| Schedule of Financial Assets and Liabilities |
The following tables presents information about
the Company’s financial assets and liabilities that are measured at fair value on a recurring basis as of 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:
| | |
Fair Value | |
| Description | |
Level 1 | | |
Level 2 | | |
Level 3 | |
| | |
| | |
| | |
| |
| Assets | |
| | | |
| | | |
| | |
| Investments held in Trust Account | |
$ | 666,143 | | |
$ | — | | |
$ | — | |
| Liabilities | |
| | | |
| | | |
| | |
| Conversion event liability | |
$ | — | | |
$ | — | | |
$ | 702,878 | |
| Warrant Liability—Public Warrants | |
$ | 6,900,000 | | |
$ | — | | |
$ | — | |
| Warrant Liability—Private Placement Warrants | |
$ | — | | |
$ | — | | |
$ | 6,768,000 | |
December 31, 2024
| | |
Fair Value | |
| Description | |
Level 1 | | |
Level 2 | | |
Level 3 | |
| | |
| | |
| | |
| |
| Assets | |
| | | |
| | | |
| | |
| Investments held in Trust Account | |
$ | 3,237,676 | | |
$ | — | | |
$ | — | |
| Liabilities | |
| | | |
| | | |
| | |
| Conversion event liability | |
$ | — | | |
$ | — | | |
$ | 684,887 | |
| Warrant Liability—Public Warrants | |
$ | — | | |
$ | — | | |
$ | 2,300,000 | |
| Warrant Liability—Private Placement Warrants | |
$ | — | | |
$ | — | | |
$ | 1,880,000 | |
|
| Schedule of Fair Value of the Convertible Promissory Note |
The following table provides significant inputs
used to determine the fair value of the convertible promissory note conversion event liability:
| | |
June 30,
2025 | | |
December 31,
2024 | |
| Share price | |
$ | 17.00 | | |
$ | 10.01 | |
| Discount rate | |
| 15.7 | % | |
| 8.7 | % |
| Probability of close | |
| 60.0 | % | |
| 60.0 | % |
| Years to expiration | |
| 0.04 | | |
| 0.38 | |
| Market adjustment for implied probability of acquisition | |
| 18.4 | % | |
| 9.82 | % |
The following table provides significant inputs
to the independent third party’s pricing model for the fair value of the Public Warrants at December 31, 2024 and the Private Placement
Warrants at June 30, 2025 and December 31, 2024:
| | |
June 30,
2025 | | |
December 31,
2024 | |
| Share price | |
$ | 17.00 | | |
$ | 10.01 | |
| Exercise price | |
$ | 11.50 | | |
$ | 11.50 | |
| Years to expiration | |
| 5.04 | | |
| 5.38 | |
| Volatility | |
| 1.8 | % | |
| 1.6 | % |
| Risk-free rate | |
| 3.72 | % | |
| 4.30 | % |
| Dividend yield | |
| 0.00 | % | |
| 0.00 | % |
|
| Schedule of Changes in Fair Value of Financial Instruments |
The following table provides a summary of the
changes in the fair value of the Company’s Level 3 financial instruments that are measured at fair value on a recurring basis at
June 30, 2025 and 2024:
| | |
Private
Placement
Warrants | | |
Public
Warrants | | |
Conversion
Feature | |
| Changes in fair value of financial liabilities measured with level 3: | |
| | | |
| | | |
| | |
| January 1, 2025 | |
$ | 1,880,000 | | |
$ | 2,300,000 | | |
$ | 684,887 | |
| Change in fair value | |
| 846,000 | | |
| 1,035,000 | | |
| 12,656 | |
| March 31, 2025 | |
| 2,726,000 | | |
| 3,335,000 | | |
| 697,543 | |
| Reclassification of Public Warrants to Level 1 | |
| — | | |
| (3,335,000 | ) | |
| — | |
| Change in fair value | |
| 4,042,000 | | |
| — | | |
| 5,335 | |
| June 30, 2025 | |
$ | 6,768,000 | | |
$ | — | | |
$ | 702,878 | |
| | |
Warrant Liabilities | |
| Fair Value at January 1, 2024 – Private Placement Warrants | |
$ | 940,000 | |
| Change in Fair Value – Private Placement Warrants | |
| (921,200 | ) |
| Fair Value at March 31, 2024 – Private Placement Warrants | |
| 18,800 | |
| Change in Fair Value – Private Placement Warrants | |
| 451,200 | |
| Reclassification of Public Warrants to Level 3 | |
| 575,000 | |
| Fair Value at June 30, 2024 – Public Warrants and Private Placement Warrants | |
$ | 1,045,000 | |
|