Energy Vault Holdings, Inc.NRGV
Energy Vault Holdings, Inc. Fair Value Disclosure
FAIR VALUE MEASUREMENTS
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ASC 820, Fair Value Measurement (“ASC 820”), establishes a fair value hierarchy for instruments measured at fair value that distinguishes between assumptions based on market data (observable inputs) and the Company’s own assumptions (unobservable inputs). Observable inputs are inputs that market participants would use in pricing the asset or liability based on market data obtained from sources independent of the Company. Unobservable inputs are inputs that reflect the Company’s assumptions about the inputs that market participants would use in pricing the asset or liability and are developed based on the best information available in the circumstances. Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability (an exit price) in an orderly transaction between market participants at the reporting date.
Carrying amounts of certain financial instruments, including cash, cash equivalents, restricted cash, accounts payable, and accrued expenses approximate their fair value due to their relatively short maturities and market interest rates, if applicable.
The Company categorizes assets and liabilities recorded or disclosed at fair value on the consolidated balance sheet based upon the level of judgment associated with inputs used to measure their fair value. The categories are as follows:
•Level 1—Inputs which included quoted prices in active markets for identical assets and liabilities.
•Level 2—Inputs other than Level 1 that are observable, either directly or indirectly, such as quoted prices for similar assets or liabilities; quoted prices in markets that are not active; or other inputs that are observable or can be corroborated by observable market data for substantially the full term of the assets or liabilities.
•Level 3—Unobservable inputs in which there is little or no market data, which require the reporting entity to develop its own assumptions.
The Company’s financial assets and liabilities measured at fair value on a recurring basis are as follows (amounts in thousands):
| Fair Value at | |||||||||||||||||
| Fair Value Hierarchy | December 31, 2025 | December 31, 2024 | |||||||||||||||
| Assets (Liabilities): | |||||||||||||||||
Convertible Debentures (1) | Level 3 | $ | (66,677) | $ | — | ||||||||||||
Warrant liabilities (2) | Level 3 | (15,050) | (2) | ||||||||||||||
Derivative liability - Asset Vault (3) | Level 3 | (458) | — | ||||||||||||||
(1) The Company has elected to measure the Convertible Debentures at fair value (see Note 9, Debt). The Company uses a Monte Carlo simulation to value the Convertible Debentures that models potential settlement outcomes under the contractual terms. The significant assumptions used in the model include the volatility of the Company’s common stock (100.0%) and discount rates derived from market yields for comparable CCC- rated debt ranging from 26.4% to 27.3%. The model also incorporates each instrument’s contractual term, redemption features, and conversion mechanics.
(2) The warrants are not publicly traded and the Company uses a Black-Scholes or Monte Carlo model to determine the fair value. See Note 14, Warrants, for additional information.
(3) The derivative liability relates to certain redemption and settlement features in the Contribution and Purchase Agreement with OIC. The Company utilized an income approach using a probability weighted expected present value method to value the derivative liability. Significant assumptions include a discount rate of 22.8% and estimated probabilities and timing associated with the occurrence of various mandatory redemption events.
The carrying amount and estimated fair value of the Company’s financial instruments not measured at fair value are as follows (amounts in thousands):
| December 31, 2025 | December 31, 2024 | ||||||||||||||||||||||||||||
| Fair Value Hierarchy | Carrying Amount | Fair Value | Carrying Amount | Fair Value | |||||||||||||||||||||||||
| Assets (Liabilities): | |||||||||||||||||||||||||||||
Debt (1) | Level 3 | $ | (27,921) | $ | (29,758) | $ | — | $ | — | ||||||||||||||||||||
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(1) Includes short-term portion of long-term debt and excludes debt measured at fair value. The Company estimates the fair value using a discounted cash flow model which utilizes the Company’s incremental borrowing rate, which is estimated based on the Company’s assumptions.
Historical Timeline
| Fiscal Year | Filed | |
|---|---|---|
| 2025 | Mar 18, 2026 | Showing above |
| 2024 | Apr 1, 2025 | |
| 2023 | Mar 13, 2024 | |
| 2022 | Apr 13, 2023 | |
| 2021 | Feb 10, 2022 | |
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.