v3.25.1
Fair Value Measurements
 3 Months Ended
Mar. 31, 2025
Fair Value Measurements [Abstract]  
FAIR VALUE MEASUREMENTS

NOTE 8 – FAIR VALUE MEASUREMENTS

 

The following tables presents information about the Company’s financial assets and liabilities that are measured at fair value on a recurring basis as of March 31, 2025 and December 31, 2024, and indicates the fair value hierarchy of the valuation inputs the Company utilized to determine such fair value:

 

March 31, 2025

 

   Fair Value 
Description  Level 1   Level 2   Level 3 
             
Assets            
Investments held in Trust Account  $3,421,932   $
—
   $
—
 
Liabilities               
Conversion event liability  $
—
   $
—
   $697,543 
Warrant Liability—Public Warrants  $
—
   $
—
   $3,335,000 
Warrant Liability—Private Placement Warrants  $
—
   $
—
   $2,726,000 

 

December 31, 2024

 

   Fair Value 
Description  Level 1   Level 2   Level 3 
             
Assets            
Investments held in Trust Account  $3,237,676   $
—
   $
—
 
Liabilities               
Conversion event liability  $
—
   $
—
   $684,887 
Warrant Liability—Public Warrants  $
—
   $
—
   $2,300,000 
Warrant Liability—Private Placement Warrants  $
—
   $
—
   $1,880,000 

The Company utilized an independent third party to model the valuation of the conversion event liability using a probability weighted calculation valuing the convertible promissory note with and without the conversion event feature. Included in the model are assumptions related to the Company’s stock price, discount rate, probability of closing on its proposed Business Combination, expected time until closing of its proposed Business Combination, and a market adjustment for the implied probability of closing on its proposed Business Combination.

 

The Company estimates the discount rate based on the term matched yield. The probability of closing on a proposed Business Combination is based on an analysis of peer companies completing a business combination compared to liquidating. The years to expiration is based on the expected time until closing on its proposed Business Combination. And the model has a market adjustment for implied probability of acquisition based on an analysis of peer companies’ closing stock price, rights coverage and share rights price.

 

The following table provides significant inputs used to determine the fair value of the convertible promissory note conversion event liability:

 

   March 31,
2025		   December 31,
2024		 
Share price  $11.25   $10.01 
Discount rate   11.3%   8.7%
Probability of close   60.0%   60.0%
Years to expiration   0.13    0.38 
Market adjustment for implied probability of acquisition   26.13%   9.82%

 

As of March 31, 2025 and December 31, 2024, the Company’s Public Warrants were traded on a market exchange. At March 31, 2025 and December 31, 2024, there was insufficient trading activity to utilize market prices to determine the fair value of the Public Warrants. The Company utilized an independent third party to value the Public Warrants and Private Placement Warrants using a binomial options pricing model, which involves Level 3 inputs.

 

Inherent in a binomial options pricing model are assumptions related to expected share-price volatility, expected life, risk-free interest rate, dividend yield and probability of consummating a Business Combination. The Company estimates the volatility of its common stock based on historical volatility that matches the expected remaining life of the Public and Private Placement Warrants. 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 warrants. The expected life of the warrants is assumed to be equivalent to their remaining contractual term. The dividend rate is based on the historical rate, which the Company anticipates will remain at zero.

 

The Public and Private Placement Warrants were accounted for as liabilities in accordance with ASC 815-40 and are presented within warrant liabilities in the Company’s consolidated condensed balance sheets. The warrant liabilities are measured at fair value at inception and on a recurring basis, with changes in fair value presented within change in fair value of warrant liabilities in the statements of operations.

The following table provides significant inputs to the independent third party’s pricing model for the fair value of the Public Warrants and Private Placement Warrants:

 

  

March 31,

2025

   December 31,
2024		 
Share price  $11.25   $10.01 
Exercise price  $11.50   $11.50 
Years to expiration   5.13    5.38 
Volatility   2.2%   1.6%
Risk-free rate   3.89%   4.30%
Dividend yield   0.00%   0.00%

  

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 at March 31, 2025 and 2024:

 

   Private
Placement
Warrants		   Public
Warrants		   Conversion
Feature		 
Changes in fair value of financial liabilities measured with level 3:            
January 1, 2025  $1,880,000   $2,300,000   $684,887 
Change in fair value   846,000    1,035,000    12,656 
March 31, 2025  $2,726,000   $3,335,000   $697,543 

 

   Private
Placement
Warrants		 
Changes in fair value of financial liabilities measured with level 3:    
January 1, 2024  $940,000 
Change in fair value   (921,200)
March 31, 2024  $18,800 

 

Investments Held in Trust Account

 

At March 31, 2025 and December 31, 2024, the Company’s Trust Account held investments primarily in Money Market Funds which are invested in U.S. Treasury Securities. The assets held in the Trust Account at March 31, 2025 and December 31, 2024 within the consolidated balance sheets represent a Level 1 fair value measurement based upon the observable valuation nature of the respective investments.