Nuvve Holding Corp.NVVE
Nuvve Holding Corp. Fair Value Disclosure
Fair Value Measurements
The following are the liabilities measured at fair value on the consolidated balance sheet at December 31, 2024 and December 31, 2023, using quoted price in active markets for identical assets (Level 1); significant other observable inputs (Level 2); and significant unobservable inputs (Level 3):
| Level 1: Quoted Prices in Active Markets for Identical Assets | Level 2: Significant Other Observable Inputs | Level 3: Significant Unobservable Inputs | Total at December 31, 2024 | Total Gains (Losses) For The Year Ended December 31, 2024 | ||||||||||||||||||||||||||||
| Recurring fair value measurements | ||||||||||||||||||||||||||||||||
| Private warrants - February 2020 | $ | — | $ | — | $ | — | $ | — | $ | — | ||||||||||||||||||||||
| 2022 July Institutional/Accredited Investor Warrants | $ | — | $ | — | $ | — | $ | — | $ | 4,621 | ||||||||||||||||||||||
| 2024 February Institutional/Accredited Investor Warrants | $ | — | $ | — | $ | 291,566 | $ | 291,566 | $ | 3,500,751 | ||||||||||||||||||||||
| 2024 October Institutional/Accredited Investor Warrants | $ | — | $ | — | $ | 292,234 | $ | 292,234 | $ | 143,277 | ||||||||||||||||||||||
| Senior Convertible Notes - October 2024 | $ | — | $ | — | $ | 2,475,162 | $ | 2,475,162 | $ | 444,656 | ||||||||||||||||||||||
| Additional Investment Rights - October 2024 | $ | — | $ | — | $ | 5,950 | $ | 5,950 | $ | 13,721 | ||||||||||||||||||||||
| 2024 December Institutional/Accredited Investor Warrants | $ | — | $ | — | $ | 109,337 | $ | 109,337 | $ | — | ||||||||||||||||||||||
| Derivative liability - non-controlling redeemable preferred shares | $ | — | $ | — | $ | — | $ | — | $ | (3,626) | ||||||||||||||||||||||
| Total recurring fair value measurements | $ | — | $ | — | $ | 3,174,249 | $ | 3,174,249 | $ | 4,103,400 | ||||||||||||||||||||||
| Level 1: Quoted Prices in Active Markets for Identical Assets | Level 2: Significant Other Observable Inputs | Level 3: Significant Unobservable Inputs | Total at December 31, 2023 | Total Gains (Losses) For The Year Ended December 31, 2023 | ||||||||||||||||||||||||||||
| Recurring fair value measurements | ||||||||||||||||||||||||||||||||
| Private warrants - February 2020 | $ | — | $ | — | $ | — | $ | — | $ | 2,000 | ||||||||||||||||||||||
| 2022 July Institutional/Accredited Investor Warrants | $ | — | $ | — | $ | 4,621 | $ | 4,621 | $ | 214,263 | ||||||||||||||||||||||
| Derivative liability - non-controlling redeemable preferred shares | $ | — | $ | — | $ | 309,728 | $ | 309,728 | $ | 49,497 | ||||||||||||||||||||||
| Total recurring fair value measurements | $ | — | $ | — | $ | 314,349 | $ | 314,349 | $ | 265,760 | ||||||||||||||||||||||
The following is a reconciliation of the opening and closing balances for the liabilities related to the private warrants (Note 12) and derivative liability - non-controlling redeemable preferred shares measured at fair value on a recurring basis using significant unobservable inputs (Level 3) during the year ended December 31, 2024:
| Private Warrants - February 2020 | 2022 July Institutional/Accredited Investor Warrants | 2024 February Institutional/Accredited Investor Warrants | 2024 October Institutional/Accredited Investor Warrants | Senior Convertible Notes - October 2024 | Additional Investment Rights - October 2024 | 2024 December Institutional/Accredited Investor Warrants | Non-controlling redeemable preferred shares - derivative liability | ||||||||||||||||||||||||||||||||||||||||
| Balance at December 31, 2023 | $ | — | $ | 4,621 | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 309,728 | |||||||||||||||||||||||||||||||
| Initial fair value | — | — | 3,792,317 | 435,511 | 2,919,818 | 19,671 | 109,337 | — | |||||||||||||||||||||||||||||||||||||||
| Cancelled - non-controlling redeemable preferred shares | — | — | — | — | — | — | — | (313,354) | |||||||||||||||||||||||||||||||||||||||
| Total (gains) losses for period included in earnings | — | (4,621) | (3,500,751) | (143,277) | (444,656) | (13,721) | 3,626 | ||||||||||||||||||||||||||||||||||||||||
| Balance at December 31, 2024 | $ | — | $ | — | $ | 291,566 | $ | 292,234 | $ | 2,475,162 | $ | 5,950 | $ | 109,337 | $ | — | |||||||||||||||||||||||||||||||
The fair value of the level 3 Private Warrants was estimated at December 31, 2023 using the Black-Scholes model which used the following inputs: term of 2.2 years, risk free rate of 4.18%, no dividends, volatility of 60.0%, and strike price of $4,600.00.
The fair value of the level 3 2022 July Institutional/Accredited Investor Warrants was estimated at December 31, 2024 using the Black-Scholes model which used the following inputs: term of 3.0 years, risk free rate of 4.47%, no dividends, volatility of 57.0%, common stock price of $3.12 and strike price of $1,500.00.
The fair value of the level 3 2022 July Institutional/Accredited Investor Warrants was estimated at December 31, 2023 using the Black-Scholes model which used the following inputs: term of 4.10 years, risk free rate of 3.92%, no dividends, volatility of 63.0%, common stock price of $1.20 and strike price of $1,500.00.
The fair value of the level 3 2024 February Institutional/Accredited Investor Warrants was estimated at December 31, 2024 using the Black-Scholes model which used the following inputs: term of 4.09 years, risk free rate of 4.33%, no dividends, volatility of 85.0%, common stock price of $3.12, and strike price of $20.00.
The fair value of the level 3 2024 October Institutional/Accredited Investor Warrants was estimated at December 31, 2024 using the Monte Carlo Simulation model which used the following inputs: term of 4.80 years, risk free rate of 4.20%, no dividends, volatility of 49.6%, common stock price of $3.12, and strike price of $3.78.
The fair value of the level 3 Senior Convertible Notes - October 2024 was estimated at December 31, 2024 using the Monte Carlo Simulation model which used the following inputs: term of 1.33 years, risk free rate of 4.20%, no dividends, volatility of 49.6%, common stock price of $3.12, and strike price of $3.40.
The fair value of the level 3 Additional Investment Rights - October 2024 was estimated at December 31, 2024 using the Monte Carlo Simulation model which used the following inputs: term of 1.33 years, risk free rate of 4.20%, no dividends, volatility of 49.6%, common stock price of $3.12, and strike price of $3.40.
The fair value of the level 3 2024 December Institutional/Accredited Investor Warrants was estimated at December 31, 2024 using the Black-Scholes model which used the following inputs: term of 5.00 years, risk free rate of 4.33%, no dividends, volatility of 85.0%, common stock price of $3.12, and strike price of $3.26.
The fair value of the level 3 derivative liability - non-controlling redeemable preferred shares are estimated at December 31, 2023 using the Monte Carlo Simulation model which used the following inputs: terms range from 0.6 years to 7.0 years, risk free rate of 3.87%, no dividends, volatility of 79.0% and probability of redemptions triggered of 75.0%.
There were no transfers between Level 1 and Level 2 of the fair value hierarchy in 2024 and 2023.
Cash, accounts receivable, accounts payable, and accrued expenses are generally carried on the cost basis, which management believes approximates fair value due to the short-term maturity of these instruments.
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.