Quarterly report pursuant to Section 13 or 15(d)

Fair Value Measurement (Tables)

v3.23.3
Fair Value Measurement (Tables)
9 Months Ended
Sep. 30, 2023
Fair Value Measurement [Abstract]  
Assets and Liabilities Measured at Fair Value on Recurring Basis

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
 
Level 3 Fair Value Measurement Inputs of Private Placement Warrants

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
 
Changes in Fair Value of Warrant Liabilities

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