v3.25.2
Fair Value Measurements
 6 Months Ended
Jun. 30, 2025
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 June 30, 2025. Management determined the fair value of marketable securities held in Trust Account by using Level 2 inputs. The Trust Account is comprised of U.S. treasury notes and bills which are considered Level 2 investments as they were issued before the most recent issue and were still outstanding at measurement day (off-the-run).

 

   Level 1   Level 2   Level 3   Total 
Assets                
Marketable securities held in Trust Account  $
-
   $55,585,126   $
-
   $55,585,126 
Total Assets  $
-
   $55,585,126   $
-
   $55,585,126 
Liabilities:                    
Public Warrants   
-
    
-
    10,036,050    10,036,050 
Private Placement Warrants   
-
    
-
    12,654,150    12,654,150 
Total liabilities  $
-
   $
-
   $22,690,200   $22,690,200 

 

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, including the fair value hierarchy of the valuation techniques that the Company utilized to determine such fair value.

 

   Level 1   Level 2   Level 3   Total 
Assets                
Marketable securities held in Trust Account  $
-
   $54,053,020   $
-
   $54,053,020 
Total assets  $
-
   $54,053,020   $
-
   $54,053,020 
Liabilities:                    
Public Warrants   
-
    
-
    7,245,000    7,245,000 
Private Placement Warrants   
-
    
-
    9,133,550    9,133,550 
Total liabilities  $
-
   $
-
   $16,378,550   $16,378,550 

 

The Warrants are accounted for as liabilities pursuant to ASC 815-40 and are measured at fair value as of each reporting date. Changes in the fair value of the Warrants are recorded in the statements of operations for each period.

 

Transfers to/from Levels 1, 2, and 3 are recognized at the end of the reporting period. As of June 30, 2025, there were no transfers between Levels. In the fourth quarter of fiscal year ended December 31, 2024, the Company’s Public and Private Warrants were transferred from Level 1 and Level 2, respectively, to Level 3 due to changes in observability of the inputs. The warrants are now valued using a combination of Binomial Lattice and Monte Carlo simulation models.

Any significant changes in the inputs may result in significantly higher or lower fair value measurements. The following table provides quantitative information regarding Level 3 fair value measurement inputs for the Public Warrants and Private Placement Warrants at their measurement date:

 

   June 30,
2025		   December 31,
2024		 
Exercise price  $11.50   $11.50 
Underlying share price  $12.24   $11.64 
Volatility   7.81%   5.32%
Term to business combination (years)   0.21    0.70 
Risk-free rate   4.31%   4.08%
Time remaining post-merger (years)   5.00    5.00 
Probability of merger closing   1.00%   5.00%

 

The table below shows the change in fair value of the warrant liabilities as of June 30, 2025 and 2024:

 

   Public
Warrants		   Private
Warrants		   Total 
Fair value at January 1, 2025  $7,245,000   $9,133,550   $16,378,550 
Change in fair value   2,791,050    3,520,600    6,311,650 
Fair value as of June 30, 2025  $10,036,050   $12,654,150   $22,690,200 

 

   Public
Warrants		   Private
Warrants		   Total 
Fair value at January 1, 2024  $345,000   $435,000   $780,000 
Change in fair value   285,200    359,600    644,800 
Fair value as of June 30, 2024  $630,200   $794,600   $1,424,800