Fair Value Measurements (Tables)
|
6 Months Ended |
12 Months Ended |
Jun. 30, 2026 |
Dec. 31, 2025 |
| Fair Value Measurements |
|
|
| Schedule of weighted-average assumptions used in valuing the warrant liability |
| | | | | | | | | | April 20, 2026 | | June 30, 2026 | | Expected term to De-SPAC (Years) | | | 0.4 | | | 0.3 | | Warrant term | | | 5.0 | | | 5.0 | | Probability of De-SPAC and Market Adjustment | | | 64.0 | % | | 73.0 | % | Forward Risk-Free Rate (Continuous | | | 3.88 | % | | 4.18 | % | Volatility | | | 19.5 | % | | 40.0 | % | Redemption trigger price | | $ | 35.00 | | $ | 35.00 | | Floor price | | $ | 7.28 | | $ | 7.28 | |
|
|
| Schedule of roll forward of warrant liability |
| | | | Fair value at April 20, 2026 | | $ | 100,000,000 | Change in fair value of PIPE Subscription derivative liability | | | 37,942,000 | Fair value at June 30, 2026 | | $ | 137,942,000 |
|
|
| HZO, Inc. and Subsidiaries |
|
|
| Fair Value Measurements |
|
|
| Schedule of composition and fair value hierarchy of financial liabilities |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | June 30, 2026 | | | Level 1 | | Level 2 | | Level 3 | | Total | Assets: | | | | | | | | | | | | | Non-marketable equity securities | | $ | — | | $ | — | | $ | 15,000,000 | | $ | 15,000,000 | Total | | $ | — | | $ | — | | $ | 15,000,000 | | $ | 15,000,000 | Liabilities: | | | | | | | | | | | | | Warrant liability | | $ | — | | $ | — | | $ | 2,066,673 | | $ | 2,066,673 | Embedded derivative liability | | $ | — | | $ | — | | $ | 50,881,000 | | $ | 50,881,000 | Total | | $ | — | | $ | — | | $ | 52,947,673 | | $ | 52,947,673 |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | December 31, 2025 | | | Level 1 | | Level 2 | | Level 3 | | Total | Liabilities: | | | | | | | | | | | | | Warrant liability | | $ | — | | $ | — | | $ | 51,673 | | $ | 51,673 | Embedded derivative liability | | $ | — | | $ | — | | $ | 3,396,000 | | $ | 3,396,000 | Total | | $ | — | | $ | — | | $ | 3,447,673 | | $ | 3,447,673 |
|
| | | | | | | | | | | | | | | | | | | | | | | | | | | | 2025 | | | Level 1 | | Level 2 | | Level 3 | | Total | Liabilities: | | | | | | | | | | | | | Warrant liability | | $ | — | | $ | — | | $ | 51,673 | | $ | 51,673 | Embedded derivative liability | | $ | — | | $ | — | | $ | 3,396,000 | | $ | 3,396,000 | Total | | $ | — | | $ | — | | $ | 3,447,673 | | $ | 3,447,673 |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | 2024 | | | Level 1 | | Level 2 | | Level 3 | | Total | Liabilities: | | | | | | | | | | | | | Warrant liability | | $ | — | | $ | — | | $ | 57,984 | | $ | 57,984 | Embedded derivative liability | | $ | — | | $ | — | | $ | 1,052,000 | | $ | 1,052,000 | Total | | $ | — | | $ | — | | $ | 1,109,984 | | $ | 1,109,984 |
|
| Schedule of weighted-average assumptions used in valuing the warrant liability |
| | | | | | | | | | | | | | As of | | As of | | | | June 30, | | December 31, | | | | 2026 | | 2025 | | Risk-free interest rate | | 3.4 | % | 3.4 | % | Expected stock price volatility | | 60 | % | 60 | % | Expected dividend yield | | 0 | % | 0 | % | Expected term (years) | | 0.6 | | 2.0 | |
|
| | | | | | | | | | | | | | 2025 | | 2024 | | Risk-free interest rate | | 3.4 | % | 4.0 | % | Expected stock price volatility | | 60 | % | 60 | % | Expected dividend yield | | 0 | % | 0 | % | Expected term (years) | | 2.0 | | 2.5 | |
|
| Schedule of roll forward of warrant liability |
| | | | | | | | | | Warrant | | | Liability | Balance at December 31, 2025 | | $ | 51,673 | Warrants granted in connection with issuance of convertible promissory notes | | | 1,516,000 | Change in fair value | | | 499,000 | Balance at June 30, 2026 | | $ | 2,066,673 |
| | | | | | | | | | Embedded | | | Derivative | | | Liability | Balance at December 31, 2025 | | $ | 3,396,000 | Embedded derivative liability from convertible promissory notes | | | 4,559,000 | Change in fair value | | | 42,926,000 | Balance at June 30, 2026 | | $ | 50,881,000 |
|
| | | | | | | | | | Warrant | | | Liability | Balance at December 31, 2023 | | $ | 784,724 | Change in fair value | | | (726,740) | | | | | Balance at December 31, 2024 | | | 57,984 | Change in fair value | | | (6,311) | | | | | Balance at December 31, 2025 | | $ | 51,673 |
|