Fair Value Measurements

12 Months Ended

Dec. 31, 2023

Fair Value Measurements

Fair Value Measurements

Note 9—Fair Value Measurements

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

	As of December 31, 2022
	Level 1		Level 2		Level 3		Total
Assets:
Investments held in Trust Account	$	235,933,496	$	—	$	—	$	235,933,496
Total	$	235,933,496	$	—	$	—	$	235,933,496

On November 9, 2023, the Company instructed Continental, the trustee with respect to the Trust Account, to liquidate the investments held in the Trust Account and instead to hold the funds in the Trust Account in an interest-bearing demand deposit account at a bank, with Continental continuing to act as trustee. As a result, following the liquidation of investments in the Trust Account, the remaining proceeds from the Initial Public Offering, Over-Allotment Option and Private Placement are no longer invested in U.S. government securities or money market funds. As of December 31, 2023, the cash held in Trust Account no longer falls under the fair value hierarchy.

	As of December 31, 2023
	Level 1		Level 2		Level 3		Total
Liabilities:
Warrant liability – Public Warrants	$	230,000	$	—	$	—	$	230,000
Warrant liability - Private Placement Warrants		—		146,900		—		146,900
Total	$	230,000	$	146,900	$	—	$	376,900

	As of December 31, 2022
	Level 1		Level 2		Level 3		Total
Liabilities:
Warrant liability – Public Warrants	$	345,000	$	—	$	—	$	345,000
Warrant liability - Private Placement Warrants		—		220,350		—		220,350
Total	$	345,000	$	220,350	$	—	$	565,350

As of December 31, 2023 and 2022 estimated fair value of the Public Warrants was determined by their public trading price and the Private Placement Warrants estimated value was based on the public trading price of the Public Warrants. The reason for the Private Placement Warrants being estimated as the same value as the Public Warrants was because of the make-whole provisions, whereby, the Private Placement Warrants are subject to the same redemption rights as the Public Warrants (see Note 7). The estimated fair value of the Private Placement Warrants are determined using Level 2 inputs.

The Company utilized a compound option valuation model to estimate the fair value of the Prior Sponsor Working Capital Loan. Significant inputs to the valuation are as follows at each drawdown:

	July 6, 2023			July 7, 2023			July 13, 2023			July 13, 2023
Conversion price	$	1.00		$	1.00		$	1.00		$	1.00
Private warrant price	$	0.03		$	0.03		$	0.03		$	0.03
Volatility		3.20	%		3.20	%		3.20	%		3.20	%
Term		1.29			1.28			1.27			1.27
Risk-free rate		5.31	%		5.28	%		5.09	%		5.43	%
Dividend yield		0.00	%		0.00	%		0.00	%		0.00	%
Number of steps		50			50			50			50
Drawdown amount – cash value	$	39,585		$	19,602		$	98,089		$	1,692
Fair value	$	1,090		$	540		$	2,717		$	47

As noted in Note 5, the Prior Sponsor forgave the Prior Sponsor WCL Promissory Note on September 6, 2023. Significant inputs to the valuation are as follows at September 6, 2023:

	September 6, 2023
Conversion price	$	1.00
Private warrant price	$	0.07
Volatility		3.30	%
Term		1.12
Risk-free rate		5.39	%
Dividend yield		0.00	%
Number of steps		50
Total drawdowns date of forgiveness – cash value	$	158,968
Fair value	$	58,992

The following tables provides a summary of the changes in the fair value of the Company’s Level 3 financial instruments that are measured at fair value on a recurring basis for the year ended December 31, 2023 and 2022:

	Convertible promissory note – Prior Sponsor Working Capital Loan			Private Placement Warrants			Total
Fair value at  December 31, 2022	$	-		$	220,350		$	220,350
Proceeds from drawdown – cash value		158,968			-			158,968
Change in fair value of Private Placement Warrants					(73,450	)		(73,450	)
Transfer of Private Placement Warrants from Level 3 to Level 2					(146,900	)		(146,900	)
Change in fair value of convertible note		(99,976	)		-			(99,976	)
Forgiveness of convertible note moved to additional paid in capital		(58,992	)		-			(58,992	)
Fair value at December 31, 2023	$	-		$	-		$	-

	Private Placement Warrants
Fair value at  December 31, 2021	$	3,819,400
Change in fair value of Private Placement Warrants		(3,599,050	)
Transfer of Private Placement Warrants from Level 3 to Level 2		(220,350	)
Fair value at December 31, 2022	$	-

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.The Private Placement Warrants were transferred from Level 3 to Level 2 as of December 31, 2023 and 2022 because the fair value was based off the public trading price of the Public Warrants due to the make-whole provisions. The Private Placement Warrants were previously valued using a probability-adjusted Black Scholes pricing model.