Fair Value Measurements

3 Months Ended

Mar. 31, 2024

Fair Value Measurements

Fair Value Measurements

Note 8 - Fair Value Measurements

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

	March 31,		Quoted Prices In Active Markets		Significant Other Observable Inputs		Significant Other Unobservable Inputs
	2024		(Level 1)		(Level 2)		(Level 3)
Liabilities:
Warrant Liability- public	$	774,450	$		$	—	$	774,450
Warrant Liability- private		466, 325		—		—		466, 325
Total Warrant Liability	$	1,240,775	$	—	$	—	$	1,240,775

	December 31,		Quoted Prices In Active Markets		Significant Other Observable Inputs		Significant Other Unobservable Inputs
	2023		(Level 1)		(Level 2)		(Level 3)
Assets:
U.S. Money Market held in Trust Account	$	9,287,900	$	9,287,900	$	—	$	—
	$	9,287,900	$	9,287,900	$	—	$	—
Liabilities:
Warrant Liability- public	$	206,520	$	206,520	$	—	$	—
Warrant Liability- private		124,352		—		—		124,352
Total Warrant Liability	$	330,872	$	206,520	$	—	$	124,352

Transfers to/from Levels 1, 2, and 3 are recognized at the beginning of the reporting period. During the three months ended March 31, 2024, the public warrants ceased trading in January 2024 and were transferred form Level 1 to Level 3.

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

The Company’s Warrant liability was valued at $1,240,775 and $330,872 as of March 31, 2024 and December 31, 2023, respectively. Under the guidance in ASC 815-40 the Warrants do not meet the criteria for equity treatment. As such, the Warrants must be recorded on the balance sheets at fair value. This valuation is subject to re-measurement at each balance sheet date. With each re-measurement, the valuations will be adjusted to fair value, with the change in fair value recognized in the Company’s unaudited condensed consolidated statements of operations.

The Company’s warrant liability is based on a valuation model utilizing management judgment and pricing inputs from observable and unobservable markets with less volume and transaction frequency than active markets. Significant deviations from these estimates and inputs could result in a material change in fair value. Prior to March 31, 2024, the fair value of the public warrant liability is classified within Level 1 of the fair value hierarchy, as the public warrants were actively traded. In January 2024, the public warrants ceased trading. The fair value of the public and private warrant liability is classified within Level 3 of the fair value hierarchy.

 :

				Public and Private
	Public Warrants			Warrants		Warrant
	Level 1			Level 3		Liabilities
Warrant liabilities at December 31, 2023	$	206,520		$	124,354	$	330,872
Transfer from Level 1 to Level 3		(206,520	)		206,520		—
Change in Fair Value		—			909,903		909,903
Warrant liabilities at March 31, 2024	$	—		$	466,328	$	1,240,775

				Private
	Public Warrants			Warrants			Warrant
	Level 1			Level 3			Liabilities
Warrant liabilities at December 31, 2022	$	413,040		$	248,707		$	661,747
Change in Fair Value		(206,520	)		(124,354	)		(330,874	)
Warrant liabilities at March 31, 2023	$	206,520		$	124,352		$	330,872

The Company utilized a binomial Monte-Carlo simulation to estimate the fair value of the public warrants at each reporting period for its warrants that are not actively traded. Inherent in a Monte Carlo simulation are assumptions related to expected share-price volatility, expected life, risk-free interest rate and dividend yield. The Company estimates the volatility of its warrants based on implied volatility from the Company’s traded warrants and from historical volatility of select peer company’s common stock that matches the expected remaining life of the warrants. The risk-free interest rate is based on the U.S. Treasury zero-coupon yield curve on the grant date for a maturity similar to the expected remaining life of the warrants. The expected life of the warrants is assumed to be equivalent to their remaining contractual term. The dividend rate is based on the historical rate, which the Company anticipates remaining at zero.

The estimated fair value of the Public and Private Placement Warrants is determined using Level 3 inputs. Inherent in a modified Black-Scholes model are assumptions related to expected share-price volatility, expected life, risk-free interest rate and dividend yield. The Company estimates the volatility of its warrants based on implied volatility from the Company’s traded warrants and from historical volatility of select peer company’s common stock that matches the expected remaining life of the Warrants. The risk-free interest rate is based on the U.S. Treasury zero-coupon yield curve on the grant date for a maturity similar to the expected remaining life of the warrants. The expected life of the warrants is assumed to be equivalent to their remaining contractual term. The dividend rate is based on the historical rate, which the Company anticipates remaining at zero.

The key inputs into the modified Black-Scholes model were as follows:

	March 31, 2024			December 31, 2023
Risk-free interest rate		4.12	%		3.77	%
Expected term (years)		5.09			5.09
Expected volatility		4.67	%		8.0	%
Stock price	$	11.75		$	11.35
Strike price	$	11.50		$	11.50
Dividend yield		0	%		0	%
Probability of business combination		1.50	%		1.00	%