Recurring Fair Value Measurements

6 Months Ended

Jun. 30, 2024

Recurring Fair Value Measurements [Abstract]

Recurring Fair Value Measurements

Note 7 - Recurring Fair Value Measurements

Under the guidance in ASC 815-40 the warrants do not meet the criteria for equity classification. As such, these financial instruments must be recorded on the condensed consolidated balance sheet at fair value. This valuation is subject to re-measurement at each balance sheet date. With each re-measurement, these financial instruments valuations will be adjusted to fair value, with the change in fair value recognized in the Company’s condensed consolidated statement of operations.

The Company’s warrant liability for the Private Placement Warrants is based on valuation models utilizing inputs from observable and unobservable markets. The inputs used to determine the fair value of the Private Warrant liability, is classified within Level 3 of the fair value hierarchy.

The Company’s Public Warrants are trading on the Nasdaq Stock Market LLC (“NASDAQ”) and the Company’s Public Warrant liability was based on unadjusted quoted prices in an active market (NASDAQ) for identical assets or liabilities that the Company has the ability to access. The fair value of the Public Warrant liability is classified within Level 1 of the fair value hierarchy.

The Company’s Promissory Note contains an embedded option whereby up to $1,500,000 of the Promissory Note may be converted into the Company’s warrants. The embedded Working Capital Loan conversion option is accounted for as a liability in accordance with ACS 815-40 on the balance sheet and is measured at fair value at inception and on a recurring basis, with changes in fair value presented within change in fair value in the condensed consolidated statement of operations. Valuation of the Working Capital Loan conversion option was derived from the valuation of the underlying Private Placement Warrants and is classified as a level 3 valuation.

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

	June 30, 2024
		Level 1		Level 2		Level 3
Public Warrants	$	460,000	$	—	$	—
Private Warrants	$	—	$	—	$	448,000
Working Capital Loan Conversion Option	$	—	$	—	$	—

	December 31, 2023
		Level 1		Level 2		Level 3
Public Warrants	$	230,000	$	—	$	—
Private Warrants	$	—	$	—	$	224,000
Working Capital Loan Conversion Option	$	—	$	—	$	—

Measurement

The Private Warrants were valued using a binomial lattice model, which is considered to be a Level 3 fair value measurement.

The key inputs into the binomial lattice model were as follows at June 30, 2024 and December 31, 2023:

Input	June 30, 2024			December 31, 2023
Risk-free interest rate		4.28	%		3.81	%
Expected term to Initial Business Combination (years)		0.25			0.25
Expected volatility		de minimis	%		de minimis
Common stock price	$	11.15		$	10.89
Dividend yield		0.0	%		0.0	%

The following table provides a reconciliation of changes in fair value of the beginning and ending balances for the Company’s warrants classified as Level 3 for the period ended June 30, 2024 and 2023:

December 31, 2023	$	224,000
Change in fair value		336,000
March 31, 2024	$	560,000
Change in fair value		(112,000	)
June 30, 2024	$	448,000
December 31, 2022	$	560,000
Change in fair value		—
March 31, 2023	$	560,000
Change in fair value		224,000
June 30, 2023	$	784,000