Fair Value Measurements

9 Months Ended

Sep. 30, 2024

Fair Value Measurements

Fair Value Measurements

Note 8 — Fair Value Measurements

The fair value of the Company’s financial assets and liabilities reflects management’s estimate of amounts that the Company would have received in connection with the sale of the assets or paid in connection with the transfer of the liabilities in an orderly transaction between market participants at the measurement date. In connection with measuring the fair value of its assets and liabilities, the Company seeks to maximize the use of observable inputs (market data obtained from independent sources) and to minimize the use of unobservable inputs (internal assumptions about how market participants would price assets and liabilities). The following fair value hierarchy is used to classify assets and liabilities based on the observable inputs and unobservable inputs used in order to value the assets and liabilities:

Level 1: Quoted prices in active markets for identical assets or liabilities. An active market for an asset or liability is a market in which transactions for the asset or liability occur with sufficient frequency and volume to provide pricing information on an ongoing basis.

Level 2: Observable inputs other than Level 1 inputs. Examples of Level 2 inputs include quoted prices in active markets for similar assets or liabilities and quoted prices for identical assets or liabilities in markets that are not active.

Level 3: Unobservable inputs based on our assessment of the assumptions that market participants would use in pricing the asset or liability.

The following table presents information about the Company’s assets that are measured at fair value on a recurring basis at September 30, 2024 and December 31, 2023 and indicates the fair value hierarchy of the valuation inputs the Company utilized to determine such fair value.

			September 30,		December 31,
Description	Level		2024		2023
Assets:
Cash and Marketable securities held in Trust Account		1	$	3,344,071	$	4,553,517

At September 30, 2024 and December 31, 2023, $3,344,071 and $0, of the balance held in the Trust Account was held in cash, respectively. The following table presents information about the Company’s liabilities that are measured at fair value on a recurring basis at September 30, 2024 and December 31, 2023 and indicates the fair value hierarchy of the valuation inputs the Company utilized to determine such fair value.

			September 30,				December 31,
Description	Level		2024		Level		2023
Liabilities:
Warrant Liability – Public Warrants		2	$	426,667		1	$	826,666
Warrant Liability – Private Placement Warrants		2	$	-		2	$	471,200
Total Warrant Liabilities			$	426,667			$	1,297,866

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

Initial Measurement and Subsequent Measurement

The Company established the initial fair value for the Public Warrants on December 21, 2020, the date of the consummation of the Company’s Initial Public Offering, using a Monte Carlo simulation model. The Company allocated the proceeds received from (i) the sale of Units (which is inclusive of one Class A ordinary share and one-third of one Public Warrant), (ii) the sale of Private Placement Warrants, and (iii) the issuance of shares of Class B ordinary shares, based on their fair values as determined at initial measurement, Class A ordinary shares and Class B ordinary shares based on their relative fair values at the initial measurement date. The Warrants were classified as Level 3 at the initial measurement date due to the use of unobservable inputs.

The Warrants are measured at fair value on a recurring basis. The subsequent measurement of the Public Warrants as of December 31, 2023, is classified as Level 1 due to quoted prices in an active market since February 8, 2021. The subsequent measurement of the Public Warrants as of September 30, 2024, is classified as Level 2. Following the delisting of the Public Warrants on August 14, 2024, the last quoted price on Nasdaq was at market close on August 13, 2024. The Public Warrants have not traded on any other market since the delisting. The Company used the last traded price on Nasdaq as an initial reference for valuation; however, the final valuation was determined using a Monte Carlo simulation to model the fair value of similar asset classes as of September 30, 2024.

The Private Placement Warrants, which were previously measured using Level 2 inputs due to the use of quoted prices for similar, non-active assets, were also valued using Monte Carlo simulation techniques. As part of the sponsor change on August 15, 2024, the Private Placement Warrants were canceled and removed from the balance sheet as of that date.

2023, the Public Warrants and Private Placement Warrants were each valued at $0.06 per warrant, resulting in aggregate values of approximately $0.8 million and $0.5 million, respectively.

The following table presents the changes in the fair value of warrant liabilities:

	Private Placement			Public			Warrant Liabilities
Fair value as of December 31, 2022	$	228,000		$	400,000		$	628,000
Change in valuation inputs or other assumptions		684,000			1,200,000			1,884,000
Fair value as of March 31, 2023		912,000			1,600,000			2,512,000
Change in valuation inputs or other assumptions		76,000			133,333			209,333
Fair value as of June 30, 2023		988,000			1,733,333			2,721,333
Change in valuation inputs or other assumptions		(380,000	)		(666,667	)		(1,046,667	)
Fair value as of September 30, 2023	$	608,000		$	1,066,666		$	1,674,666
Fair value as of December 31, 2023	$	471,200		$	826,666		$	1,297,866
Change in valuation inputs or other assumptions		676,400			1,186,667			1,863,067
Fair value as of March 31, 2024	$	1,147,600		$	2,013,333		$	3,160,933
Change in valuation inputs or other assumptions		373,160			654,667			1,027,827
Fair value as of June 30, 2024	$	1,520,760		$	2,668,000		$	4,188,760
Change in valuation inputs or other assumptions		(1,216,760	)		(2,241,333	)		(3,458,093	)
Cancellation of Private Warrants		(304,000	)		-			(304,000	)
Fair value as of September 30, 2024		-			426,667			426,667

Level 3 financial liabilities consist of the Private Placement Warrant liability for which there is no current market for these securities such that the determination of fair value requires significant judgment or estimation. Changes in fair value measurements categorized within Level 3 of the fair value hierarchy are analyzed each period based on changes in estimates or assumptions and recorded as appropriate. As of December 31, 2023, the Private Placement Warrants were valued based on quoted prices for similar assets and were transferred out of Level 3.