Fair Value Measurements |
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| Fair Value Measurements | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| Fair Value Measurements | Note 8 — Fair Value Measurements
The fair value of the Company’s financial assets and liabilities reflects management’s estimate of the amounts that would be 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 determining fair value, management maximizes the use of observable inputs (e.g., market data obtained from independent sources) and minimizes the use of unobservable inputs (e.g., internal assumptions regarding market participant pricing of assets and liabilities). The Company uses the following fair value hierarchy to classify its assets and liabilities:
Level 1: Quoted prices (unadjusted) in active markets for identical assets or liabilities.
Level 2: Observable inputs other than quoted prices included in Level 1. These include quoted prices for similar assets or liabilities in active markets and inputs other than quoted prices that are observable for the asset or liability.
Level 3: Unobservable inputs for the asset or liability. These inputs reflect the entity’s own assumptions about market participant assumptions.
The following tables present information about the Company’s assets and liabilities measured at fair value on a recurring basis as of December 31, 2024, and December 31, 2023, indicating the level within the fair value hierarchy:
At December 31, 2024 and December 31, 2023, $1,967,696 and $0, of the balance held in the Trust Account was held in cash, respectively. The following table presents information about the Company’s liabilities that are measured at fair value on a recurring basis at December 31, 2024 and December 31, 2023 and indicates the fair value hierarchy of the valuation inputs the Company utilized to determine such fair value.
The Company accounts for its warrants as liabilities in accordance with ASC 815-40. These warrant liabilities are initially measured at fair value and subsequently remeasured on a recurring basis, with changes in fair value recognized in the statement of operations.
Initial Measurement and Subsequent Measurement
The Company established the initial fair value for the Public Warrants on December 21, 2020, the date of the consummation of the Company’s Initial Public Offering, using a Monte Carlo simulation model. Proceeds received from (i) the sale of Units (each comprising one Class A ordinary share and one-third of one Public Warrant), (ii) the sale of Private Placement Warrants, and (iii) the issuance of Class B ordinary shares were allocated first to the warrants based on their fair values determined at initial measurement, with the remaining proceeds allocated to Class A and Class B ordinary shares based on their relative fair values as of that date. The Public Warrants were classified as Level 3 at initial measurement due to the use of significant unobservable inputs.
The Public Warrants are remeasured at fair value on a recurring basis. As of December 31, 2023, the subsequent measurement was classified as Level 1, reflecting quoted prices in an active market since February 8, 2021. Following the delisting of the Public Warrants on August 14, 2024, with the last Nasdaq trading price recorded at market close on August 13, 2024, the subsequent measurement of the Public Warrants as of December 31, 2024, is classified as Level 3. Although the last traded price was used as an initial reference, the final valuation was determined using a Monte Carlo simulation model that estimates the fair value of similar asset classes as of December 31, 2024.
The Private Placement Warrants, which had previously been measured using Level 2 inputs, were also valued using Modified Black-Scholes model. However, as part of the sponsor change on August 15, 2024, these warrants were cancelled and removed from the balance sheet.
The key inputs into the Monte Carlo simulation model for the Public Warrants as of December 31, 2024, were as follows:
Using these inputs, the Public Warrants were determined to have a fair value of $0.03 per warrant, resulting in an aggregate value of approximately $266,667 as of December 31, 2024. As of December 31, 2023, the Public Warrants were valued at $0.06 per warrant for an aggregate value of approximately $826,666, and the Private Placement Warrants were valued at $0.06 per warrant for an aggregate value of approximately $471,200.
The following table presents the changes in the fair value of warrant liabilities:
The change in fair value of the Level 3 warrant liabilities for the year ended December 31, 2024 is summarized as follows:
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