Quarterly report pursuant to Section 13 or 15(d)

Fair Value Measurements

v3.24.3
Fair Value Measurements
 6 Months Ended
Jun. 30, 2024
Fair Value Measurements [Abstract]  
Fair Value Measurements

Note 10 - 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 June 30, 2024 and December 31, 2023, and indicate the fair value hierarchy of the valuation techniques that the Company utilized to determine such fair value:

 

June 30, 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   $
—
     $
—
     $ 8,229,757  

 

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 unaudited Condensed 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 unaudited Condensed Consolidated 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   June 30,
2024		     May 17,
2024		     December 31,
2023		  
Market price of Class A common stock   $ 10.85     $ 10.82       10.72  
Risk-free rate     4.94 %     4.98 %     4.56 %
Volatility     30.8 %     34.8 %     39.9 %
Term     1.39       1.51       1.41  
Probability of successful business combination     50.0 %     50.0 %     50.0 %
Discount for lack of marketability     7.6 %     9.0 %     9.9 %
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, 2023   $ 6,646,080  
Change in valuation inputs or other assumptions     247,680  
Fair value as of March 31, 2024     6,893,760  
Initial fair value of non-redemption agreement dated May 17, 2024     1,311,997  
Change in valuation inputs or other assumptions     24,000  
Fair value as of June 30, 2024 (As Restated)   $ 8,229,757  

 

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 June 30, 2024 and December 31, 2023.