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Fair Value Measurements
 12 Months Ended
Dec. 31, 2023
Fair Value Measurements [Abstract]  
Fair Value Measurements

Note 11 - Fair Value Measurements

 

The following tables present information about the Company’s assets and liabilities that are measured at fair value on a recurring basis as of December 31, 2023 and 2022 and indicate the fair value hierarchy of the valuation techniques that the Company utilized to determine such fair value:

 

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  $10,664,690   $
—
   $
—
 
Liabilities:               
Derivative liabilities-public warrants  $
—
   $361,200   $
—
 
Derivative liabilities-private warrants   $ —     $ 261,890     $ —  

 

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  $244,314,622   $
—
   $
—
 
Liabilities:               
Derivative liabilities-public warrants  $
—
   $49,200   $
—
 
Derivative liabilities-private warrants  $
—
   $35,690   $
—
 

 

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 on October 1, 2021 because the Public Warrants were separately listed and traded in an active market. The estimated fair value of the Public Warrants transferred from a Level 1 measurement to a Level 2 fair value measurement in September 2022, due to the limited trading activity of the Public Warrants at September 30, 2022 through December 31, 2023. The Private Placement Warrants were transferred from a Level 3 measurement to a Level 2 measurement in September 2022, as the Public and Private Placement Warrants are viewed as economically equivalent. There were no transfers to/from Levels 1, 2, and 3 during the year ended December 31, 2023.

 

Level 1 assets include investments in U.S. Treasury securities. The Company uses inputs such as actual trade data, benchmark yields and quoted market prices from dealers or brokers.

 

The initial fair value of the Public Warrants issued in connection with the Initial Public Offering and the fair value of the Private Placement Warrants have been estimated using a Monte Carlo simulation model and subsequently, the fair value of the Private Placement Warrants have been estimated using a Black-Scholes model at each measurement date until September 30, 2022 when the public market quoted price was used. For the years ended December 31, 2023 and 2022, the Company recognized a loss and gain to the statements of operations resulting from an increase and decrease in the fair value of liabilities of approximately $0.54 million and $10.7 million, respectively, presented as change in fair value of derivative warrant liabilities on the accompanying consolidated statements of operations.

 

The following table provides quantitative information regarding Level 3 fair value measurements inputs at their measurement dates: June 30, 2022 and March 31, 2022:

 

   June 30,
2022		   March 31,
2022		 
Exercise price  $11.50   $11.50 
Stock price  $9.82   $9.80 
Volatility   2.0%   5.0%
Risk-free rate   3.02%   2.42%
Dividend yield   0.0%   0.0%

 

The initial fair value and the value of the Forward Purchase Agreement liability (previously recorded) issued was estimated using a Put Option Pricing model, which that were analyzed and incorporated into the model included the put price, the risk-free rate, the variable term, the settlement features, the likelihood of completing a business combination and the early termination provisions. The model estimates the underlying economic factors that influenced which of these events would occur, when they were likely to occur, and the specific terms that would be in effect at the time (i.e., stock price, exercise price, etc.). Probabilities were assigned to each variable such as the timing and pricing of events over the term of the instruments based on management projections. The fair value was adjusted for the market implied likelihood of completing a business combination. The key inputs are summarized below:

 

Valuation
Date		  Common
Stock
Price		   Probability
of completing
BC		   Maximum
Term
yrs		   Risk Free
Rate		   Implied
Volatility		 
3/29/2023  $10.35    14.00%   3.74    3.74%   2.90%
3/31/2023  $10.22    14.00%   3.73    3.68%   3.50%
6/30/2023  $10.43    14.00%   3.48    3.74%   2.30%

 

Description  Carrying
Value at
March 29, 2023		   Change
in Fair
value		   Carrying Value at
December 31,
2023		 
Liabilities:            
Forward Purchase Agreement  $86,369   $(86,369)  $
—
 

 

The Forward Share Purchase Agreement was terminated as a result of the termination of the Avila BCA on August 10, 2023. As of December 31, 2023 the liability related to the Forward Purchase Agreement was completely derecognized.