v3.25.2
Fair Value Measurements
 12 Months Ended
Dec. 31, 2024
Fair Value Measurements [Abstract]  
Fair Value Measurements

Note 9 —Fair Value Measurements

 

The following table presents information about the Company’s assets and liabilities that are 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 that the Company utilized to determine such fair value.

 

The carrying amounts of prepaid expenses, accounts payable, accrued expenses and accrued expense-related party approximate their fair values due to their short term maturities and the nature of these instruments.

 

December 31, 2024

 

   Quoted
 Prices in		   Significant 
Other		   Significant 
Other		 
   Active 
Markets		   Observable
 Inputs		   Unobservable
 Inputs		 
Description  (Level 1)   (Level 2)   (Level 3) 
Assets:            
Investments held in Trust Account - U.S. Treasury Securities  $5,285,060   $
—
   $
        —
 
Liabilities:               
Contingently issuable private placement warrants  $
—
   $4,600   $
—
 
Derivative liabilities- Public Warrants  $46,000   $
—
   $
—
 
Derivative liabilities- Private Placement Warrants  $
—
   $42,200   $
—
 

December 31, 2023

 

   Quoted 
Prices in		   Significant 
Other		   Significant 
Other		 
   Active 
Markets		   Observable
 Inputs		   Unobservable 
Inputs		 
Description  (Level 1)   (Level 2)   (Level 3) 
Assets:            
Investments held in Trust Account - U.S. Treasury Securities  $45,356,234   $
—
   $
          —
 
Liabilities:               
Contingently issuable private placement warrants  $
—
   $5,865   $
—
 
Derivative liabilities- Public Warrants  $58,650   $
—
   $
—
 
Derivative liabilities- Private Placement Warrants  $
—
   $53,810   $
—
 

 

Transfers to/from Levels 1, 2, and 3 are recognized at the beginning of the reporting period. The estimated fair value of Public Warrants was transferred from a Level 3 measurement to a Level 1 measurement, when the Public Warrants were separately listed and traded in an active market in December 2021. The estimated fair value of the Private Placement Warrants was transferred from a Level 3 measurement to a Level 2 fair value measurement in January 2022, as the transfer of Private Placement Warrants to anyone who is not a permitted transferee would result in the Private Placement Warrants having substantially the same terms as the Public Warrants, the Company determined that the fair value of each Private Placement Warrant is equivalent to that of each Public Warrant. There were no other transfers between levels of the hierarchy for the year ended December 31, 2024.

 

Level 1 assets consists of investments in U.S. treasury securities. The Company uses inputs such as actual trade data, quoted market prices from dealers or brokers, and other similar sources to determine the fair value of its investments.

 

The initial estimated fair value as of November 15, 2021, of the Public Warrants, the Private Placement Warrants, and the Forward Purchase Agreement is measured at fair value using a Monte Carlo simulation, determined using Level 3 inputs. The fair value of Public Warrants issued in connection with the Initial Public Offering have subsequently been measured based on the listed market price of such warrants. As of December 31, 2023, the fair value of the Convertible Note was measured using a Black-Scholes model. Inherent in a Monte Carlo simulation and Black-Scholes model are assumptions related to expected stock-price volatility, expected life, risk-free interest rate and dividend yield. As of December 31, 2024 and 2023, the fair value of Private Placement Warrants and the contingently issuable Private Placement Warrants were determined based on the quoted price of the Public Warrants.

 

The following table provides quantitative information regarding Level 2 fair value measurements inputs at December 31, 2024 measurement date for contingently issuable Private Placement Warrants and Private Placement Warrants:

 

Exercise price  $11.50 
Stock price  $11.02 
Term (years)   5.58 
Volatility   6.0%
Risk-free rate   4.31%
Dividend yield   0.0%

The following table provides quantitative information regarding Level 2 fair value measurements inputs at December 31, 2023 measurement date (audited):

 

Exercise price  $11.50 
Stock price  $10.85 
Term (years)   5.67 
Volatility   6.0%
Risk-free rate   3.78%
Dividend yield   0.0%

 

The change in the fair value of the derivative liabilities – forward purchase agreement measured using Level 3 inputs for the year ended December 31, 2023, is summarized as follows:

 

Derivative liabilities – forward purchase agreement at December 31, 2022  $342,235 
Change in fair value of derivative liabilities - forward purchase agreement   (10,707)
Gain on extinguishment of forward purchase agreement   (331,528)
Derivative liabilities – forward purchase agreement at December 31, 2023  $
—
 

 

The change in the fair value of the derivative liabilities – public and private placement warrants measured using Level 3 inputs for the year ended December 31, 2023 and 2024, is summarized as follows:

 

Derivative liabilities – public and private placement warrants at December 31, 2022  $2,205,000 
Change in fair value of derivative warrant liabilities - public and Private Placement Warrants   (2,092,540)
Derivative liabilities – public and private placement warrants at December 31, 2023   112,460 
Change in fair value of derivative warrant liabilities - public and Private Placement Warrants   (24,260)
Derivative liabilities – public and private placement warrants at December 31, 2024  $88,200 

 

The change in the fair value of the Convertible Note – related party measured using Level 3 inputs the year ended December 31, 2023, is summarized as follows:

 

Convertible note - related party at December 31, 2022  $1,431,546 
Additional issuance of convertible note - related party   851,899 
Capital contribution from CBG - forgiveness of additional convertible note   (1,201,899)
Conversion to contingently issuable derivative liabilities   (1,150,000)
Loss on conversion of note to contingently issuable private placement warrants   69,293 
Change in fair value of convertible note - related party   (839)
Convertible note - related party at December 31, 2023  $
—
 

 

The change in the fair value of the Contingently issuable private placement warrants measured using Level 3 inputs for the year ended December 31, 2023 and 2024, is summarized as follows:

 

Contingently issuable private placement warrants at December 31, 2022  $
—
 
Conversion from Convertible Note – related party to Contingently issuable private placement warrants   1,150,000 
Change in fair value of contingently issuable private placement warrants   (1,144,135)
Contingently issuable private placement warrants at December 31, 2023   5,865 
Change in fair value of contingently issuable private placement warrants   (1,265)
Contingently issuable private placement warrants at December 31, 2024  $4,600