Note 8 — Fair Value Measurements

The fair value of the Company’s financial assets and liabilities reflects management’s estimate of amounts that the Company would have received in connection with the sale of the assets or paid in connection with the transfer of the liabilities in an orderly transaction between market participants at the measurement date. In connection with measuring the fair value of its assets and liabilities, the Company seeks to maximize the use of observable inputs (market data obtained from independent sources) and to minimize the use of unobservable inputs (internal assumptions about how market participants would price assets and liabilities). The following fair value hierarchy is used to classify assets and liabilities based on the observable inputs and unobservable inputs used in order to value the assets and liabilities:

Level 1: Quoted prices in active markets for identical assets or liabilities. An active market for an asset or liability is a market in which transactions for the asset or liability occur with sufficient frequency and volume to provide pricing information on an ongoing basis.

Level 2: Observable inputs other than Level 1 inputs. Examples of Level 2 inputs include quoted prices in active markets for similar assets or liabilities and quoted prices for identical assets or liabilities in markets that are not active.

Level 3: Unobservable inputs based on our assessment of the assumptions that market participants would use in pricing the asset or liability.

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

 At December 31, 2024 and 2023, $182,240 and $0 of the balance held in the Trust Account was held in cash, respectively.

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

Liabilities:         

The Warrants are accounted for as liabilities in accordance with ASC 815-40 and are presented within the warrant liabilities on the 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.

Initial Measurement and Subsequent Measurement

The Company established the initial fair value for the Public Warrants on June 21, 2021, the date of the consummation of the Company’s Initial Public Offering, using a Monte Carlo simulation model. The Company allocated the proceeds received from (i) the sale of Units (which is inclusive of one Class A ordinary share and one-third of one Public Warrant), (ii) the sale of Private Placement Warrants, and (iii) the issuance of Class B ordinary shares first to the warrants, based on their fair values as determined at initial measurement, with the remaining proceeds allocated to Class A ordinary shares and Class B ordinary shares based on their relative fair values at the initial measurement date. The Public Warrants were initially classified as Level 3 due to the use of unobservable inputs.

The Public Warrants are measured at fair value on a recurring basis. As of December 31, 2024, the Public Warrants were reclassified to Level 3 because they were delisted and are no longer actively traded. The valuation was determined using a Monte Carlo simulation model, incorporating the latest redemption price as an input, given the absence of an active market. The Private Placement Warrants were cancelled as part of the change of sponsor agreement in 2024, and as such, are no longer subject to fair value measurement.

The primary unobservable input used in determining the fair value of the Public Warrants is the expected volatility of the Company’s ordinary shares. As of December 31, 2024, the expected volatility was derived from a combination of a publicly traded warrant index and industry-specific volatility data for comparable companies. The expected volatility at the time of the Initial Public Offering was derived from observable public warrant pricing for comparable special purpose acquisition companies (“SPACs”) without an identified target.

The key inputs into the Monte Carlo simulation model for the Public Warrants as of December 31, 2024, were as follows:

As of December 31, 2024, the fair value of the Public Warrants was determined to be $0.03 per warrant, with an aggregate valuation of $184,982. There was no change in fair value recorded for the year ended December 31, 2024.

As part of the change of sponsor agreement, the Private Placement Warrants were cancelled, and the Public Warrants remain the only outstanding warrants of the Company.

The change in fair value of the Level 3 warrant liabilities for the year ended December 31, 2023 is summarized as follows:

The change in fair value of the Level 3 warrant liabilities for the year ended December 31, 2024 is summarized as follows: