Fair Value of Financial Instruments

12 Months Ended

Dec. 31, 2025

Fair Value of Financial Instruments [Abstract]

13. FAIR VALUE OF FINANCIAL INSTRUMENTS

In connection with the issuance of the 2030 Notes, the Company recognized a derivative liability related to the embedded conversion feature. See Note 12 for further details on the accounting treatment of the 2030 Notes and associated derivative liability.

The fair value of the embedded conversion feature at issuance of the 2030 Notes and each reporting period was estimated based on significant inputs not observable in the market, which represent Level 3 measurements within the fair value hierarchy.

The fair value of the derivative liability was determined using the Black-Scholes model. The model incorporates the following key inputs and assumptions:

	Initial recognition - At October 2, 2025			At December 31, 2025
Maturity date		October 1, 2030			October 1, 2030
Debt price		100.00			89.65
Volatility rate		55	%		55	%
Share price	$	3.49		$	1.89
Dividend yield		0	%		0	%
Stock borrow cost		1	%		1	%
Credit Spread		10.00	%		10.00	%

The following table provides a roll forward of the aggregate fair values of the derivative liability for the twelve months ended December 31, 2025 (in thousands):

	Embedded Derivative
Initial fair value of derivative liability at issuance		35,009
Change in fair value		(15,749	)
Balance as of December 31, 2025	$	19,260

Bit Digital, Inc 10-K