Quarterly report pursuant to Section 13 or 15(d)

Fair Value Measurement

v3.23.3
Fair Value Measurement
 9 Months Ended
Sep. 30, 2023
Fair Value Measurement [Abstract]  
Fair Value Measurement
Note 10 – Fair Value Measurement


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.


In some circumstances, the inputs used to measure fair value might be categorized within different levels of the fair value hierarchy. In those instances, the fair value measurement is categorized in its entirety in the fair value hierarchy based on the lowest level input that is significant to the fair value measurement.

The following table presents information about the Company’s assets and liabilities that are measured at fair value on a recurring basis at September 30, 2023, and indicates the fair value hierarchy of the valuation inputs the Company utilized to determine such fair value:
 
  
Level 1
    
Level 2
    
Level 3
    
Total
  
Assets:
                        
Assets Held in Trust
  
$
245,076,817
    
$
-
    
$
-
    
$
245,076,817
  
Liabilities:
                                
Warrant Liabilities:
                                
Public Warrants
  
$
345,000
    
$
-
    
$
-
    
$
345,000
  
Private Placement Warrants
    
-
      
-
      
214,380
      
214,380
  
Total Warrant Liabilities
  
$
345,000
    
$
-
    
$
214,380
    
$
559,380
  


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 indicates the fair value hierarchy of the valuation inputs the Company utilized to determine such fair value:
 
  
Level 1
    
Level 2
    
Level 3
    
Total
  
Assets:
                        
Assets Held in Trust
  
$
235,578,275
    
$
-
    
$
-
    
$
235,578,275
  
Liabilities:
                                
Warrant Liabilities:
                                
Public Warrants
  
$
690,000
    
$
-
    
$
-
    
$
690,000
  
Private Placement Warrants
    
-
      
-
      
428,760
      
428,760
  
Total Warrant Liabilities
  
$
690,000
    
$
-
    
$
428,760
    
$
1,118,760
  


The Warrants are accounted for as liabilities in accordance with ASC 815-40 and are presented within warrant liabilities on the 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 Statements of Operations.

Initial and Subsequent Measurement

The Company established the initial fair value for the Public Warrants and the Private Placement Warrants on October 13, 2021, the date of the Company’s Initial Public Offering, using a Monte Carlo simulation model. The Company allocated the proceeds received from (i) the sale of Units (which is inclusive of one share of Class A ordinary share and one-fifth of one Public Warrant), and (ii) the sale of Private Placement Warrants, first to the Warrants based on their fair values as determined at initial measurement, with the remaining proceeds allocated to shares of Class A ordinary share subject to possible redemption based on their relative fair values at the initial measurement date. The Public Warrants and the Private Placement Warrants were classified as Level 3 at the initial measurement date due to the use of unobservable inputs. For periods subsequent to the detachment of the Public Warrants from the Units, which occurred on November 29, 2021, the Public Warrants were valued using the instrument’s publicly listed trading price on the NYSE as of the balance sheet date, which is considered to be a Level 1 measurement due to the use of an observable market quote in an active market.

The key inputs into the Monte Carlo Simulation Model for the Private Placement Warrants were as follows on September 30, 2023 and December 31, 2022:

Input
  
September 30,
2023
   
December 31,
2022
 
Share Price
  
$
10.66
    
$
10.10
  
Exercise Price
  
$
11.50
    
$
11.50
  
Risk-free rate of interest
    
4.50
%
    
3.91
%
Volatility
    
7.4
%
    
4.5
%
Term
    
6.04
      
5.29
  
Probability Weighted Fair Value of Warrants
  
$
0.03
    
$
0.06
  


The Warrants were valued using a Monte Carlo Simulation Model, which is considered to be a Level 3 fair value measurement. The Modified Black Scholes model’s primary unobservable input utilized in determining the fair value of the Warrants is the expected volatility as of the IPO date, which was derived from observable warrant pricing on comparable ‘blank-check’ companies without an identified target. The expected volatility as of subsequent valuation dates was implied from the Company’s own public warrant pricing.

The following table presents the changes in the fair value of Level 3 warrant liabilities:
 
  
Private Placement Warrants
  
Fair value as of December 31, 2022
  
$
428,760
  
Change in fair value
    
(285,840
)
Fair value as of March 31, 2023   $ 142,920  
Change in fair value     71,460  
Fair value as of June 30, 2023   $ 214,380  
Change in fair value     -  
Fair value as of September 30, 2023   $ 214,380  

Conversion Option Liability


The liability for the conversion option was valued using a Black-Scholes Option Pricing Model, which is considered to be a Level 3 fair value measurement. The Black Scholes model’s primary unobservable input utilized in determining the fair value of the conversion option is the expected volatility of the ordinary shares. During the nine months ended September 30, 2023 and 2022, there were no changes in the fair value of the conversion option liability. As of September 30, 2023 and December 31, 2022, the fair value of the conversion feature was di minimis.