v3.26.1
FAIR VALUE MEASUREMENTS
 6 Months Ended
Jun. 30, 2026
Fair Value Disclosures [Abstract]  
FAIR VALUE MEASUREMENTS

NOTE 10 – FAIR VALUE MEASUREMENTS

 

The following tables present information about the Company’s liabilities that are measured at fair value on a recurring basis as of June 30, 2026 and December 31, 2025 and indicate the fair value hierarchy of the valuation techniques that the Company utilized to determine such fair value:

 

The fair value of financial instruments on June 30, 2026 is summarized below:

 

Description 

Quoted Prices in

Active Markets

(Level 1)

  

Significant Other

Observable Inputs

(Level 2)

  

Significant Other

Unobservable Inputs

(Level 3)

 
Liabilities:               
Derivative liabilities-public warrants  $-   $7,680   $- 
Derivative liabilities-private warrants  $-   $5,563   $- 
Derivative liabilities-earnout shares  $-   $-   $- 
Derivative liabilities-sponsor earnout shares  $-   $-   $- 
Derivative liabilities-pre-paid purchases  $-   $1,888,086   $- 
Total  $-   $1,901,329   $- 
                
Mezzanine Equity:               
Series C preferred stock  $   -   $-   $   - 

 

The fair value of financial instruments on December 31, 2025 is summarized below:

 

Description 

Quoted Prices in

Active Markets

(Level 1)

  

Significant Other

Observable Inputs

(Level 2)

  

Significant Other

Unobservable Inputs

(Level 3)

 
Liabilities:               
Derivative liabilities-public warrants  $-   $658,800   $- 
Derivative liabilities-private warrants  $-   $487,573   $- 
Derivative liabilities-earnout shares  $-   $-   $- 
Derivative liabilities-sponsor earnout shares  $-   $-   $- 
Total  $-   $1,146,373   $- 
                
Mezzanine Equity:               
Series C preferred stock  $   -   $-   $41,170,508 

 

 

The initial and subsequent fair values of the Public Warrants issued in connection with the Initial Public Offering and the fair value of the Private Placement Warrants have been estimated using a Black-Scholes model. The Company recognized a gain in the statement of operations resulting from a decrease in the fair value of warrant liabilities of $924,201 for the three months ended June 30, 2026 and $1,133,130 for the six months ended June 30, 2026 and recognized a loss in the statement of operations resulting from an increase in the fair value of warrant liabilities of $581,842 for the three months ended June 30, 2025 and $347,647 for the six months ended June 30, 2025, presented as change in fair value of derivative warrant liabilities on the accompanying consolidated statements of operations.

 

The following table provides quantitative information regarding Level 2 fair value measurements inputs at their measurement dates: June 30, 2026 and December 31, 2025:

 

   June 30, 2026   December 31, 2025 
Exercise price  $460   $460 
Stock price  $4.2600   $18.4040 
Public warrant price  $0.0256   $0.0549 
Volatility   83.80%   92.40%
Risk-free rate   4.16%   3.64%
Dividend yield   0.00%   0.00%

 

The initial fair value of the Company Earnout Shares and the fair value of the Sponsor Earnout Shares have been estimated using a Monte Carlo simulation model. For the three and six months ended June 30, 2026 and 2025, the Company recognized a gain in the statement of operations resulting from a decrease in the fair value of liabilities of approximately $0 and $12,633 and $0 and $1,051,915, respectively, presented as change in fair value of derivative earnout shares and sponsor earnout shares liabilities on the accompanying consolidated statements of operations.

 

The following table provides quantitative information regarding Level 2 fair value measurements inputs at their measurement dates as of June 30, 2026 and December 31, 2025:

 

   June 30, 2026   December 31, 2025 
Stock price  $4.2600   $18.4040 
Volatility   28.20%   25.80%
Risk-free rate   4.16%   3.64%
Dividend yield   0.00%   0.00%

 

The initial fair value of the Series C Preferred Stock has been estimated using a Monte Carlo simulation model at the business combination date of December 13, 2024. For the year ended December 31, 2024, the Company recognized the fair value of the Series C Preferred Stock of approximately $71,809,025, presented as mezzanine equity on the accompanying consolidated balance sheets.

 

The following table provides quantitative information regarding Level 2 fair value measurements inputs at the measurement date of December 13, 2024:

 

   December 13, 2024 
Stock price  $9.50 
Volatility   26.50%
Risk-free rate   4.25%
Dividend yield   0.00%