v3.25.1
Fair Value Measurements (Tables)
3 Months Ended
Mar. 31, 2025
Fair Value Measurements [Abstract]  
Schedule of Financial Assets and Liabilities

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:

   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 
Schedule of Fair Value of the Convertible Promissory Note

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%

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%
Schedule of Changes in Fair Value of Financial Instruments

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