Globa Terra Acquisition CorpGTERA

Globa Terra Acquisition Corp Fair Value Disclosure

10-KFiled Mar 26, 20262 min read
NOTE 10 - FAIR VALUE MEASUREMENTS
 
The fair value of the $178,380,953 cash held in trust is measured under Level 1 in the fair value hierarchy.
 
The fair value of the Public and Private Warrants is measured under Level 3 in the fair value hierarchy as of July 10, 2025. The fair value of Public Warrants was determined using Black-Scholes Simulation Model. The expected term of the warrant is based on the actual term of the warrant in the event of a successful business combination. The probability of an initial business combination is based on historical data from SPACs that have successfully completed an initial public offering and then gone on to complete a business combination. The volatility is based on historical volatility of comparable publicly traded SPACs.

The Public Warrants have been classified within shareholders’ equity and will not require remeasurement after issuance.

The market assumptions used to determine fair value as follows:
 
 
  
As of
July 10, 2025
  
Term
  
5 years
  
Dividends
  
$
0
  
Risk Free Rate
    
3.93
%
Probability of an Initial Business Combination
    
26.00
%
Volatility
    
5.00
%

The fair value of the Public and Private Rights is measured under Level 3 in the fair value hierarchy as of July 10, 2025. The fair value of Public Rights was determined using Black-Scholes Simulation Model. The expected term of the right is based on the actual term of the right in the event of a successful business combination. The probability of an initial business combination is based on historical data from SPACs that have successfully completed an initial public offering and then gone on to complete a business combination. The volatility is based on historical volatility of comparable publicly traded SPACs.

The Public Rights have been classified within shareholders’ equity and will not require remeasurement after issuance.

The market assumptions used to determine fair value as follows:
 
 
  
As of
July 10, 2025
  
Market adjustment
    
26.00
%
 
(1)
Includes probability of an Initial Business Combination and other factors

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.

Other Available Disclosures

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