Origin Investment Corp I Fair Value Disclosure
NOTE 8. FAIR VALUE MEASUREMENTS
The fair value of the Public Warrants on the day of the IPO was $1,170,000 or $ per Public Warrant. The fair value of the Public Warrants was determined using Black- Scholes Simulation Model. The Public Warrants have been classified within shareholder’s equity 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 used in the Level 3 valuation of Public Warrants:
| July 8, 2025 | ||||
| Implied ordinary share price | $ | |||
| Exercise price | $ | 11.50 | ||
| Simulation term (years) | 5 | |||
| Risk free Rate | 3.94 | % | ||
| Selected volatility | 30.89 | % | ||
| Calculated value per Warrant | $ | 0.39 | ||
The following table presents information about the Company’s assets and liabilities that are measured at fair value on a recurring basis as of December 31, 2025 and indicate the fair value hierarchy of the valuation techniques that the Company utilized to determine such fair value. There were no transfers between levels of fair value hierarchy during the year ended December 31, 2025.
December 31, 2025
| Description | Quoted (Level 1) | Significant Observable | Significant Other Unabsorbable Inputs (Level 3) | |||||||||
| Assets: | ||||||||||||
| Investments in Trust Account-Money Market Fund | $ | 71,051,271 | $ | $ | ||||||||
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.