Quarterly report pursuant to Section 13 or 15(d)

Fair Value Measurements

v3.24.3
Fair Value Measurements
 9 Months Ended
Sep. 30, 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 September 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:

 

September 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   $
      —
     $
      —
     $ 8,394,024  

 

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   September 30,
2024		     May 17,
2024		     December 31,
2023		  
Market price of Class A common stock   $ 10.91     $ 10.82       10.72  
Risk-free rate     4.67 %     4.98 %     4.56 %
Volatility     28.4 %     34.8 %     39.9 %
Term     1.14       1.51       1.41  
Probability of successful business combination     50.0 %     50.0 %     50.0 %
Discount for lack of marketability     6.3 %     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     8,229,757  
Change in valuation inputs or other assumptions     164,267  
Fair value as of September 30, 2024   $ 8,394,024  

 

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 September 30, 2024 and December 31, 2023.