Fair Value Measurements

9 Months Ended

Sep. 30, 2024

Fair Value Measurements [Abstract]

Fair Value Measurements

Note 8 — Fair Value Measurements

The following tables present information about the Company’s assets and liabilities that are measured at fair value on a recurring basis at September 30, 2024 and December 31, 2023, and indicate the fair value hierarchy of the valuation inputs the Company utilized to determine such fair value:

September 30, 2024

	September 30, 2024		Quoted Prices In Active Markets (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Other Unobservable Inputs (Level 3)
Assets:
Marketable securities held in Trust Account	$	34,286,262	$	34,286,262	$	—	$	—
Liabilities:
Public warrants liability	$	194,350	$	—	$	194,350	$	—
Private placement warrants liability		183,495		—		—		183,495
	$	377,845	$	—	$	194,350	$	183,495

December 31, 2023

	December 31, 2023		Quoted Prices In Active Markets (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Other Unobservable Inputs (Level 3)
Liabilities:
Public warrants liability	$	448,500	$	—	$	448,500	$	—
Private placement warrants liability		423,450		—		—		423,450
	$	871,950	$	—	$	448,500	$	423,450

The warrants are accounted for as liabilities in accordance with ASC 815-40 and are presented within warrant liabilities on the condensed 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 liability in the condensed statements of operations.

The Company established the initial fair value of the public warrants on January 20, 2021, the date of the initial public offering, using a Monte Carlo simulation model, and as of September 30, 2024 and December 31, 2023 by using the associated trading price of the public warrants. The Company established the initial fair value of the private placement warrants on January 20, 2021 and on September 30, 2024 and December 31, 2023 by using a modified Black-Scholes calculation. The Warrants were classified as Level 3 at the initial measurement date due to the use of unobservable inputs. The most significant unobservable input was the volatility. Significant increases (decreases) in the expected volatility in isolation would result in a significantly higher (lower) fair value measurement. The public warrants were classified as Level 2 at September 30, 2024 and December 31, 2023 due to no trading activity to support Level 1 valuation. The private placement warrants were classified as Level 3 at September 30, 2024 and December 31, 2023 due to the use of unobservable inputs.

There were no transfers to/from Levels 1, 2, or 3 during the three months ended September 30, 2024. The following tables present the changes in the fair value of Level 3 warrant liabilities as of September 30, 2024 and December 31, 2023:

	Level 3 Warrant Liabilities
Fair value as of December 31, 2023	$	423,450
Change in fair value		148,208
Fair value as of March 31, 2024	$	571,658
Change in fair value		63,517
Fair value as of June 30, 2024	$	635,175
Change in fair value		(451,680	)
Fair value as of September 30, 2024	$	183,495

	Level 3 Warrant Liabilities
Fair value as of December 31, 2022	$	70,575
Change in fair value		352,875
Fair value as of December 31, 2023	$	423,450

The key inputs into the modified Black-Scholes calculation as of September 30, 2024 and December 31, 2023 were as follows:

	September 30, 2024			December 31, 2023
Inputs
Risk-free interest rate		4.27	%		5.04	%
Expected term (years)		0.63			0.73
Expected volatility		0.34	%		4.56	%
Exercise price	$	11.50		$	11.50
Stock price	$	11.22		$	10.79