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Fair Value Measurements
 12 Months Ended
Dec. 31, 2024
Fair Value Measurements [Abstract]  
Fair Value Measurements

Note 8 — Fair Value Measurements

Fair value is defined as the price that would be received for sale of an asset or paid for transfer of a liability, in an orderly transaction between market participants at the measurement date. GAAP establishes a three-tier fair value hierarchy, which prioritizes the inputs used in measuring fair value. The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). The Company’s financial instruments are classified as either Level 1, Level 2 or Level 3. These tiers include:

•        Level 1, defined as observable inputs such as quoted prices (unadjusted) for identical instruments in active markets;

•        Level 2, defined as inputs other than quoted prices in active markets that are either directly or indirectly observable such as quoted prices for similar instruments in active markets or quoted prices for identical or similar instruments in markets that are not active; and

•        Level 3, defined as unobservable inputs in which little or no market data exists, therefore requiring an entity to develop its own assumptions, such as valuations derived from valuation techniques in which one or more significant inputs or significant value drivers are unobservable.

The following tables present information about the Company’s assets and liabilities that are measured at fair value on December 31, 2024 and 2023, and indicates the fair value hierarchy of the valuation inputs the Company utilized to determine such fair value:

 

December 31,
2024

  

Quoted
Prices In
Active
Markets
(Level 1)

  

Significant
Other
Observable
Inputs
(Level 2)

  

Significant
Other
Unobservable
Inputs
(Level 3)

Assets:

  

 

    

 

    

 

    

 

  

Cash and marketable securities held in trust

  

$

8,330,835

  

$

8,330,835

  

$

—

  

$

—

Liabilities:

  

 

    

 

    

 

    

 

  

Warrant liabilities – Public Warrants

  

$

379,500

  

$

—

  

$

379,500

  

$

—

Warrant liabilities – Private Placement Warrants

  

 

293,900

  

 

—

  

 

—

  

 

293,900

Warrant liabilities – Representative’s
Warrants

  

 

22,770

  

 

—

  

 

—

  

 

22,770

Convertible promissory note

  

 

8,908,052

  

 

—

  

 

—

  

 

8,908,052

Total

  

$

9,604,222

  

$

—

  

$

379,500

  

$

9,224,722
 

December 31,
2023

  

Quoted
Prices In
Active
Markets
(Level 1)

  

Significant
Other
Observable
Inputs
(Level 2)

  

Significant
Other
Unobservable
Inputs
(Level 3)

Assets:

  

 

    

 

    

 

    

 

  

Cash and marketable securities held in trust

  

$

10,873,406

  

$

10,873,406

  

$

—

  

$

—

Liabilities:

  

 

    

 

    

 

    

 

  

Warrant liabilities – Public Warrants

  

$

85,388

  

$

85,388

  

$

—

  

$

—

Warrant liabilities – Private Placement Warrants

  

 

66,128

  

 

—

  

 

—

  

 

66,128

Warrant liabilities – Representative’s
Warrants

  

 

5,123

  

 

—

  

 

—

  

 

5,123

Convertible promissory note

  

 

944,118

  

 

—

  

 

—

  

 

944,118

Total

  

$

1,100,757

  

$

85,388

  

$

—

  

$

1,015,369

The Public Warrants, the Private Placement Warrants and the Representative’s Warrants were accounted for as liabilities in accordance with ASC 815-40 and are presented within liabilities on the consolidated balance sheets. The warrant liabilities are measured at fair value at inception and on a recurring basis, with changes in fair value presented within change in fair value of warrant liabilities in the consolidated statements of operations.

The Company utilized a Monte Carlo simulation model for the initial valuation of the Public Warrants. The subsequent measurement of the Public Warrants at December 31, 2024 was classified as Level 2 due to the lack of an active market. At December 31, 2023, the Public Warrants was classified as Level 1 due to the use of an observable market quote in an active market. As of December 31, 2024 and 2023, the aggregate value of Public Warrants was $379,500 and $85,388, respectively.

The Company uses a Monte Carlo simulation model to value the Private Placement Warrants and the Representative’s Warrants. The Private Placement Warrants and the Representative’s Warrants were classified within Level 3 of the fair value hierarchy due to the use of unobservable inputs. Inherent in pricing models are assumptions related to expected share-price volatility, expected life and risk-free interest rate. The Company estimates the volatility of its common stock based on historical volatility that matches the expected remaining life of the warrants.

The risk-free interest rate is based on the U.S. Treasury zero-coupon yield curve on the grant date for a maturity similar to the expected remaining life of the warrants. The expected life of the warrants is assumed to be equivalent to their remaining contractual term.

The key inputs into the Monte Carlo simulation model for the warrant liabilities were as follows at December 31, 2024 and 2023:

 

December 31,
2024

  

December 31,
2023

Input

  

 

  

 

  

 

  

 

Risk-free interest rate

  

 

4.18

%

  

 

5.06

%

Expected term (years)

  

 

0.89

 

  

 

0.71

 

Expected volatility

  

 

De minimis

%

  

 

De minimis

%

Exercise price

  

$

11.50

 

  

$

11.50

 

Fair value of Common stock

  

$

12.12

 

  

$

11.16

 

The key inputs into the Monte Carlo simulation model for the convertible promissory note were as follows at December 31, 2024 and 2023:

 

December 31,
2024

  

December 31,
2023

Input

  

 

  

 

  

 

  

 

Risk-free interest rate

  

 

4.18

%

  

 

5.48

%

Expected term (years)

  

 

0.27

 

  

 

0.19

 

Expected volatility

  

 

De minimis

%

  

 

De minimis

%

Exercise price

  

$

11.50

 

  

$

11.50

 

Fair value of Common stock

  

$

12.12

 

  

$

11.16

 

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 for the years ended December 31, 2024 and 2023:

 

Private
Placement
Warrants

  

Representative’s
Warrants

  

Warrant
Liability

Fair value at December 31, 2023

  

$

66,128

  

$

5,123

  

$

71,251

Change in fair value of warrant liabilities

  

 

227,772

  

 

17,647

  

 

245,419

Fair value at December 31, 2024

  

$

293,900

  

$

22,770

  

$

316,670
 

Private
Placement
Warrants

  

Representative’s
Warrants

  

Warrant
Liability

Fair value at December 31, 2022

  

$

377,857

 

  

$

29,274

 

  

$

407,131

 

Change in fair value of warrant liabilities

  

 

(311,729

)

  

 

(24,151

)

  

 

(335,880

)

Fair value at December 31, 2023

  

$

66,128

 

  

$

5,123

 

  

$

71,251

 
 

Convertible
Promissory
Note

Fair value at December 31, 2023

  

$

944,118

Principal borrowing

  

 

797,981

Change in fair value of convertible promissory note

  

 

7,165,953

Fair value at December 31, 2024

  

$

8,908,052
 

Convertible
Promissory
Note

Fair value at December 31, 2022

  

$

—

 

Principal borrowing

  

 

1,121,815

 

Change in fair value of convertible promissory note

  

 

(177,697

)

Fair value at December 31, 2023

  

$

944,118

 

The fair value of the Company’s convertible promissory note is valued using a compound option formula on the convertible feature and a present value of the host contract. The valuation technique requires inputs that are both unobservable and significant to the overall fair value measurement. These inputs reflect management’s own assumption about the assumptions a market participant would use in pricing the working capital loan.

The convertible promissory note was classified within Level 3 of the fair value hierarchy due to the use of unobservable inputs. Inherent in pricing models are assumptions related to expected share-price volatility, expected life and risk-free interest rate. The Company estimates the volatility of its common stock based on historical volatility that matches the expected remaining life of the note. The risk-free interest rate is based on the U.S. Treasury zero-coupon yield curve on the grant date for a maturity similar to the expected remaining life of the note. The expected life of the note is assumed to be equivalent to their remaining contractual term.