XML 91 R18.htm IDEA: XBRL DOCUMENT v3.24.1.u1
Fair Value Measurements
 12 Months Ended
Dec. 31, 2023
Fair Value Measurements [Abstract]  
FAIR VALUE MEASUREMENTS

NOTE 10. 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 an assessment of the assumptions that market participants would use in pricing the asset or liability.

 

At December 31, 2023, assets held in the Trust Account were comprised of $6,218,429 in money market funds which are primarily invested in U.S. Treasury securities. During the year ended December 31, 2023, the Company withdrew an aggregate of $288,183,427 from the Trust Account be used for redemption payments in connection with the Extension, Delaware franchise tax, and income tax obligations.

 

At December 31, 2022, assets held in the Trust Account were comprised of $290,646,467 in money market funds which are primarily invested in U.S. Treasury securities. During the year ended December 31, 2022, the Company withdrew $871,000 in interest income from the Trust Account.

 

The Company uses inputs such as actual trade data, benchmark yields, quoted market prices from dealers or brokers, and other similar sources to determine the fair value of its money market investments held in the Trust Account.

 

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		   December 31,
2022		 
Assets:             
Investments held in Trust Account  1  $6,218,429   $290,646,467 
Liabilities:             
Warrant Liabilities – Public Warrants  2  $1,341,667   $95,833 
Warrant Liabilities – Private Placement Warrants  3  $700,000   $50,000 
Convertible promissory notes – related party  3  $n/a   $88,850 

 

Warrant Liabilities

 

The Warrants were accounted for as liabilities in accordance with ASC 815-40 and are presented within warrant liabilities on the Company’s accompanying consolidated balance sheets. The warrant liabilities are measured at fair value at inception and on a recurring basis, with changes in fair value presented within change in fair value of warrant liabilities in the consolidated statements of operations. For the Public Warrants, the Company initially utilized a binomial lattice model consistent with the Private Warrants discussed below. The subsequent measurements of the Public Warrants after the detachment of the Public Warrants from the Units are classified as Level 1 due to the use of an observable market quote in an active market.

 

For the Private Placement Warrants, the Company utilizes a lattice model, specifically a binomial lattice model incorporating the Cox-Ross-Rubenstein methodology, to value the warrants at each reporting period, with changes in fair value recognized in the consolidated statements of operations. The estimated fair value of the 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 shares of 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 remaining at zero.

 

The key inputs for the binomial lattice model as of December 31, 2023 and 2022 were as follows:

 

Input  As of
December 31,
2023		   As of
December 31,
2022		 
Stock price  $10.58   $10.02 
Strike price  $11.50   $11.50 
Effective expiration date   September 17, 2024    September 17, 2023 
Volatility   Immaterial    7.0%
Risk-free rate   4.34%   4.69%
Dividend yield   0.0%   0.0%

 

The following tables present the changes in the fair value of warrant liabilities classified as Level 3 in the fair value hierarchy as of December 31, 2023 and 2022:

 

   Private
Placement		 
Fair value as of January 1, 2023  $50,000 
Change in valuation inputs or other assumptions   650,000 
Fair value as of December 31, 2023  $700,000 

 

   Private
Placement		 
Fair value as of January 1, 2022  $2,497,500 
Change in valuation inputs or other assumptions   (2,447,500)
Fair value as of December 31, 2022  $50,000 

 

Transfers to/from Levels 1, 2 and 3 are recognized at the end of the reporting period in which a change in valuation technique or methodology occurs. There were no transfers in or out of Level 3 from other levels in the fair value hierarchy that occurred during the year ended December 31, 2023 and 2022. The Public Warrants were transferred from Level 1 to Level 2 at December 31, 2022 due to the lack of trading activity.

 

Convertible Promissory Notes – Related Party

 

The fair value of the option to convert the convertible promissory notes into Private Warrants was valued by utilizing a discounted cash flow method to value the debt component and a Black-Scholes model to value the debt conversion option to derive the fair value of the convertible notes.

 

The estimated fair value of the convertible promissory notes was based on the following significant inputs:

 

Input  As of
December 31,
2022		 
Stock price  $10.02 
Strike price  $11.50 
Expiration date of warrants   September 17, 2023 
Volatility   7.0%
Risk-free rate   4.69%
Dividend yield   0.0%

 

The following tables present the changes in the fair value of the Level 3 convertible promissory notes:

 

Fair value as of January 1, 2023  $88,850 
Restatement of Convertible Promissory Note   (88,850)
Fair value as of December 31, 2023  $
—
 

 

Fair value as of January 1, 2022  $
—
 
Proceeds received through Convertible Promissory Note   900,000 
Change in fair value   (811,150)
Fair value as of December 31, 2022  $88,850 

 

There were no transfers in or out of Level 3 from other levels in the fair value hierarchy during the year ended December 31, 2023 and 2022 for the convertible promissory notes.