Company: BCAR
Filing Date: 2025-11-05
Form Type: 10-Q
Source: 0001829126-25-008854
Chunk: 26

Company: D. Boral ARC Acquisition I Corp.
Filing Date: 2025-11-05
Form: 10-Q
Item: Part I, Item 1
Chunk 26
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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.

    17

The following table presents information about the Company’s assets that are measured at fair value as of August 1, 2025, and indicates the fair value hierarchy of the valuation inputs the Company utilized to determine such fair value:

    Schedule of fair value assets and liabilities

    Level

    August 1, 2025

    Liability:

    Fair value of over-allotment liability
     
    3

    $
    1,290,375

    Equity:

    Fair value of Public Warrants for Class A ordinary shares subject to possible redemption allocation
     
    3

    $
    8,061,250

The over-allotment option was accounted for as a liability in accordance with ASC 815-40 and was presented within liabilities on the balance sheet. The over-allotment option liability is measured at fair value at August 1, 2025 and on a recurring basis, with changes in fair value presented within change in fair value of over-allotment option liability in the statement of operations.

The Company used a Black-Scholes model to value the over-allotment option. The over-allotment option liability was classified within Level 3 of the fair value hierarchy at the measurement dates due to the use of unobservable inputs inherent in pricing models and assumptions related to expected share-price volatility, expected life and risk-free interest rate. The Company estimates the volatility of its ordinary share based on historical volatility that matches the expected remaining life of the over-allotment option. The risk-free interest rate is based on the U.S. Treasury zero-coupon yield curve on the grant date for a maturity similar to the expected remaining life of the over-allotment option. The expected life of the over-allotment option is assumed to be equivalent to its remaining contractual term.

The key inputs into the Black-Scholes model were as follows at initial measurement of the over-allotment option:

    Schedule of initial measurement

    August 1, 2025

    Risk-free interest rate

    4.31
    %
  
    Expected term (years)

    0.12

    Expected