v3.25.2
Fair Value Measurements
 6 Months Ended
Jun. 30, 2025
Fair Value Measurements [Abstract]  
Fair Value Measurements

Note 10 — Fair Value Measurements

 

The following table presents assets and liabilities measured at fair value by classification within the fair value hierarchy at June 30, 2025 and December 31, 2024:

 

June 30, 2025

 

   Level I   Level II   Level III   Total 
Assets                
Money Market Funds  $1,597,673   $
—
   $
—
   $1,597,673 
Total assets  $1,597,673   $
—
   $
—
   $1,597,673 
Liabilities                    
July Investment Agreement Derivative  $
—
   $
—
   $112,521,314   $112,521,314 
CPU Share Allocation Obligation   
—
    
—
   $4,166,671    4,166,671 
Total liabilities  $
—
   $
—
   $116,687,985   $116,687,985 

 

December 31, 2024

 

   Level I   Level II   Level III   Total 
Assets                
Money Market Funds  $2,588,289   $
—
   $
—
   $2,588,289 
Total assets  $2,588,289   $
—
   $
—
   $2,588,289 
Liabilities                    
July Investment Agreement Derivative  $
—
   $
—
   $53,231,638   $53,231,638 
CPU Share Allocation Obligation   
—
    
—
   $10,231,516    10,231,516 
Total liabilities  $
—
   $
—
   $63,463,154   $63,463,154 

The following table provides a reconciliation of the beginning and ending balance associated with the liabilities measured at fair value using significant unobservable inputs (Level III) for the six months ended June 30, 2025:

 

   July Investment Agreement Derivative (Level III)   CPU Share Allocation Obligation (Level III) 
         
Balance, December 31, 2024  $53,231,638   $10,231,516 
Additions   
—
    4,703,536 
Change in fair value   12,572,249    2,491,598 
Balance, March 31, 2025  $65,803,887   $17,426,650 
Additions   
—
    
—
 
Change in fair value   46,717,427    (13,259,979)
Balance, June 30, 2025  $112,521,314   $4,166,671 

 

Money Market Funds

 

Money market funds are investments with maturities within three months of their purchase dates held at banks, that approximate fair value based on Level 1 measurements. 

 

Derivative Liabilities

 

The Company utilized scenario-based valuation models to value the July Investment Agreement Derivative and the CPU Share Allocation Obligations at issuance and each reporting period. A key estimate used in the valuations of the July Investment Agreement Derivative and the CPU Share Allocation Obligations is an enterprise valuation of New EM. At the date of issuances and period end, the enterprise valuation of New EM included the acquisition of the Four Entities which uses a sum-of-the-parts valuation model that combined the arm’s length purchase prices of the Four Entities pursuant to acquisition agreements signed with the Company on February 10, 2025, and the invested capital of the Company for each measurement date. Prior to the termination of the March 2025 Merger Agreement, CMR was also included as a component of the sum-of-the-parts valuation model.

 

July Investment Agreement Derivative

 

The Company utilized the following assumptions to value the July Investment Agreement Derivative:

 

   June 30,
2025		   December 31,
2024		 
         
Expected Business Combination date   September 30, 2025    June 30, 2025 
Term   0.25    0.50 
Risk free rate   4.3%   4.2%
CCC credit rating   15.7%   8.7%
Present value factor   0.99    0.98 
Probability of Business Combination close   60.0%   60.0%
Expected Company fully diluted ownership of New EM   73.4%   71.3%
Additional share allocation percentage   10.0%   10.0%

 

A loss on change in fair value of July Investment Agreement Derivative of $46,717,427 and $59,289,676 was reported as a component of other income/(expense) on the accompanying statements of operations for the three and six months ended June 30, 2025, respectively. The related financial instrument was not issued as of June 30, 2024.

 

CPU Share Allocation Obligation:

 

The CPU Share Allocation Obligations are contingent on the closing of the Business Combination and certain convertible preferred unit holders entering into additional convertible preferred unit agreements in increments of $2,000,000. At June 30, 2025 and December 31, 2024, the CPU Share Allocation Obligation totaled 7.9% and 4.75%, respectively, representing an estimated 5.79 % and 2.85%, respectively, of outstanding shares of New EM Common Stock at the Closing.

The Company utilized the following assumptions to value the CPU Share Allocation Obligations:

 

   June 30,
2025		   March 2025
(issuances)		   February 2025
(issuances)		   December 31,
2024		 
Expected Business Combination date   September 30, 2025    June 30, 2025    June 30, 2025    June 30, 2025 
Term   0.25    0.25    0.35-0.37    0.50 
Risk free rate   4.32%   4.33%   4.31-4.34%   4.2%
Present value factor   0.99    0.99    0.99    0.98 
Probability of Business Combination close   60.0%   60.0%   60.0%   60.0%
Expected Company fully diluted ownership of New EM   73.4%   71.3%   71.3%   71.3%
Additional share allocation percentages   7.90%   1.80%   1.35%   4.75%

 

A gain on change in fair value of CPU Share Allocation Obligation of $13,259,979 and $10,768,381 was reported as a component of other income, on the accompanying statements of operations for the three and six months ended June 30, 2025, respectively. The related financial instrument was not issued as of June 30, 2024.