v3.25.2
Fair Value Measurements
 6 Months Ended
Jun. 30, 2025
Fair Value Disclosures [Abstract]  
Fair Value Measurements
NOTE 9. 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.
As of June 30, 2025 and December 31, 2024, investments held in the Trust Account were comprised of $473,146 and $17,518,993 in money market funds, which are invested primarily in U.S. Treasury Securities, respectively. During the three months ended June 30, 2025 and 2024, the Company did not withdraw any interest income (other than interest associated with the shareholder redemption during the quarter ended June 30, 2025) from the Trust Account.
The following table presents information about the Company’s assets and liabilities that are measured at fair value on a recurring basis at June 30, 2025 and December 31, 2024 and indicates the fair value hierarchy of the valuation inputs the Company utilized to determine such fair value:
 
     Level      June 30, 2025      December 31, 2024  
Assets:
         
Investments held in Trust Account – U.S. Treasury Securities
      1      $ 473,146      $ 17,518,993  
Liabilities:
         
Public Warrants
      1      $ —       $ 258,750  
Public Warrants
     
3
      $ 388,126        —   
Private Warrants
      3      $ 482,625      $ 321,750  
Transfers to/from Levels 1, 2, and 3 are recognized at the beginning of the reporting period. Public Warrants were transferred from Level 1 to Level 2 during the first quarter ended March 31, 2025 due to limited trading activities, and subsequently to Level 3 during second quarter ended June 30, 2025, as a result of no trading activities.
The Company established the initial fair value of the warrants on May 12, 2022, the date of the consummation of the Company’s IPO. The Company used a Binomial Option Pricing model to value the warrants. The Company allocated the proceeds received from (i) the sale of the Units (which is inclusive of one share of Class A ordinary shares and
one-half
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 subject to possible redemption (temporary equity), Class A ordinary shares (permanent equity) and Class B ordinary shares (permanent equity) based on their relative fair values at the initial measurement date.
The following table provides quantitative information regarding Level 3 fair value measurements:
 
     June 30, 2025     December 31, 2024  
     Public and
Private Warrants		     Private Warrants  
Stock Price
    $ 11.02     $ 11.80  
Exercise Price
    $ 11.50     $ 11.50  
Risk-free rate of interest
      3.89 %      4.38 % 
Volatility
      10.0 %      5.4 % 
Expected term
      1.9 years       0.7 years  
Expected term of warrant conversion
      5 years       5 years  
The Private Placement Warrants were initially and subsequently valued using a Binomial Option Pricing model, which is considered to be a Level 3 fair value measurement. The fair value of Public Warrants issued in connection with the Initial Public Offering were initially measured using a Binomial Option Pricing model and at June 30, 2025 were valued using a Binomial Option Pricing model due to lack of market data, which is considered to be a Level 3 fair value measurement; and at December 31, 2024 were measured based on the listed market price of such warrants, a Level 1 measurement.
The Binomial Option Pricing model’s primary unobservable input utilized in determining the fair value of the Private Placement Warrants is the expected volatility of Private Placement Warrants which was derived from observable warrant pricing on comparable ‘blank check’ companies without an identified target.
 
The following table presents a summary of the changes in the fair value of the Private Placement Warrants, Level 3 liabilities, measured on a recurring basis.
 
Fair value as of December 31, 2022
    $ 804,375  
Change in fair value
(1)
     (321,750 ) 
  
 
 
  
Fair value as of December 31, 2023
      482,625  
Change in fair value
(1)
     (160,875 ) 
  
 
 
  
Fair value as of December 31, 2024
      321,750  
Change in fair value
(1)
     —   
  
 
 
  
Fair value as of March 31, 2025
    $ 321,750  
Change in fair value
(1)
     160,875  
  
 
 
  
Fair value as of June 30, 2025
    $ 482,625  
  
 
 
  
 
(1)
Changes in valuation inputs or other assumptions are recognized in change in fair value of warrant liabilities in the statements of operations.
Public warrant liability fair value measurements (Level 1, Levels 2 and 3) are detailed in the rollforward table below.
 
    
Level 1
     
Level 2
     
Level 3
  
Balance – December 31, 2024
    $ 258,750      $ —       $ —   
Leveling transfer
      (258,750 )       258,750        —   
  
 
 
     
 
 
     
 
 
  
Balance – March 31, 2025
    $ —       $ 258,750      $ —   
  
 
 
     
 
 
     
 
 
  
Leveling transfer
      —         (258,750 )       258,750  
Change in Fair Value
      —         —         129,376  
  
 
 
     
 
 
     
 
 
  
Balance
–
June
30,
2025
   
$
 —      
$
 —      
$
388,126