Fair Value Measurements

12 Months Ended

Dec. 31, 2023

Note 8—Fair Value Measurements

The following tables present information about the Company’s financial liabilities that are measured at fair value on a recurring basis as of December 31, 2023 and 2022, by level within the fair value hierarchy:

December 31, 2023


Description	Quoted Prices in Active Markets (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Other Unobservable Inputs (Level 3)
Assets:
Investments held in Trust Account - U.S. Treasury Securities (1)	$	67,545,266	$	—	$	—
Liabilities:
Derivative warrant liabilities - Public Warrants	$	—	$	473,930	$	—
Derivative warrant liabilities - Private Warrants	$	—	$	—	$	432,700

December 31, 2022


Description	Quoted Prices in Active Markets (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Other Unobservable Inputs (Level 3)
Assets:
Investments held in Trust Account - U.S. Treasury Securities (1)	$	64,703,943	$	—	$	—
Liabilities:
Derivative warrant liabilities - Public Warrants	$	1,295,400	$	—	$	—
Derivative warrant liabilities - Private Warrants	$	—	$	—	$	1,182,710

(1)	Includes $859 and $1,663 of cash balance held within the Trust Account as of December 31, 2023 and 2022, respectively .

Transfers to/from Levels 1, 2, and 3 are recognized at the beginning of the reporting period. The estimated fair value of the Public Warrants transferred from a Level 3 measurement to a Level 1 fair value measurement in December 2022 when the Public Warrants were separately listed and traded. As of December 31, 2023, the fair value measurement for Public Warrants was transferred to Level 2 measurement due to low trading volume.

Level 1 assets include investments in money market funds or 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 fair value of the Public Warrants and the Private Placement Warrants was initially measured using Black-Scholes option pricing model and Monte Carlo simulation method, respectively. Beginning in December 2022, the fair value of Public Warrants has been measured based on the listed market price of such Public Warrants. The estimated fair value of the Private Placement Warrants was determined using a Monte Carlo simulation method with Level 3 inputs as of December 31, 2023 and 2022. Inherent in a Black-Scholes option pricing model and a Monte Carlo simulation method are assumptions related to expected stock-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 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 following table provides quantitative information regarding Level 3 fair value measurements inputs at their measurement dates of December 31, 2023 and 2022:


	As of December 31, 2023			As of December 31, 2022
Exercise price	$	11.50		$	11.50
Stock price	$	10.60		$	10.05
Volatility		5.1	%		4.9	%
Risk-free rate		3.77	%		3.90	%
Dividend yield		0.0	%		0.0	%

The changes in the Level 3 fair value of the derivative warrant liabilities for year ended December 31, 2023 and for the period from February 15, 2022 (inception) through December 31, 2022 are summarized as follows:


Balance as of February 15, 2022 (inception) - Level 3	$	—
Issuance of Public Warrants and Private Placement Warrants		725,300
Transfer of Public Warrants to Level 1		(379,140	)
Change in fair value of derivative warrant liabilities - Private Warrants		836,550

Balance as of December 31, 2022 - Level 3		1,182,710
Change in fair value of derivative warrant liabilities - Private Warrants		(750,010	)

Balance as of December 31, 2023 - Level 3	$	432,700

- Definition

The entire disclosure for the fair value of financial instruments (as defined), including financial assets and financial liabilities (collectively, as defined), and the measurements of those instruments as well as disclosures related to the fair value of non-financial assets and liabilities. Such disclosures about the financial instruments, assets, and liabilities would include: (1) the fair value of the required items together with their carrying amounts (as appropriate); (2) for items for which it is not practicable to estimate fair value, disclosure would include: (a) information pertinent to estimating fair value (including, carrying amount, effective interest rate, and maturity, and (b) the reasons why it is not practicable to estimate fair value; (3) significant concentrations of credit risk including: (a) information about the activity, region, or economic characteristics identifying a concentration, (b) the maximum amount of loss the entity is exposed to based on the gross fair value of the related item, (c) policy for requiring collateral or other security and information as to accessing such collateral or security, and (d) the nature and brief description of such collateral or security; (4) quantitative information about market risks and how such risks are managed; (5) for items measured on both a recurring and nonrecurring basis information regarding the inputs used to develop the fair value measurement; and (6) for items presented in the financial statement for which fair value measurement is elected: (a) information necessary to understand the reasons for the election, (b) discussion of the effect of fair value changes on earnings, (c) a description of [similar groups] items for which the election is made and the relation thereof to the balance sheet, the aggregate carrying value of items included in the balance sheet that are not eligible for the election; (7) all other required (as defined) and desired information.

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