SilverBox Corp V Fair Value Disclosure
Note 7 — Fair Value Measurements
The fair value of the Company’s financial assets and liabilities reflects management’s estimate of amounts that the Company would have received in connection with the sale of the assets or paid in connection with the transfer of the liabilities in an orderly transaction between market participants at the measurement date. In connection with measuring the fair value of its assets and liabilities, the Company seeks to maximize the use of observable inputs (market data obtained from independent sources) and to minimize the use of unobservable inputs (internal assumptions about how market participants would price assets and liabilities).
At December 31, 2025, assets held in the Trust Account were comprised of $702 in cash and $276,768,182 in a U.S. Treasury bill.
During the period from May 29, 2025 (inception) through December 31, 2025, the Company did not withdraw any interest income from the Trust Account.
The following table presents information about the Company’s assets and liabilities that are measured at fair value on a recurring basis at December 31, 2025 and at Issuance (upon consummation of the IPO) and indicates the fair value hierarchy of the valuation inputs the Company utilized to determine such fair value:
| | At Issuance | ||||||
| December 31, | December 4, | ||||||
Description | | Level | | 2025 | | 2025 | ||
Assets: |
| |
| |
| | ||
Investments held in Trust Account |
| 1 | $ | 276,768,182 | $ | 276,000,000 | ||
Liabilities: |
| |
| |
| | ||
Derivative liability – Public Warrants |
| 3 |
| 3,551,129 |
| 3,652,400 | ||
Derivative liability – Private Warrants |
| 3 |
| 25,139 |
| 25,935 | ||
The fair value of the Public Warrants and Private Placement Warrants was determined using the Monte Carlo Simulation Model. The Public Warrants and Private Placement Warrants were accounted for as liabilities in accordance with ASC 815-40 and are presented within derivative liabilities - warrants in the accompanying balance sheet. The warrant liability is measured at fair value at inception and on a recurring basis, with changes in fair value presented within the statement of operations.
The following table presents the quantitative information regarding market assumptions used in the valuation of the Public Warrants and Private Placement Warrants:
December 4, 2025 |
| ||||||
Private |
| ||||||
Public | Placement |
| |||||
| Warrants | | Warrants | ||||
Implied share price | $ | 9.90 | $ | 9.90 | |||
Exercise price | $ | 11.50 | $ | 11.50 | |||
Estimated volatility |
| 5.00 | % |
| 5.00 | % | |
Remaining term (years) |
| 7.00 |
| 7.00 | |||
Risk-free rate (continuous) |
| 3.80 | % |
| 3.80 | % | |
Redemption price | $ | 18.00 | $ | 18.00 | |||
Implied market adjustment |
| 32.80 | % |
| 32.80 | % | |
December 31, 2025 |
| ||||||
Private |
| ||||||
Public | Placement |
| |||||
| Warrants | | Warrants |
| |||
Implied share price | $ | 9.93 | $ | 9.93 | |||
Exercise price | $ | 11.50 | $ | 11.50 | |||
Estimated volatility |
| 5.00 | % |
| 5.00 | % | |
Remaining term (years) |
| 6.93 |
| 6.93 | |||
Risk-free rate (continuous) |
| 3.86 | % |
| 3.86 | % | |
Redemption price | $ | 18.00 | $ | 18.00 | |||
Implied market adjustment |
| 31.00 | % |
| 31.00 | % | |
The following table presents the changes in the fair value of Level 3 warrant liabilities:
| Public Warrants | | Private Placement Warrants | | Warrant Liabilities | ||||
Warrant liabilities at December 4, 2025 (IPO) | $ | — | $ | — | $ | — | |||
Issuance of Public and Private Warrants |
| 3,652,400 |
| 25,935 |
| 3,678,335 | |||
| (101,271) |
| (796) |
| (102,067) | ||||
Fair value as of December 31, 2025 |
| 3,551,129 |
| 25,139 |
| 3,576,268 | |||
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.