Annual report pursuant to Section 13 and 15(d)

Fair Value Measurements

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Fair Value Measurements
 12 Months Ended
Dec. 31, 2023
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, 2023 and 2022, and indicate the fair value hierarchy of the valuation techniques that the Company utilized to determine such fair value:

 

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  

 

December 31, 2022:

 

Description   Quoted
Prices in
Active
Markets
(Level 1)		     Significant
Other
Observable
Inputs
(Level 2)		     Significant
Other
Unobservable
Inputs
(Level 3)		  
Assets:                  
Investments held in Trust Account - Money Market Fund   $ 309,744,280     $      —     $
     —
  

 

Level 1 assets include investments in a money market fund that invest solely in U.S. Treasury securities. The Company uses inputs such as actual trade data, quoted market prices from dealers or brokers, and other similar sources to determine the fair value of its investments.

 

The Non-Redemption Agreements derivative liability were accounted for as liabilities in accordance with ASC 815 and are presented on the 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 statements of operations.

 

The Non-Redemption Agreements derivative liability were initially and as of the end of each subsequent reporting period, valued using a monte-carlo simulation model, which is considered to be a Level 3 fair value measurement. The key inputs into the monte-carlo simulation model for the Non-Redemption Agreements derivative liability were as follows:

 

Input   December 31,
2023		     Issuance Date
November 21,
2023		     Issuance Date
April 28,
2023		  
Market price of Class A common stock   $ 10.72     $ 10.58     $ 10.38  
Risk-free rate     4.56 %     5.04 %     4.28 %
Volatility     39.9 %     44.2 %     54.3 %
Term     1.41       1.52       1.68  
Probability of successful business combination     50.0 %     50.0 %     20.0 %
Discount for lack of marketability     9.9 %     11.4 %     14.7 %
Threshold price   $ 12.00     $ 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

  

 

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, 2023 and 2022.