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Fair Value Measurements
 6 Months Ended
Jun. 30, 2024
Fair Value Disclosures [Abstract]  
Fair Value Measurements
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 June 30, 2024 and December 31, 2023, by level within the fair value hierarchy:
June 30, 2024
 
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)
    $ 24,663,767      $ —       $ —   
Liabilities:
         
Derivative warrant liabilities - Public
Warrants
    $ —       $ 473,930      $ —   
Derivative warrant liabilities - Private Warrants
    $ —       $ —       $ 432,700  
 
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  
 
(1)
Includes $51,051
 and $859
 of cash balance held within the Trust Account as of June
 30, 2024 and December
 31, 2023, 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 June 30, 2024 and 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 June 30, 2024 and December 31, 2023. 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 June 30, 2024 and December 31, 2023:
 
    
As of June 30, 2024
    
As of December 31, 2023
  
Exercise price
    $ 11.50     $ 11.50  
Stock price
    $ 10.72     $ 10.60  
Volatility
      5.4 %      5.1 % 
Risk-free rate
      4.24 %      3.77 % 
Dividend yield
      0.0 %      0.0 % 
 
The changes in the Level 3 fair value of the derivative warrant liabilities for the three and six months ended June 30, 2024 and 2023 are summarized as follows:
 
Balance as of December 31, 2023 - Level 3
   
$
432,700
 
Change in fair value of derivative warrant liabilities - Private Warrants
      —   
  
 
 
  
Balance as of March 31, 2024 - Level 3
   
 
432,700
 
Change in fair value of derivative warrant liabilities - Private Warrants
      —   
  
 
 
  
Balance as of June 30, 2024 - Level 3
   
$
432,700
 
  
 
 
  
Balance as of December 31, 2022 - Level 3
   
$
1,182,710
 
Change in fair value of derivative warrant liabilities - Private Warrants
      (288,470 ) 
  
 
 
  
Balance as of March 31, 2023 - Level 3
   
 
894,240
 
Change in fair value of derivative warrant liabilities - Private Warrants
      (432,690 ) 
  
 
 
  
Balance as of June 30, 2023 - Level 3
   
$
461,550