XML 31 R16.htm IDEA: XBRL DOCUMENT v3.24.1.u1
FAIR VALUE MEASUREMENTS
12 Months Ended
Dec. 31, 2023
FAIR VALUE MEASUREMENTS  
FAIR VALUE MEASUREMENTS

NOTE 9 — FAIR VALUE MEASUREMENTS

The Company follows the guidance in ASC 820, “Fair Value Measurement,” for its financial assets and liabilities that are re-measured and reported at fair value at each reporting period, and nonfinancial assets and liabilities that are re-measured and reported at fair value at least annually.

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 — Valuations based on unadjusted quoted prices in active markets for identical assets or liabilities that the Company has the ability to access. Valuation adjustments and block discounts are not being applied. Since valuations are based on quoted prices that are readily and regularly available in an active market, valuation of these securities does not entail a significant degree of judgment.

Level 2 — Valuations based on (i) quoted prices in active markets for similar assets and liabilities, (ii) quoted prices in markets that are not active for identical or similar assets, (iii) inputs other than quoted prices for the assets or liabilities, or (iv) inputs that are derived principally from or corroborated by market through correlation or other means.

Level 3 — Valuations based on inputs that are unobservable and significant to the overall fair value measurement.

The following table presents information about the Company’s assets and liabilities that are measured at fair value on a recurring basis at December 31, 2023 and 2022, and indicates the fair value hierarchy of the valuation inputs the Company utilized to determine such fair value:

    

    

    

Quoted

    

Significant

    

Significant

Prices In

Other

Other

Active

Observable

Unobservable

December 31,

Markets

Inputs

Inputs

    

2023

    

(Level 1)

    

(Level 2)

    

(Level 3)

Assets:

U.S. Money Market held in Trust Account

$

3,293,966

$

3,293,966

$

$

Liabilities:

 

  

 

  

 

  

 

  

Derivative Liability - Forward Purchase Agreement

$

665,116

$

$

$

665,116

    

    

Quoted

    

Significant

    

Significant

Prices In

Other

Other

Active

Observable

Unobservable

December 31,

Markets

Inputs

Inputs

    

2022

    

(Level 1)

    

(Level 2)

    

(Level 3)

Assets:

 

  

 

  

 

  

 

  

U.S. Money Market held in Trust Account

$

117,191,410

$

117,191,410

$

$

The FPA is valued using PWERM and Reset Pricing and counterparty sales of Recycled Shares was modeled using a Monte Carlo simulation based on the stock price, settlement timing and market implied volatility. The PWERM is a multistep process in which value is estimated based on the probability-weighted present value of various future outcomes. The estimated fair value of the FPA liability is determined using Level 3 inputs. Inherent in the pricing models are assumptions related to expected share-price volatility, expected life and risk-free interest rate. The Company estimates the volatility of its ordinary shares based on historical volatility that matches the expected remaining life of the FPA. 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 FPA. The expected life of the FPA is assumed to be equivalent to its remaining contractual term. The initial fair value of the Forward Purchase Agreement as of January 10, 2023, was $430,021. The fair value of the Forward Purchase Agreement as of December 31, 2023 was $665,116, which resulted in a change in fair value of the Forward Purchase Agreement of $235,095 for the year ended December 31, 2023.

The key inputs of the models used to value the Company’s FPA were as follows:

    

Initial Measurement Date of

    

    

 

Input

    

January 10, 2023

    

December 31, 2023

 

Risk-free interest rate

4.63

%  

4.94

%

Remaining life (Yrs.)

1.72

 

1.34

Expected volatility

3.73

%  

%

Redemption Price

$

$

10.83

Stock Price

$

10.48

$

10.86

The following table provides a summary of the changes in the fair value of the Company’s Level 3 financial instruments that are measured at fair value on a recurring basis for the year ended December 31, 2023:

    

Forward Purchase

Agreement

Fair value as of January 1, 2023

$

Initial measurement on January 10, 2023 – Issuance

 

430,021

Change in Fair Value

 

235,095

Fair value as of December 31, 2023

$

665,116