Spring Valley Acquisition Corp. III Fair Value Disclosure
NOTE 8. FAIR VALUE MEASUREMENTS
Level 1: | Quoted prices in active markets for identical assets or liabilities. An active market for an asset or liability is a market in which transactions for the asset or liability occur with sufficient frequency and volume to provide pricing information on an ongoing basis. |
Level 2: | Observable inputs other than Level 1 inputs. Examples of Level 2 inputs include quoted prices in active markets for similar assets or liabilities and quoted prices for identical assets or liabilities in markets that are not active. |
Level 3: | Unobservable inputs based on assessment of the assumptions that market participants would use in pricing the asset or liability. |
The fair value of the public warrants is $1,855,333 or $0.24 per public warrant. The fair value of public warrants was determined using . The public warrants have been classified within shareholders’ deficit 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:
| September 5, 2025 |
| ||
Underlying stock price | $ | 9.92 | ||
Exercise price | $ | 11.50 | ||
Volatility |
| 4.0 | % | |
Remaining term (years) |
| 7.01 | ||
Risk-free rate |
| 3.73 | % | |
Black-Scholes value | $ | 1.14 | ||
Pre-adjusted value per share | $ | 1.14 | ||
Implied market value adjustment |
| 21.20 | % | |
At December 31, 2025, assets held in the Trust Account were comprised of $232,809,646 in money market funds which are invested primarily in U.S. Treasury Securities.
The following table presents information about the Company’s assets that are measured at fair value on a recurring basis at December 31, 2025 and indicates the fair value hierarchy of the valuation inputs the Company utilized to determine such fair value:
Description | | Level | | December 31, 2025 | |
Assets: | | | |||
Investments held in Trust Account – U.S. Treasury Securities Money Market Fund |
| 1 | $ | 232,809,646 | |
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.