CO2 Energy Transition Corp. Fair Value Disclosure
NOTE 10. FAIR VALUE MEASUREMENTS
ASC 820, “Fair Value Measurement,” defines fair value as the amount that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants. Fair value measurements are classified on a three-tier hierarchy as follows:
| ● | Level 1 — defined as observable inputs such as quoted prices (unadjusted) for identical instruments in active markets; |
| ● | Level 2 — defined as inputs other than quoted prices in active markets that are either directly or indirectly observable such as quoted prices for similar instruments in active markets or quoted prices for identical or similar instruments in markets that are not active; and |
| ● | Level 3 — defined as unobservable inputs in which little or no market data exists, therefore requiring an entity to develop its own assumptions, such as valuations derived from valuation techniques in which one or more significant inputs or significant value drivers are unobservable. |
The following table presents information about the Company’s assets that are measured at fair value on a recurring basis at December 31, 2025 and 2024, indicating the fair value hierarchy of the valuation inputs the Company utilized to determine such fair value:
| Description | Level | December 31, 2025 | December 31, 2024 | |||||||
| Assets: | ||||||||||
| Investments held in Trust Account | 1 | $ | 72,113,895 | $ | 69,310,897 | |||||
As of December 31, 2025 and 2024, the assets held in the Trust Account were held in money market funds which are invested primarily in U.S. government securities.
The fair value of the Representative Shares was determined using the Monte Carlo Simulation Model. The Representative Shares have been allocated between temporary equity and stockholders’ deficit and will not require remeasurement after issuance. The following table presents the quantitative information regarding market assumptions used in the valuation of the Representative Shares:
| November 22, 2024 | ||||
| Implied common stock price | $ | 9.88 | ||
| Lockup Term (years) | 0.5 | |||
| Probability of De-SPAC and Market Adjustment | 7.5 | % | ||
| Discount for Lack of Marketability | $ | (0.10 | ) | |
The fair value of Public Rights was determined using the Monte Carlo Simulation Model. The Public Rights have been classified within stockholders’ 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 Rights:
| November 22, 2024 | ||||
| Traded price of Unit | $ | 9.98 | ||
| Expected Term to De-SPAC (Years) | 1.5 | |||
| Probability of De-SPAC and Market Adjustment | 7.5 | % | ||
| Risk-free rate | $ | 4.45 | % | |
| Implied common stock price | $ | 9.88 | ||
| Fair value per share right | $ | 0.09 | ||
The fair value of the Public Warrants was determined using the Monte Carlo Simulation Model. The Public Warrants have been classified within stockholders’ 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:
| November 22, 2024 | ||||
| Expected Term to De-SPAC (Years) | 1.5 | |||
| Warrant Term | 6.5 | |||
| Implied common stock price | $ | 9.88 | ||
| Exercise price | 11.50 | |||
| Risk-free rate | 4.35 | % | ||
| Probability of De-SPAC and Market Adjustment | 2.5 | % | ||
| Fair value per share warrant | $ | 0.03 | ||
Historical Timeline
| Fiscal Year | Filed | |
|---|---|---|
| 2025 | Mar 16, 2026 | Showing above |
| 2024 | Mar 31, 2025 | |
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.