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Fair Value Measurements
 3 Months Ended
Aug. 31, 2024
Fair Value Measurements [Abstract]  
Fair Value Measurements

NOTE 6. Fair Value Measurements

 

The following table presents information about the Company’s financial assets and liabilities that are measured at fair value on a recurring basis as of August 31, 2024, and May 31, 2024, and indicates the fair value hierarchy of the valuation inputs the Company utilized to determine such fair value:

 

Description  Amount at
Fair Value		   Level 1   Level 2   Level 3 
August 31, 2024                
Liabilities                
Derivative Liability - Forward Purchase Agreement  $21,121   $
—
   $
—
   $21,121 
Derivative Liability - Warrants  $5,741   $419   $
—
   $5,322 
Total  $26,862   $419   $
—
   $26,443 

 

Description  Amount at
Fair Value		   Level 1   Level 2   Level 3 
May 31, 2024                
Liabilities                
Derivative Liability - Forward Purchase Agreement  $20,938   $
—
   $
—
   $20,938 
Derivative Liability - Warrants  $576   $549   $
—
   $27 
Total  $21,514   $549   $
—
   $20,965 

 

The following table provides quantitative information regarding Level 3 fair value measurements inputs related to the Forward Purchase Agreement at their measurement dates:

 

   August 31,
2024		   May 31,
2024		 
Redemption Price (USD)  $10.61   $10.61 
Stock Price (USD)  $0.99   $0.80 
Volatility   76%   53%
Term (years)   1.93    2.18 
Risk-free rate   3.61%   4.51%

  

As outlined in note 7, 5,800,000 warrants were issued on August 21, 2024. The following table provides quantitative information regarding Level 3 fair value measurements inputs related to these Warrant liabilities at their measurement dates:

 

   August 31,
2024		   August 21,
2024		 
Redemption Price (USD)  $0.75   $0.75 
Stock Price (USD)  $0.99   $0.96 
Volatility   76%   76%
Term (years)   4.9    5.0 
Risk-free rate   3.61%   3.61%

  

The change in the fair value of the assets and liabilities, measured with Level 3 inputs, for the quarter ended August 31, 2024, is summarized as follows:

 

   August 31,
2024		 
Fair value Derivative Liability - May 31, 2024  $20,965 
Change in fair value of Forward Purchase Agreement   183 
Additional Warrant Liabilities incurred   5,157 
Change in fair value of Warrant Liabilities   138 
Fair value Derivative Liability - August 31, 2024  $26,443 

 

The estimated fair value of the Forward Purchase Agreement was measured at fair value using a simulation model, which was determined using Level 3 inputs. Inherent in a simulation are assumptions related to expected stock-price volatility, expected life, risk-free interest rate and dividend yield. The Company estimates the volatility of its Class A ordinary shares based on implied volatility from the Company’s traded Class A ordinary shares and from historical volatility of select peer company’s shares that matches the expected remaining life of the Forward Purchase Agreement. 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 Class A ordinary shares. 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. Any changes in these assumptions could change the valuation significantly.

 

The Company will not have any monetary obligations in connection with the Forward Purchase Agreement.