Trailblazer Merger Corp I Fair Value Disclosure
NOTE 9. FAIR VALUE MEASUREMENTS
The Company follows the guidance in ASC 820 for its financial assets and liabilities that are re-measured and reported at fair value at each reporting period, and non-financial assets and liabilities that are-measured and reported at fair value at least annually.
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). The following fair value hierarchy is used to classify assets and liabilities based on the observable inputs and unobservable inputs used in order to value the assets and liabilities:
| 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 our assessment of the assumptions that market participants would use in pricing the asset or liability. |
As of December 31, 2025, assets held in the Trust Account were comprised of $3,973,290 in money market funds. During the period ended December 31, 2025, the Company has withdrawn $553,665 interest income from the Trust Account to pay for the Company franchise and income taxes.
As of December 31, 2024, assets held in the Trust Account were comprised of $26,832,298 in money market funds. During the period ended December 31, 2024, the Company has withdrawn $1,397,196 interest income from the Trust Account to pay for the Company franchise and income taxes.
The following table presents information about the Company’s assets and liability that are measured at fair value on a recurring basis at December 31, 2025 and 2024 and indicates the fair value hierarchy of the valuation inputs the Company utilized to determine such fair value.
| Description | Level | December 31, 2025 | December 31, 2024 | |||||||
| Assets: | ||||||||||
| Marketable securities held in Trust Account | 1 | 3,973,290 | 26,832,298 | |||||||
| Total marketable securities held in Trust Account | 1 | $ | 3,973,290 | $ | 26,832,298 | |||||
| Liability: | ||||||||||
| Convertible promissory note and forward settlement contract – related party | 3 | 11,007,174 | ||||||||
On July 29, 2025, the Second Amended and Restated Promissory Note was initially recognized at a fair value of $9,964,704. On September 16, 2025, the cash payment option of the promissory note has expired and the settlement of the promissory note will be settled through issuance of new class of preferred stock, requiring the remeasurement of the promissory note at fair value on such date. The fair value of the convertible promissory note and forward settlement contract at the issuance date of July 29, 2025 and as subsequently modified at December 31, 2025 was determined using Monte Carlo Simulation Model. The following table presents the quantitative information regarding market assumptions used in the Level 3 valuation of the Second Amended and Restated Promissory Note and Forward Settlement Contract:
| July 29, 2025 | December 31, 2025 | |||||||
| Estimated deSPAC stock price | $ | 5.76 | $ | 3.10 | ||||
| Remaining term | 1.7 | 1.7 | ||||||
| Volatility | 102.4 | % | 102.4 | % | ||||
| Risk-free rate | 3.85 | % | 3.41 | % | ||||
| Implied probability of successful initial Business Combination | 70.0 | % | 78.4 | % | ||||
The following table provides a summary of the changes in the fair value of Convertible Promissory Note and Forward Settlement Contract, a Level 3 financial instrument, that was measured at fair value on a recurring basis:
| Fair value at July 29, 2025 | $ | 9,964,704 | ||
| Additional draws on promissory note and forward settlement contract | 825,000 | |||
| Change in fair value of promissory note and forward settlement contract | 217,470 | |||
| Fair value at December 31, 2025 | $ | 11,007,174 |
Historical Timeline
| Fiscal Year | Filed | |
|---|---|---|
| 2025 | Mar 10, 2026 | Showing above |
| 2024 | Mar 25, 2025 | |
| 2023 | Mar 29, 2024 | |
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.