Fair Value Measurements

9 Months Ended

Sep. 30, 2025

Fair Value Disclosures [Abstract]

Fair Value Measurements

Fair Value Measurements

Financial assets and liabilities that are measured at fair value on a recurring basis are classified as Level 1, Level 2 and Level 3 as follows (in thousands):

	As of September 30, 2025
	Total		Level 1		Level 2		Level 3
Assets:
Crypto assets	$	1,716	$	—	$	1,716	$	—
Derivative asset	43,350		—		—		43,350
Total Assets	$	45,066	$	—	$	1,716	$	43,350
Liabilities:
Warrant liability - Class 1 and Class 2 warrants	$	57,252	$	—	$	—	$	57,252
Warrant liability - public warrants	3,213		3,213		—		—
Pre-funded warrants	283		—		—		283
Total Liabilities	$	60,748	$	3,213	$	—	$	57,252

	As of December 31, 2024
	Total		Level 1		Level 2		Level 3
Liabilities:
Warrant liability - Class 1 and Class 2 warrants	$	42,782	$	—	$	—	$	42,782
Warrant liability - public warrants	4,141		4,141		—		—
Total Liabilities	$	46,923	$	4,141	$	—	$	42,782

The carrying amounts of certain financial instruments, including cash and cash equivalents, accounts receivables, unbilled accounts receivables, due from related party, deposits with clearinghouse, due to related party, accounts payable and accrued liabilities, and operating lease obligations approximate their fair values due to their short-term nature. The balance of deposits with clearinghouse not invested in U.S. government securities are in the form of cash, and therefore approximate fair value.

The fair value of the Company's crypto assets was determined using Level 2 inputs which included using the value of the crypto asset determined as the mid-point of a bid-ask spread in the market management determined to be the principal market for the related crypto assets as of September 30, 2025.

Bakkt's derivative asset is comprised of a put/call option associated with a participation right on a third-party ownership interest in a publicly traded company. The fair value of the derivative asset was determined using a binomial model and Black-Scholes-Merton equation, both of which utilize certain Level 3 inputs.

The following table presents changes in Level 3 assets measured at fair value for the nine months ended September 30, 2025. Both observable and unobservable inputs were used to determine the fair value of positions that the Company has classified within the Level 3 category.

	Derivative assets
Balance as of December 31, 2024	$	—
Change in fair value	43,350
Balance as of September 30, 2025	$	43,350

Inputs used to calculate the estimated fair value of the derivative assets at September 30, 2025 were as follows:

	Derivative assets
Mean monthly return	1.5	%
Volatility	69.0	%
Time to maturity (years)	10
Time to liquidity (months)	1 month
Risk free rate	0.5	%

The Public Warrant liability is valued based on quoted prices in active markets and is classified within Level 1.

Since the second quarter 2024, the Company's Class 1 Warrants and Class 2 Warrants were valued using the Black-Scholes-Merton model and a binomial lattice model, respectively, both of which utilize certain Level 3 inputs. Prior to the second quarter of 2024, the Class 1 Warrants and Class 2 Warrants were valued using the Black-Scholes-Merton model and a Monte Carlo simulation, respectively. A significant input to the Monte Carlo simulation included the volatility of movement in the price of the stock underlying the warrants, which was estimated using the historical volatility of the Company's Class A Common Stock over the contractual period of the warrant.

The significant unobservable inputs used for the fair value measurement of the Class 1 Warrants and Class 2 Warrants liabilities as of September 30, 2025 are summarized as follows:

Expected term (years)	3.93
Continuous risk-free rate	3.6%
Expected volatility	125.0%

The preceding methods described may produce fair value calculations that may not be indicative of net realizable value or reflective of future fair values. Furthermore, although management believes the Company's valuation techniques are appropriate and consistent with other market participants, the use of different methodologies or assumptions to determine the fair value of certain financial instruments could result in a different fair value measurement at the reporting date.

On the day the 2025 Pre-Funded Warrants were issued, Bakkt common stock closed the day at $10.00 per share. This equaled the issue price of the private placement. The 2025 Pre-Funded Warrants were issued at this $10.00 price less the nominal exercise price. The Company's common stock closed the previous day at $17.17, however it traded down substantially upon news of the private placement. Thus, we believe the proceeds received for the 2025 Pre-Funded Warrants represents fair value of the Pre-Funded Warrants as of their issuance date and as of September 30, 2025 for the unexercised warrants as of that date.