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Fair Value Measurements

12 Months Ended

Dec. 31, 2023

Fair Value Measurements

Fair Value Measurements

Note 9.Fair Value Measurements

Recurring Fair Value Measurements

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


		December 31, 2023
		(Level 1)			(Level 2)			(Level 3)
Assets
Marketable securities held in trust account		$	44,709,805		$	—		$	—
Liabilities
Public Warrants		$	287,500		$	—		$	—
Private Placement Warrants		$	—		$	293,000		$	—


		December 31,2022
		(Level 1)			(Level 2)			(Level 3)
Assets
Marketable securities held in trust account		$	237,984,513		$	—		$	—
Liabilities
Public Warrants		$	261,050		$	—		$	—
Private Placement Warrants		$	—		$	266,000		$	—

At December 31, 2023 and 2022, the Company’s warrant liability was valued at $580,500 and $527,050, respectively. Under the guidance in ASC 815-40, the Public Warrants and the Private Placement Warrants do not meet the criteria for equity treatment. As such, the Public Warrants and the Private Placement Warrants must be recorded on the balance sheet at fair value. The fair value of the Public Warrants and Private Placement Warrants are subject to re-measurement at each balance sheet date. With each re-measurement, the Public Warrants and Private Placement Warrants are adjusted to fair value, with the change in fair value recognized in the Company’s statement of operations.

The following table presents fair value information for the Company’s financial assets and liabilities that were accounted for at fair value on a recurring basis as of December 31, 2023 and 2022, and indicates the fair value hierarchy of the valuation techniques the Company utilized to determine such fair value. The Company’s warrant liability is based on a valuation model utilizing management judgment and pricing inputs from observable and unobservable markets with less volume and transaction frequency than active markets. Significant deviations from these estimates and inputs could result in a material change in fair value.


					Private						Share
		Public			Placement			Warrant			Redemptions
		Warrants			Warrants			Liability			Payable
Derivative warrant liabilities as of December 31,2021		$	8,521,000		$	8,695,000		$	17,216,000		$	—
Change in fair value			(8,259,950)			(8,429,000)			(16,688,950)			—
Derivative warrant liabilities as of December 31, 2022			261,050			266,000			527,050			—
Establishment of share repurchase liability			—			—			—			197,694,657
Share repurchase payment			—			—			—			(197,694,657)
Change in fair value			26,450			27,000			53,450			—
Derivative warrant liabilities as of December 31, 2023		$	287,500		$	293,000		$	580,500		$	—

Measurement

The Company established the initial fair value for the warrants on December 14, 2021, the date of the consummation of the Company’s IPO. The Company allocated the proceeds received from (i) the sale of Units (which is inclusive of one share of Class A common stock and one-half of one Public Warrant), (ii) the sale of Private Placement Warrants, and (iii) the issuance of Class B common stock, first to the warrants based on their fair values as determined at initial measurement, with the remaining proceeds allocated to Class A common stock subject to possible redemption (temporary equity), Class A common stock (permanent equity) and

Class B common stock (permanent equity) based on their relative fair values at the initial measurement date. As of December 31, 2023, the Public Warrants have detached from the Units and are separately tradable on the New York Stock Exchange (PORT.W). The closing price of the Public Warrants was utilized in determining the fair value of the Public Warrants as of December 31, 2023.

The key inputs into the Monte Carlo simulation formula used to value the Private Placement Warrants were as follows at December 31, 2023 and 2022:


			December 31,
Inputs:			2023			2022
Common stock price		$	10.64		$	10.18
Exercise price		$	11.50		$	11.50
Risk-free rate of interest			3.81	%		3.95	%
Volatility			0.00	%		0.00	%
Term			5.21			5.25
Warrant to buy one share (adjusted for the probability of dissolution)		$	0.03		$	0.02
Dividend yield			0.00	%		0.00	%

Non-recurring Fair Value Measurements

On May 25, 2023, the Company and the Sponsor entered into Non-Redemption Agreements with unaffiliated third parties (see Note 8). The Company accounts for the excess fair value of the Class B shares transferred from the Sponsor to the unaffiliated third parties as a capital contribution by the Sponsor and recorded a financing expense in accordance with SAB Topic 5T. The Company estimated the fair value of the 500,000 Class B shares transferred upon the consummation of the extension of the deadline to complete a business combination from June 14, 2023 to September 14, 2023 at $387,000, or $0.77 per share. In connection with the subsequent extensions to January 14, 2024, the Sponsor transferred an additional 666,664 Class B shares to the unaffiliated third parties under the terms of the Non-Redemption Agreements. The Company estimated the fair value of the 166,666 Class B shares transferred at $0.82 to $0.83 per share.

The fair value of the Class B shares was determined by multiplying the underlying stock price of the Company’s Class A common stock by the estimated probability of an Initial Business Combination and applying a discount for lack of marketability (“DLOM”). The Company utilized June 9, 2023, the date of the consummation of the Extension, as the measurement date for the transfer of the 500,000 Class B shares and September 30, 2023, October 11, 2023, November 14, 2023 and December 13, 2023 as the measurement dates for the transfer of the 166,666 Class B shares (666,664 Class B shares in the aggregate) transferred in connection with the Subsequent Extensions, respectively.

The following are the key inputs into the calculations at the measurement dates:


		June 9,			September 30,			October 11,			November 14,			December 13,
Inputs:		2023			2023			2023			2023			2023
Common stock price		$	10.54		$	10.56		$	10.57		$	10.60		$	10.62
Estimated probability of an Initial Business Combination			10.00	%		10.00	%		10.00	%		10.00	%		10.00	%
Estimated volatility			76.56	%		65.96	%		64.90	%		63.91	%		65.52	%
Risk-free rate			5.10	%		5.39	%		5.31	%		5.17	%		4.88	%
Time to expiration			1.00			1.00			1.00			1.00			1.00

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.

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