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Fair Value Measurements | 12 Months Ended
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Dec. 31, 2023
Fair Value Disclosures [Abstract] |
Fair Value Measurements | NOTE 9— FAIR VALUE MEASUREMENTS Fair value is defined as the price that would be received for sale of an asset or paid for transfer of a liability, in an orderly transaction between market participants at the measurement date. GAAP establishes a three-tier fair value hierarchy, which prioritizes the inputs used in measuring fair value. The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). These tiers include:
| • |  | Level 1, defined as observable inputs such as quoted prices (unadjusted) for identical instruments in active markets;
| • |  | Level 2, defined as inputs other than quoted prices in active markets that are either directly or indirectly observable such as quoted prices for similar instruments in active markets or quoted prices for identical or similar instruments in markets that are not active; and
| • |  | Level 3, defined as unobservable inputs in which little or no market data exists, therefore requiring an entity to develop its own assumptions, such as valuations derived from valuation techniques in which one or more significant inputs or significant value drivers are unobservable.
The following table presents information about the Company’s assets and liabilities that are measured at fair value on a recurring basis at December 31, 2022 and 2021, and indicates the fair value hierarchy of the valuation inputs the Company utilized to determine such fair value:
Description: |  | Level |  |  | December 31, 2023 |  |  | Level |  |  | December 31, 2022 |
Assets: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Funds held in Trust Account |  |  | 1 |  |  | $ | — |  |  |  | 1 |  |  | $ | 290,718,297 |
Liabilities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Warrant liability—Public Warrants |  |  | 1 |  |  | $ | 27,743,750 |  |  |  | 1 |  |  | $ | 9,343,750 |
Warrant liability—Private Pl ac ement Warrants |  |  | 3 |  |  | $ | 11,470,000 |  |  |  | 3 |  |  | $ | 2,805,500 |
Convertible Pro m issory Notes—Related Parties |  |  | 3 |  |  | $ | 6,381,294 |  |  |  | 3 |  |  | $ | 1,409,730 |
Investments Held in Trust Account As of December 31, 2023 and 2022, investments in the Company’s Trust Account consisted of $63,558,404 in a demand deposit account (and are therefore not reflected in the table above) and $290,718,297 in U.S. Money Market funds that invest primarily in U.S. Treasury securities, respectively. Except as described below, there were no transfers between Levels 1, 2 or 3 during the years ended December 31, 2023 and 2022. Level 1 instruments include investments in money markets investing in U.S. Treasury securities. The Company uses inputs such as actual trade data, quoted market prices from dealers or brokers, and other similar sources to determine the fair value of its investments. Warrant Liabilities The fair value of warrants issued by the Company in connection with the Public Offering and Private Placement had been estimated using Monte-Carlo simulations at the initial measurement date up to the date when the Public Warrants started trading on April 19, 2021. For each subsequent measurement since April 19, 2021, the public warrants were measured at the Observable Quoted Price in Active Markets. Private warrants were measured using the Modified Black-Scholes Optional Pricing Model. The estimated fair value of the private warrant liability is determined using Level 3 inputs. Inherent in a binomial options pricing model are assumptions related to expected share-price volatility, expected life, risk-free interest rate and dividend yield. The Company estimates the volatility of its common stock based on historical volatility 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 to remain at zero. The aforementioned warrant liabilities are not subject to qualified hedge accounting. As Private Placement Warrants held by FL Co-Investment and Intrepid Financial Partners, will not be exercisable more than five years from the effective date of the registration statement, the exercise period end date is different than other Private Placement Warrants which will expire five years after the completion of the initial Business Combination or earlier upon redemption or liquidation. Accordingly, they have different inputs to the Modified Black-Scholes Optional Pricing Model. The following table provides quantitative information regarding Level 3 inputs used to determine the fair values of Private Placement Warrants as of December 31, 2023 and 2022.
|  | December 31, 2023 |  |  | December 31, 2022 |
Stock price |  | $ | 11.39 |  |  | $ | 10.05 |
Strike price |  | $ | 11.50 |  |  | $ | 11.50 |
Term (in years) |  |  | 2.15 |  |  |  | 3.15 |
Volatility |  |  | 5.3 | % |  |  | 0.0 | %
Risk-free rate |  |  | 4.11 | % |  |  | 4.12 | %
Dividend yield |  |  | 0.00 | % |  |  | 0.00 | %
The following table provides quantitative information regarding Level 3 fair value measurements used to determine the fair value of the Private Placement Warrants, excluding Private Placement Warrants held by FL Co-Investment and Intrepid Financial Partners, as of December 31, 2023 and 2022.
Inputs |  | December 31, 2023 |  |  | December 31, 2022 |
Stock price |  | $ | 11.39 |  |  | $ | 10.05 |
Strike price |  | $ | 11.50 |  |  | $ | 11.50 |
Term (in years) |  |  | 5.09 |  |  |  | 5.25 |
Volatility |  |  | 5.3 | % |  |  | 0.0 | %
Risk-free rate |  |  | 3.77 | % |  |  | 3.91 | %
Dividend yield |  |  | 0.00 | % |  |  | 0.00 | %
The following table presents the changes in the fair value of warrant liabilities:
|  | Public |  |  | Private Placement |  |  | Warrant Liabilities |
Fair value as of December 31, 2021 |  | $ | 8,625,000 |  |  | $ | 4,022,250 |  |  | $ | 12,647,250 |
Change in valuation inputs or other assumptions |  |  | 718,750 |  |  |  | (1,216,750 | ) |  |  | (498,000 | )
Fair value as of December 31, 2022 |  |  | 9,343,750 |  |  |  | 2,805,500 |  |  |  | 12,149,250 |
Change in valuation inputs or other assumptions |  |  | 18,400,000 |  |  |  | 8,664,500 |  |  |  | 27,064,500 |
Fair value as of December 31, 2023 |  | $ | 27,743,750 |  |  | $ | 11,470,000 |  |  | $ | 39,213,750 |
Convertible Promis s ory No te s – Related Parties The convertible promissory notes were valued using a combination of Black-Scholes and Geske models, which is considered to be primarily a Level 3 fair value measurement input. The estimated fair value of the Promissory Notes was based on the following significant inputs:
Inputs |  | 2023 Input (a) |  |  | December 31, 2023 |  |  | December 31, 2022 |
Exercise price |  |  | $      11.50 |  |  | $ | 11.50 |  |  | $ | 11.50 |
Volatility |  |  | 1.9% - 2.5 | % |  |  | 11.4 | % |  |  | 1.2 | %
Expected term to warrant expiration |  |  | 5.2 - 5.6 years |  |  |  | 5.1 years |  |  |  | 5.3 years |
Risk-free-rate |  |  | 3.39% - 4.17 | % |  |  | 3.77 | % |  |  | 3.91 | %
Dividend yield |  |  | 0 | % |  |  | 0 | % |  |  | 0 | %
Stock price |  |  | $ 10.13 - $10.39 |  |  | $ | 11.39 |  |  | $ | 10.05 |
(a) Represents the range of inputs utilized on the respective dates of the initial valuations of the various convertible note draws and extinguishments during the year ended December 31, 2023. The following table presents the changes in the fair value of the Level 3 Promissory Notes:
Fair value as of December 31, 2021 |  | $ | 956,115 |
Proceeds received through Convertible Promissory Note on March 29, 2022 |  |  | 335,000 |
Initial measurement of fair value of Promissory Note |  |  | (52,126 | )
Change in fair value of Promissory Notes |  |  | 170,741 |
Fair value as of December 31, 2022 |  | $ | 1,409,730 |
Principal amount of Promissory Notes amended on March 29, 2023 |  |  | 726,370 |
Initial measurement of fair value of Promissory Notes upon extinguishment of debt |  |  | (42,205 | )
Proceeds received through Convertible Promissory Notes on May 12, 2023, June 28, 2023, and August 30, 2023 |  |  | 1,080,000 |
Initial Measurement of fair value of Promissory Notes |  |  | (490,995 | )
Change in valuation inputs or other assumptions |  |  | 3,698,394 |
Fair value as of December 31, 2023 |  | $ | 6,381,294 |
There were no transfers in or out of Level 3 from other levels in the fair value hierarchy during the years ended December 31, 2023 and 2022.

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- 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. + References Reference 1: http://www.xbrl.org/2003/role/disclosureRef -Topic 820 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 2 -Publisher FASB -URI https://asc.fasb.org//1943274/2147482106/820-10-50-2 + Details
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