CSLM Digital Asset Acquisition Corp III, 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 the assets or paid in connection with the transfer of the liabilities in an orderly transaction between market participants at the measurement date.
Recurring Fair Value Measurements
The following table presents information about the Company’s recurring fair value measurements as of December 31, 2025, and indicates the fair value hierarchy of the valuation inputs the Company utilized to determine such fair value:
| Level | Fair Value | ||||||
| Assets: | |||||||
| Cash held in money market mutual fund | 1 | $ | 3,014,607 | ||||
| United States Treasury Bills held in Trust Account | 1 | $ | 233,253,391 | ||||
There were no recurring fair value measurements as of December 31, 2024.
Non-recurring Fair Value Measurements
The following table presents information about the Company’s non-recurring fair value measurements as of the valuation date, and indicates the fair value hierarchy of the valuation inputs the Company utilized to determine such fair value:
| Level | Fair Value | ||||||
| Equity: | |||||||
| Fair value of Public Warrants for Class A ordinary shares subject to possible redemption allocation at August 28, 2025 | 3 | $ | 5,152,349 | ||||
| Class B ordinary shares (per share) at July 25, 2025 | 3 | $ | 5.59 | ||||
The fair value of the Public Warrants is $5,152,349. 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 valuation of the Public Warrants:
| August 28, 2025 |
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| Implied ordinary share price | $ | |||
| Exercise price | $ | |||
| Simulation term (years) | ||||
| Risk-free rate | % | |||
| Estimated implied volatility | % | |||
| Calculated value per warrant | $ | 0.24 | ||
| Market adjustment | 42.63 | % | ||
The fair value of the Class B ordinary shares is $ per ordinary share on July 25, 2025, the grant date of the Class B ordinary shares transferred to the Company’s directors. The fair value of the Class B ordinary shares was determined by applying a discount for lack of marketability (“DLOM”) to the underlying stock price of a Class A ordinary share, adjusted for the estimated probability of a successful initial Business Combination. The following table presents the quantitative information regarding market assumptions used in the valuation of the Class B ordinary shares:
| July 25, 2025 |
||||
| Underlying stock price | $ | |||
| Estimated probability of an initial Business Combination | % | |||
| Estimated volatility | % | |||
| Risk-free rate | % | |||
| Time to expiration | ||||
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.