| Schedule of Financial Assets and Liabilities that are Measured at Fair Value on a Recurring Basis |
The following table
presents information about the Company’s financial liabilities that are measured at fair value on a recurring basis As of September
30, 2025 by level within the fair value hierarchy:
| | |
Level 1 | | |
Level 2 | | |
Level 3 | |
| Liabilities: | |
| | |
| | |
| |
| Public Warrants | |
$ | — | | |
$ | — | | |
$ | 6,557,731 | |
| Private Placement Warrants | |
$ | — | | |
$ | — | | |
$ | 7,656,797 | |
| Conversion option liability | |
$ | — | | |
$ | — | | |
$ | 868,338 | |
The following table presents information about the Company’s financial liabilities that are measured at fair value on a recurring
basis as of December 31, 2024 by level within the fair value hierarchy:
| | |
Level 1 | | |
Level 2 | | |
Level 3 | |
| Liabilities: | |
| | |
| | |
| |
| Public Warrants | |
$ | — | | |
$ | 100,625 | | |
$ | — | |
| Private Placement Warrants | |
$ | — | | |
$ | 101,562 | | |
$ | — | |
|
| Schedule of Change in Fair Value of Warrant Liabilities |
The table below shows the change in fair value
of the warrant liabilities as of September 30, 2025:
| | |
Public
Warrants | | |
Private
Placement
Warrants | | |
Total | |
| | |
| | |
| | |
| |
| Fair value at January 1, 2025 | |
$ | 100,625 | | |
$ | 101,562 | | |
$ | 202,187 | |
| Change in fair value | |
| 6,457,106 | | |
| 7,555,235 | | |
| 14,012,341 | |
| Fair value As of September 30, 2025 | |
$ | 6,557,731 | | |
$ | 7,656,797 | | |
$ | 14,214,528 | |
The table below shows the change in fair value of the warrant liabilities
as of September 30, 2024:
| | |
Public
Warrants | | |
Private
Placement
Warrants | | |
Total | |
| | |
| | |
| | |
| |
| Fair value at January 1, 2024 | |
$ | 806,406 | | |
$ | 811,094 | | |
$ | 1,617,500 | |
| Change in fair value | |
| (202,656 | ) | |
| (201,719 | ) | |
| (404,375 | ) |
| Fair value as of September 30, 2024 | |
$ | 603,750 | | |
$ | 609,375 | | |
$ | 1,213,125 | |
|
| Schedule of Level 3 Fair Value Measurement Inputs |
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:
| | |
September 30,
2025 | |
| Exercise price | |
$ | 11.50 | |
| Underlying share price | |
$ | 12.32 | |
| Volatility | |
| 19.08 | % |
| Term to business combination (years) | |
| 0.58 | |
| Risk-free rate | |
| 3.74 | % |
| Time remaining post-merger (years) | |
| 5.00 | |
| Probability of merger closing | |
| 20.00 | %* |
The following table provides quantitative information regarding Level 3 fair value measurement inputs for the conversion
option liability at the measurement date:
| | |
September 30,
2025 | |
| Private warrant value assuming merger closes | |
$ | 1.51 | |
| Intrinsic Value per $1 of Convertible Debt Principal | |
$ | 0.51 | |
| Private warrant value | |
$ | 0.75 | |
| Total convertible debt principal | |
$ | 3,420,000 | |
| Probability of merger closing | |
| 50.00 | %* |
| * | The valuation methodologies applied to the Company’s warrants
and convertible promissory notes incorporated differing assumptions regarding the probability of consummation of a business combination
due to the distinct economic characteristics and risk profiles of the respective instruments. Specifically, the valuation of the warrants
reflects risks and expected outcomes extending beyond the consummation of the initial business combination, whereas the valuation of
the convertible promissory notes is primarily dependent upon the occurrence of a business combination, after which the associated risk
exposure terminates. |
|