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Fair Value Measurements
 9 Months Ended 12 Months Ended
Sep. 30, 2024
Dec. 31, 2023
Fair Value Measurements [Abstract]    
FAIR VALUE MEASUREMENTS

NOTE 14 — FAIR VALUE MEASUREMENTS

The Company follows the guidance in ASC 820 for its financial assets and liabilities that are re-measured and reported at fair value at each reporting period and non-financial 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 —

  

quoted prices in active markets for identical assets or liabilities. An active market for an asset or liability is a market in which transactions for the asset or liability occur with sufficient frequency and volume to provide pricing information on an ongoing basis.
   

Level 2 —

  

observable inputs other than Level 1 inputs. Examples of Level 2 inputs include quoted prices in active markets for similar assets or liabilities and quoted prices for identical assets or liabilities in markets that are not active.
   

Level 3 —

  

unobservable inputs based on our assessment of the assumptions that market participants would use in pricing the asset or liability.

The following table presents information about the Company’s liabilities that are measured at fair value at September 30, 2024 and December 31, 2023, and indicates the fair value hierarchy of the valuation inputs the Company utilized to determine such fair value:

Description:

  

Level

  

September 30,
2024

  

December 31,
2023

Derivative Liabilities:

      

 

    

 

  

Forward purchase agreement

  

3

  

$

3,402,100

  

$

—

Warrants – Series A and B

  

3

  

$

6,645,365

  

$

—

Warrants – Series C and D

  

3

  

$

9,219,250

  

$

—

Forward purchase agreement

The Company used a Monte Carlo analysis to determine the fair value of the FPA, assuming a total number of Additional Shares of 9,543,002. The model measured the total present value of the Company’s proceeds at approximately $98,282 and the total present value of the Company’s liability at approximately $3,500,369, resulting in a net liability of approximately $3,402,100 as of September 30, 2024.

The fair value measurement of the FPA at February 2, 2024 and September 30, 2024, was calculated using the following range of weighted average assumptions:

  

September 30,
2024

  

February 2,
2024

Risk-free interest rate

  

 

3.63

%

  

 

4.14

%

Stock price

  

$

0.37

 

  

$

4.53

 

Expected life

  

 

2.1 years

 

  

 

2.8 years

 

Expected volatility of underlying stock

  

 

107.5

%

  

 

70.0

%

Dividends

  

 

0

%

  

 

0

%

Warrants — Series A and B

The Company utilized a Monte Carlo simulation analysis to determine the fair value of the Series A Warrants and Series B Warrants at the date of issuance on March 15, 2024, which included the following assumptions:

  

Series A
Warrants

  

Series B
Warrants

Expected term (in years)

  

 

5.7 years

 

  

 

5.7 years

 

Stock price

  

$

1.74

 

  

$

1.74

 

Risk free rate

  

 

4.2

%

  

 

4.2

%

Expected volatility

  

 

82.5

%

  

 

82.5

%

Expected dividend rate

  

$

0.00

 

  

$

0.00

 

Exercise Price

  

$

0.75

 

  

$

0.0001

 

The Company utilized a Monte Carlo simulation analysis to determine the fair value of the Series A Warrants and Series B Warrants at September 30, 2024, which included the following assumptions:

  

Series A
Warrants

  

Series B
Warrants

Expected term (in years)

  

 

5.2 years

 

  

 

5.2 years

 

Stock price

  

$

0.37

 

  

$

0.37

 

Risk free rate

  

 

3.6

%

  

 

3.6

%

Expected volatility

  

 

105

%

  

 

105

%

Expected dividend rate

  

$

0.00

 

  

$

0.00

 

Exercise Price

  

$

0.3274

 

  

$

0.0001

 

The fair value of the Series A Warrants and Series B Warrants as of September 30, 2024, was $6,502,710 and $142,655, respectively. This resulted in a gain from the change in fair value of derivatives of $5,383,585, $6,093,635 and a gain (loss) from the issuance of warrants of $0, and $(17,820,998) for the three and nine months ended September 30, 2024, respectively. As of September 30, 2024, investors received 466,000 and 5,364,046 common shares from exercise of Series A and Series B warrants, respectively.

Warrants — Series C and D

The Company utilized a Monte Carlo simulation analysis to determine the fair value of the Series C Warrants and Series D Warrants at the date of issuance (August 30, 2024), which included the following assumptions:

  

Series C
Warrants

  

Series D
Warrants

Expected term (in years)

  

 

5.6 years

 

  

 

5.6 years

 

Stock price

  

$

0.32

 

  

$

0.32

 

Risk free rate

  

 

3.7

%

  

 

3.7

%

Expected volatility

  

 

105.0

%

  

 

105.0

%

Expected dividend rate

  

$

0.00

 

  

$

0.00

 

Exercise Price

  

$

0.3274

 

  

$

0.0001

 

The Company utilized a Monte Carlo simulation analysis to determine the fair value of the Series C Warrants and Series D Warrants at September 30, 2024, which included the following assumptions:

  

Series C
Warrants

  

Series D
Warrants

Expected term (in years)

  

 

5.5 years

 

  

 

5.5 years

 

Stock price

  

$

0.37

 

  

$

0.37

 

Risk free rate

  

 

3.6

%

  

 

3.6

%

Expected volatility

  

 

105.0

%

  

 

105.0

%

Expected dividend rate

  

$

0.00

 

  

$

0.00

 

Exercise Price

  

$

0.3274

 

  

$

0.0001

 

The fair value of the Series C Warrants and Series D Warrants as of September 30, 2024, was $8,160,300 and $1,058,950, respectively. This resulted in a gain (loss) from the change in fair value of derivatives and issuance of warrants of $435,550 and $(9,654,799) for the three and nine months ended September 30, 2024. As of September 30, 2024, investors have not exercised any Series C and Series D warrants.

The table below provides a summary of the changes in fair value, including net transfers in and/or out, of all financial assets and liabilities measured at fair value on a recurring basis using significant unobservable inputs (Level 3) during the nine months ended September 30, 2024.

Forward Purchase Agreement

  

Fair Value
Measurement
Using Level 3
Inputs Total

Balance, December 31, 2023

  

$

—

 

Initial measurement, February 2, 2024

  

 

20,889,950

 

Change in fair value

  

 

(249,350

)

Balance, March 31, 2024

  

 

20,640,600

 

Change in fair value

  

 

(15,824,800

)

Balance, June 30, 2024

  

 

4,815,800

 

Change in fair value

  

 

(1,413,700

)

Balance, September 30, 2024

  

 

3,402,100

 

Warrants – Series A and B

  

Fair Value
Measurement
Using Level 3
Inputs Total

Balance, December 31, 2023

  

$

—

 

Initial measurement, March 15, 2024

  

 

12,739,000

 

Change in fair value

  

 

8,431,850

 

Balance, March 31, 2024

  

 

21,170,850

 

Change in fair value

  

 

(9,141,900

)

Balance, June 30, 2024

  

 

12,028,950

 

Change in fair value

  

 

(5,383,585

)

Balance, September 30, 2024

  

 

6,645,365

 

Warrants — Series C and D

  

Fair Value
Measurement
Using Level 3
Inputs Total

Balance, December 31, 2023

  

$

—

 

Initial measurement, August 30, 2024

  

 

9,654,800

 

Change in fair value

  

 

(435,550

)

Balance, September 30, 2024

  

 

9,219,250

 

HBC earnout shares

The Company utilized a Monte Carlo simulation analysis to determine the fair value of the Earnout Shares at the date of the Merger, which included the following assumptions: stock price of $4.53, risk free rate of 3.98%, volatility of 85%, dividends yield of 0% and duration of 4 years.

NOTE 9 — FAIR VALUE MEASUREMENTS

The Company follows the guidance in ASC 820 for its financial assets and liabilities that are re-measured and reported at fair value at each reporting period and non-financial 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 —

  

quoted prices in active markets for identical assets or liabilities. An active market for an asset or liability is a market in which transactions for the asset or liability occur with sufficient frequency and volume to provide pricing information on an ongoing basis.
   

Level 2 —

  

observable inputs other than Level 1 inputs. Examples of Level 2 inputs include quoted prices in active markets for similar assets or liabilities and quoted prices for identical assets or liabilities in markets that are not active.
   

Level 3 —

  

unobservable inputs based on our assessment of the assumptions that market participants would use in pricing the asset or liability.

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

Description:

  

Level

  

December 31,
2023

  

December 31,
2022

Assets:

      

 

    

 

  

Cash and investments held in Trust Account

  

1

  

$

42,994,274

  

$

127,782,882

Derivative asset

  

3

  

$

28,245,500

  

$

—

Derivative liabilities

  

3

  

$

46,728,596

  

$

—

The derivative liabilities includes the FPA and NRA of $35,576,596 and $11,152,000, respectively at December 31, 2023. The derivative asset relates to the FPA at December 31, 2023.

The Company used a Monte Carlo analysis to determine the fair value of the FPA and NRA. The fair value measurement of the FPA and the NRA liability at December 31, 2023, was calculated using the following range of weighted average assumptions:

 

December 31,
2023

Risk-free interest rate (FPA)

  

3.85

%

Expected life of over-allotment option (FPA)

  

5.4 years

 

Expected volatility of underlying stock (FPA)

  

75

%

Dividends (FPA)

  

0

%

Probability of merger closing (FPA and NRA)

  

80

%

The 123,500 Representative Shares have a grant date fair value of $6.29 per share or an aggregate of $776,815. The Company measured the fair value of the Representative Shares on the grant date of the award utilizing a valuation model which considers certain assumptions. These assumptions include the offering price, the marketability of the Company and the probability of initial business combination, which were considered Level 3 inputs. Upon the Initial Public Offering, such amounts were allocated to offering costs within stockholders’ equity (deficit).