Annual report [Section 13 and 15(d), not S-K Item 405]

Fair Value Measurements

v3.25.1
Fair Value Measurements
 12 Months Ended
Dec. 31, 2024
Fair Value Measurements [Abstract]  
Fair Value Measurements

Note 9 - Fair Value Measurements

 

The following tables present information about the Company’s assets that are measured at fair value on a recurring basis as of December 31, 2024 and 2023, and indicate the fair value hierarchy of the valuation techniques that the Company utilized to determine such fair value:

 

December 31, 2024

 

Description   Quoted
Prices in
Active
Markets
(Level 1)		     Significant
Other
Observable
Inputs
(Level 2)		     Significant
Other
Unobservable
Inputs
(Level 3)		  
Liabilities:                  
Non-redemption agreements derivative liability   $
—
     $
—
     $ 8,886,828  

 

December 31, 2023

 

Description   Quoted
Prices in
Active
Markets
(Level 1)		     Significant
Other
Observable
Inputs
(Level 2)		     Significant
Other
Unobservable
Inputs
(Level 3)		  
Liabilities:                  
Non-redemption agreements derivative liability   $
—
     $
—
     $ 6,646,080  

 

The Non-Redemption Agreements derivative liability were accounted for as liabilities in accordance with ASC 815 and are presented on the Consolidated balance sheets. The non-redemption agreements derivative liability are measured at fair value at inception and on a recurring basis, with changes in fair value presented within change in fair value of derivative liability in the Consolidated statements of operations.

 

Prior to December 31, 2024 the Non-Redemption Agreements derivative liability were valued using a Monte-Carlo simulation model, which is considered to be a Level 3 fair value measurement. As of December 31, 2024, the value of Non-Redemption Agreements derivative liability was determined by applying the estimated probability of the successful business combination to the market price of the Class A common stock. The key inputs used in the estimate of the Non-Redemption Agreements derivative liability were as follows:

 

Input   December 31,
2024		     May 17,
2024		     December 31,
2023		  
Market price of Class A common stock   $ 10.81     $ 10.82       10.72  
Risk-free rate    
 n/a 
       4.98 %     4.56 %
Volatility    
 n/a 
       34.8 %     39.9 %
Term    
 n/a 
       1.51       1.41  
Probability of successful business combination     50.0 %     50.0 %     50.0 %
Discount for lack of marketability    
 n/a
 %     9.0 %     9.9 %
Threshold price   $
n/a
     $ 12.00       12.00  

 

The following table presents the changes in the fair value of the Non-Redemption Agreements derivative liability:

 

Fair value as of December 31, 2022   $
—
  
Initial measurement     3,533,440  
Change in valuation inputs or other assumptions     3,112,640  
Fair value as of December 31, 2023   $ 6,646,080  

 

Change in valuation inputs or other assumptions     928,751  
Initial fair value of non-redemption agreement dated May 17, 2024     1,311,997  
Fair value as of December 31, 2024   $ 8,886,828  

 

Transfers to/from Levels 1, 2, and 3 are recognized at the beginning of the reporting period. There were no transfers to/from Levels 1, 2, and 3 during the year ended December 31, 2024 and 2023.