Quarterly report pursuant to Section 13 or 15(d)

RECURRING FAIR VALUE MEASUREMENTS

v3.24.3
RECURRING FAIR VALUE MEASUREMENTS
 9 Months Ended
Sep. 30, 2024
RECURRING FAIR VALUE MEASUREMENTS  
RECURRING FAIR VALUE MEASUREMENTS

NOTE 8 – RECURRING FAIR VALUE MEASUREMENTS 

 

Fair value is defined as the price that would be received for sale of an asset or paid for transfer of a liability in an orderly transaction between market participants at the measurement date. U.S. GAAP (as defined in Note 2) establishes a three-tier fair value hierarchy, which prioritizes the inputs used in measuring fair value. The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). These tiers consist of: 

 

 

● 

Level 1, defined as observable inputs such as quoted prices (unadjusted) for identical instruments in active markets; 

 

 

● 

Level 2, defined as inputs other than quoted prices in active markets that are either directly or indirectly observable such as quoted prices for similar instruments in active markets or quoted prices for identical or similar instruments in markets that are not active; and 

 

 

● 

Level 3, defined as unobservable inputs in which little or no market data exists, therefore requiring an entity to develop its own assumptions, such as valuations derived from valuation techniques in which one or more significant inputs or significant value drivers are unobservable. 

 

At September 30, 2024, assets held in the Trust Account were comprised of $41,876,683 in an interest-bearing demand deposit account at a bank. Through September 30, 2024, the Company withdrew $328,105,849 from the Trust Account in connection with the Redemptions. 

 

At December 31, 2023, assets held in the Trust Account were comprised of $56,708,101 in an interest-bearing demand deposit account at a bank. Through December 31, 2023, the Company withdrew $311,471,428 from the Trust Account in connection with the Redemptions. 

 

The following tables present fair value information as of September 30, 2024 and December 31, 2023, of the Company’s financial assets and liabilities that were accounted for at fair value on a recurring basis and indicate the fair value hierarchy of the valuation techniques the Company utilized to determine such fair value: 

 

September 30, 2024

 

Level 1

 

 

Level 2

 

 

Level 3

 

Liabilities

 

 

 

 

 

 

 

 

 

Public Warrants

 

 $ 345,000

 

 

 $ -

 

 

 $ -

 

Private Warrants

 

 $ -

 

 

 $ -

 

 

 $ -

 

Total Liabilities

 

 $ 345,000

 

 

 $ -

 

 

 $ -

 

 

December 31, 2023

 

Level 1

 

 

Level 2

 

 

Level 3

 

Liabilities:

 

 

 

 

 

 

 

 

 

Public Warrants

 

 $ 1,725,000

 

 

 $ -

 

 

 $ -

 

Private Warrants

 

 $ -

 

 

 $ -

 

 

 $ 1,754,807

 

Total Liabilities

 

 $ 1,725,000

 

 

 $ -

 

 

 $ 1,754,807

 

 

At January 16, 2024 and December 31, 2023, the Company used a Monte Carlo model to value the private warrants, which were cancelled on January 16, 2024. The estimated fair value of the private warrant liability is determined using Level 3 inputs, and the estimated fair value of the public warrant liability is determined using Level 1. If factors or assumptions change, the estimated fair values could be materially different. Inherent in a binomial options pricing model are assumptions related to expected share-price volatility, expected life, risk-free interest rate and dividend yield.  

The following table provides quantitative information regarding Level 3 fair value measurements: 

 

 

 

January 16,

2024

 

 

December 31,

2023

 

 

 

 

 

 

 

 

Share price

 

 $ 10.88

 

 

 $ 10.85

 

Strike price

 

 $ 11.50

 

 

 $ 11.50

 

Term (in years)

 

 

 6.41

 

 

 

 1.48

 

Volatility

 

 

 0.4 %

 

 

 0.7 %

Risk-free rate

 

 

 4.5 %

 

 

 4.52 %

Dividend yield

 

 

 0

 

 

 

 0

 

 

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

 

 

 

Private

Placement

 

 

Public

 

 

Warrant

Liabilities

 

Fair value as of December 31, 2023

 

 $ 1,754,807

 

 

 $ 1,725,000

 

 

 $ 3,479,807

 

Change in fair value

 

 

 (153,294 )

 

 

 (1,119,525 )

 

 

 (1,272,819 )

Cancellation of private warrants

 

 

 (1,601,513 )

 

 

 -

 

 

 

 (1,601,513 )

Fair value as of March 31, 2024

 

 $ -

 

 

 $ 605,475

 

 

 

 605,475

 

Change in fair value

 

 

 -

 

 

 

 (241,500 )

 

 

 (241,500 )

Fair value as of June 30, 2024

 

 $ -

 

 

 $ 363,975

 

 

 

 363,975

 

Change in fair value

 

 

 -

 

 

 

 (18,975 )

 

 

 (18,975 )

Fair value as of September 30, 2024

 

 $ -

 

 

 $ 345,000

 

 

 

 345,000

 

 

Transfers to/from Levels 1, 2 and 3 are recognized at the end of the reporting period in which a change in valuation technique or methodology occurs. There were no transfers to/from Levels 1, 2, and 3 during the nine months ended September 30, 2024.