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Fair Value Measurements
 12 Months Ended
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, 2023 and 2022, 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 Placement Warrants
     
3
     
$
11,470,000
       
3
     
$
2,805,500
  
Convertible Promissory 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 Promissory Notes – 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.