New America Acquisition I Corp. Fair Value Disclosure
NOTE 10. FAIR VALUE MEASUREMENTS
The fair value of the $345,917,508 cash held in trust is measured under Level 1 in the fair value hierarchy as of December 31, 2025.
The fair value of the Public and Private Warrants is measured under Level 3 in the fair value hierarchy as of December 5, 2025. 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 market assumptions used to determine fair value as follows:
| As of December 5, 2025 | ||||
| Term | 3.25 years | |||
| Dividends | 0 | |||
| Risk Free Rate | 3.61 | % | ||
| Volatility | 12.0 | % | ||
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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.