets that are not active.
Contingent Consideration
The fair value of the contingent consideration related to the 2023 Groundbreaker acquisition was determined based on Level 3 inputs using an industry revenue growth rate of 1%, revenue volatility of 148% and a discount rate of 13.9% over the three year term. Significant increases or decreases in any of these inputs may significantly fluctuate the fair value. Changes in the fair value of our contingent consideration is reflected in our results of operations in the period in which they are known. For the year ended December 31, 2025, we recorded $178.8 thousand in fair values changes due to lower adjusted revenue targets based on revised forecasts and historical results and determined that the milestones under the terms of the agreement could no longer be achieved.
| (in thousands) | 2025 | 2024 | ||||||||||||
| Beginning balance | $ | 179 | $ | 179 | ||||||||||
| (179) | — | |||||||||||||
| Ending balance | $ | — | $ | 179 | ||||||||||
ASSETS AND LIABILITIES MEASURED AT FAIR VALUE ON A NONRECURRING BASIS
In addition to assets and liabilities that are recorded at fair value on a recurring basis, under the ASC 820 framework, we are also required to record assets and liabilities at fair value on a nonrecurring basis for items such as acquisitions, impairment testing on property and equipment and intangible assets and valuation of convertible notes and warrants.
Property and Equipment
During 2025, we determined that our property and equipment was impaired and recognized a charge of $50.5 thousand within Depreciation and amortization as stated on our Consolidated Statements of Operations.
Intangibles
In 2024, as part of our annual impairment testing of our intangible assets, we determined that the Groundbreaker brand name was impaired and recognized a charge of $83.0 thousand within Depreciation and amortization as stated on our . We used undiscounted expected future cash flows to determine the fair value, which utilizes Level 3 inputs, and determined that there are no future cash flows expected from the brand name.
Convertible Notes
The fair value of our April Notes was determined based on Level 2 and Level 3 inputs in the Monte Carlo simulation model and determined the fair value of the convertible notes was approximately $34.1 million. Additionally, the fair value of the warrants associated with our April Notes was determined using Level 2 inputs in the Black-Scholes Option model and was determined to be $7.9 million. See Note 9—Debt for further discussion.
The table below shows the Monte Carlo simulation inputs that were used for the valuation of the April Notes:
| 2025 | |||||
| Fair value of Company’s common stock on the issuance date | $ | 5.38 | |||
| Estimated equity volatility | 70.0 | % | |||
| Remaining term (in years) | 5 | ||||
| Risk-free rate | 3.72 | % | |||
| Discount rate | 23.71 | % | |||
| Contractual interest rate | 2.50 | % | |||
| Company’s market capitalization (as of issuance date) (in millions) | $ | 55.10 | |||
| Market Capitalization Condition (in millions) | $ | 100.00 | |||
The table below shows the Black-Scholes Model inputs that were used for the valuation of the warrants associated with the April Notes:
| 2025 | |||||
| Fair value of Company’s common stock on the issuance date | $ | 5.38 | |||
| Remaining term (in years) | 5 | ||||
| Estimated equity volatility | 70.0 | % | |||
| Risk-free rate | 3.65 | % | |||
Subsequently, on April 15, 2025, as a result of the debt modification on the notes, we performed a valuation of the fair value of the embedded conversion option before and after the Conversion Price Reduction. The fair value of the conversion option on April 15, 2025 immediately before the Conversion Price Reduction of approximately $28.0 million was estimated using the Black-Scholes Option model with the following key inputs: the unmodified conversion price of $10.64; the fair value of the Company’s common stock per share of $10.64; remaining term of 4.98 years; equity volatility of 81.0%; and a risk-free interest rate of 4.0%. The fair value of the conversion option on April 15, 2025 immediately after the Conversion Price Reduction of approximately $31.3 million was also estimated using the Black-Scholes Option model with the same inputs apart from the modified conversion price of $9.74, resulting in a $3.3 million increase in the fair value of the embedded conversion option. See Note 9—Debt for further discussion.
Pre-Funded Warrants
In connection with the Securities Purchase Agreement, entered into on May 1, 2025, we issued pre-funded warrants to purchase up to 1,453,753 shares of our common stock at an exercise price of $0.0014 per share. We determined the fair value of the pre-funded warrants at the date of issuance to be $14.9 million, which was recorded as a component of stockholders’ equity. The fair value was determined using the Black-Scholes Option model, which utilizes significant inputs, or level 3 inputs, as defined by the fair value hierarchy. See Note 11—Stockholders’ Equity for further discussion.
The table below shows the inputs that were used for the valuation:
| 2025 | |||||||||||
| Stock price | $ | 10.27 | |||||||||
| Strike price | $ | 0.0014 | |||||||||
| Time until expiration (in years) | 0.15 | ||||||||||
| Volatility | 75 | % | |||||||||
| Risk-free rate | 4.24 | % | |||||||||
Warrant Dividend
We determined the fair value of our warrant dividend to be $10.3 million in total, representing a $2.65 price per warrant. The fair value was determined using the Monte Carlo simulation, which utilizes significant inputs, or level 3 inputs, as defined by the fair value hierarchy. See Note 11—Stockholders’ Equity for further discussion.
The table below shows the inputs that were used for the valuation:
| 2025 | |||||||||||
| Starting stock price | $ | 14.26 | |||||||||
| Period between days | 1/252 | ||||||||||
| Risk-free rate (discrete) | 3.48 | % | |||||||||
| Risk-free rate (continuously compounded) | 3.43 | % | |||||||||
| Volatility (rounded) | 65 | % | |||||||||
| Number of iterations | 100,000 | ||||||||||
OTHER FINANCIAL INSTRUMENTS
The carrying value of our cash and cash equivalents, accounts receivable and accounts payable approximates fair value as of December 31, 2025 and 2024, respectively, due to the short-term nature of these instruments.
Historical Timeline
| Fiscal Year | Filed | |
|---|---|---|
| 2025 | Mar 30, 2026 | Showing above |
| 2024 | Mar 27, 2025 | |
| 2023 | Mar 28, 2024 | |
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.