v3.25.1
FAIR VALUE MEASUREMENTS
 12 Months Ended
Dec. 31, 2024
Fair Value Disclosures [Abstract]  
FAIR VALUE MEASUREMENTS

NOTE 9. FAIR VALUE MEASUREMENTS

The following table presents information about the Company’s assets and liabilities that were measured at fair value on a recurring basis as of December 31, 2024 and 2023 and indicates the fair value hierarchy of the valuation techniques the Company utilized to determine such fair value:

 

 

 

 

Quoted Prices

 

 

Significant Other

 

 

Significant Other

 

 

As of December 31,

 

 

in Active Markets

 

 

Observable Inputs

 

 

Unobservable Inputs

 

 

2024

 

 

(Level 1)

 

 

(Level 2)

 

 

(Level 3)

 

Assets:

 

 

 

 

 

 

 

 

 

 

 

 

U.S. Money Market Funds held in Trust Accounts

 

$

47,558,112

 

 

$

47,558,112

 

 

$

—

 

 

$

—

 

Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

Derivative liability - Non-Redemption Agreement

 

 

1,084,963

 

 

 

—

 

 

 

—

 

 

 

1,084,963

 

 

 

 

 

 

 

Quoted Prices

 

 

Significant Other

 

 

Significant Other

 

 

As of December 31,

 

 

in Active Markets

 

 

Observable Inputs

 

 

Unobservable Inputs

 

 

2023

 

 

(Level 1)

 

 

(Level 2)

 

 

(Level 3)

 

Assets:

 

 

 

 

 

 

 

 

 

 

 

 

U.S. Money Market Funds held in Trust Accounts

 

$

71,432,177

 

 

$

71,432,177

 

 

$

—

 

 

$

—

 

 

The Backstop Subscription Agreement was valued using a Probability Weighted Expected Return Model (“PWERM”). The PWERM is a multi-step process in which value is estimated based on the probability-weighted present value of various future outcomes. The estimated fair value of the Backstop Subscription Agreement liability was determined using Level 3 inputs. Inherent in the pricing models are assumptions related to expected share-price volatility, expected life and risk-free interest rate. 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 Backstop Subscription Agreement. The expected life of the Backstop Subscription Agreement is assumed to be equivalent to its remaining contractual term. The initial fair value of the Backstop Subscription Agreement as of April 22, 2024, was $361,124. The Backstop Subscription Agreement was waived at the execution of the Non-Redemption Agreements on December 31, 2024, as such the fair value of the Backstop Subscription Agreement as of December 31, 2024 was nil. The two transactions netted together to result in a net change in fair value of the Backstop Subscription Agreement of nil for the year ended December 31, 2024.

The key inputs of the models used to value the Company’s Backstop Subscription Agreement were as follows:

 

 

Initial

 

 

Measurement(1)

Stock price

 

$

11.05

 

 

Risk-free rate

 

 

5.4

 

%

Weighted-average expected life (in years)

 

 

0.5

 

 

Market implied likelihood of Initial Business Combination

 

 

10.4

 

%
(2)
The initial measurement date of the Back-Stop Agreement was April 22, 2024. As the Back-Stop Agreement was waived on December 31, 2024, no remeasurement was required as of December 31, 2024.

The Non-Redemption Agreement is valued using a Monte Carlo model, which is considered to be a Level 3 fair value measurement. The primary unobservable input utilized in determining the fair value of the Non-Redemption Agreement is equity volatility, and debt rate. The initial fair value of the Non-Redemption Agreement as of December 31, 2024, was $1,084,963.

The key inputs of the models used to value the Company’s Non-Redemption Agreement were as follows:

 

 

Initial

 

 

Measurement(1)

Stock price

 

$

15.00

 

 

Volatility

 

 

118.2

 

%

Risk-free rate

 

 

4.2

 

%

Debt rate

 

 

11.8

 

%

Weighted-average expected life (in years)

 

 

0.5

 

 
(1)
The initial measurement date of the Non-Redemption Agreement was December 31, 2024, as such, no remeasurement was required as of December 31, 2024.

The following table provides a summary of the changes in the fair value of the Company’s Level 3 financial instruments that are measured at fair value on a recurring basis for the year ended December 31, 2024:

 

Subscription Purchase

 

 

Non-Redemption

 

 

 

Agreement

 

 

Agreement

 

Balance as of December 31, 2023

 

$

—

 

 

$

—

 

Initial Measurement on April 22, 2024

 

 

361,124

 

 

 

—

 

Initial Measurement on December 31, 2024

 

 

—

 

 

 

1,084,963

 

Change in estimated fair value

 

 

(361,124

)

 

 

—

 

Balance as of December 31, 2024

 

$

—

 

 

$

1,084,963