Fair Value Measurements

12 Months Ended

Dec. 31, 2023

Fair Value Measurements [Abstract]

FAIR VALUE MEASUREMENTS

NOTE 9. FAIR VALUE MEASUREMENTS

The following tables presents information about the Company’s assets and liabilities that were measured 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.

	December 31, 2023		Quoted Prices In Active Markets (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Other Unobservable Inputs (Level 3)
Assets:
Derivative Asset — Note Receivable	$	2,689,364			$	—	$	2,689,364
Liabilities:
Warrant Liability–Public Warrants		400,000	$	—		400,000		—
Warrant Liability–Private Placement Warrants		221,969		—		221,969		—
Working Capital Loans		675,934		—		—		675,934
Promissory Note-Related Party		491,502		—		—		491,502
Capital Contribution Note		2,200,291		—		—		2,200,291
Derivative Liability — Note Payable		2,689,364		—		—		2,689,364
Total	$	6,679,060	$	—	$	621,969	$	6,057,091

	December 31, 2022		Quoted Prices In Active Markets (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Other Unobservable Inputs (Level 3)
Assets
Cash and investments held in Trust Account - Trading Securities	$	304,086,289	$	304,086,289	$	—	$	—
	$	304,086,289	$	304,086,289	$	—	$	—
Liabilities
Warrant Liability – Public Warrants	$	42,000	$	42,000	$	—	$	—
Warrant Liability – Private Placement Warrants		26,660		—		26,660		—
	$	68,660	$	42,000	$	26,660	$	—

The warrants, Working Capital Loans, the Extension Note, the Capital Contribution Note and the October 2023 Subscription Agreement are accounted for as liabilities   in accordance with ASC 815-40 and are presented within warrant liabilities, Working Capital Loans, Convertible Promissory Note, Capital Contribution Note and Derivative Liability — Note Payable, respectively, in the accompanying balance sheets. The warrant liabilities, Working Capital Loans, Convertible Promissory Note, Capital Contribution Note and Derivative Liability — Note Payable are measured at fair value at inception and on a recurring basis, with changes in fair value presented in the statements of operations. The excess of proceeds over fair value at issuance was recorded as additional paid-in capital in the accompanying statements of shareholders’ equity. The excess of fair value over proceeds at issuance was recorded as expenses in the accompanying statement of operations.

Warrant Liability

The Company’s public and private warrant liabilities were valued using a Monte Carlo simulation at issuance date utilizing management judgment and pricing inputs from the quoted underlying ordinary shares. Significant deviations from these estimates and inputs could result in a material change in fair value. The fair value of the public and private warrant liabilities was initially classified as Level 3.

On November 4, 2022, the New York Stock Exchange (the “NYSE”) notified the Company, and publicly announced, that the NYSE determined to commence proceedings to delist the Company’s warrants, each whole warrant exercisable for one Class A ordinary share and listed to trade on the NYSE under the symbol “CHAA WS”, from the NYSE and that trading in the warrants would be suspended immediately, due to “abnormally low” trading price levels pursuant to Section 802.01D of the NYSE Listed Company Manual. The public warrants began to trade over-the counter (OTC) since then.

On March 23, 2023, the Company received approval to transfer the listing of Class A ordinary shares from the NYSE to the NYSE American and on March 28, 2023, the Class A ordinary shares began trading on the NYSE American under the symbol “CHAA”. In connection with the transfer, effective March 28, 2023, any remaining units were mandatorily separated into their component parts and the units are no longer traded on the NYSE.

The fair value of the public warrant liability was classified as Level 1 as of December 31, 2022 due to it publicly trading on NYSE. As of December 31, 2023, the fair value of the public warrant liability was re-classified as Level 2 due to the insufficient trading volume.

As of December 31, 2023 and 2022, the Private Placement Warrants were valued using a Monte Carlo model using the quoted underlying public warrants. Due to the observable inputs in the fair value estimation of the Private Placement Warrants, these inputs were classified as Level 2 as of December 31, 2023 and 2022.

The key inputs used in the Monte Carlo simulation for the Private Placement Warrants as of December 31, 2023 and 2022 were as follows:

Input	December 31, 2023			December 31, 2022
Public Warrant Price		0.040			0.004
Risk-free interest rate		5.17	%		4.74	%
Expected term (years)		5.13			5.31
Expected volatility		1.4	%		5.4	%
Stock price	$	11.13		$	10.09
Exercise price	$	11.50		$	11.50
Likelihood of Completing a Business Combination		60	%		50	%

Convertible Promissory Notes (Extension Note and Working Capital Loan)

Valuation of the Convertible Promissory Notes (which includes the $1.5 Million Convertible Promissory Note and the Extension Note) was determined using a discounted cash flow analysis based on the estimated timing of the initial business combination and classified as a Level 3 valuation. The key inputs or weighted average inputs, as applicable, for discounted cash flow analysis at initial draw dates and December 31, 2023 were as follows:

Input	December 31, 2023			Initial Draw Dates (February 22, 2023 - December 28, 2023)
Risk-free interest rate for warrant		3.84	%		3.54-4.89	%
Risk-free interest rate for debt		5.54	%		4.82-5.60	%
Term of Debt Conversion (years)		0.13			0.32-0.14
Term of Warrant Conversion (years)		5.00			5.00-5.80
Expected volatility		1.4	%		0.1-4.1	%
Iterated/Market Stock price	$	11.13		$	10.20-11.13
Exercise price of Warrants	$	11.5		$	11.5
Strike Price of Debt Conversion	$	1.5		$	1.5
Likelihood of Completing a Business Combination		60	%		40-100	%

Activity for the year ended December 31, 2023 for the Convertible Promissory Notes (which include the $1.5 Million Convertible Promissory Note and the Extension Note) was as follows:

	Extension Note			Working Capital Loan
Cash Proceeds from Convertible Promissory Notes	$	825,000		$	1,134,578
Excess of proceeds over fair value at issuance		(451,615	)		(591,849	)
Change in fair value		118,117			133,205
Fair value as of December 31, 2023	$	491,502		$	675,934

Capital Contribution Note

Valuation of the Capital Contribution Note was determined using a Probability Weighted Expected Return Method (“PWERM”) and classified as a Level 3 valuation. The PWERM is a multistep process in which value is estimated based on the probability -weighted present value of various future outcomes. The key inputs or weighted average inputs, as applicable, for PWERM at December 31, 2023 and the initial draw dates of March 24, 2023 and May 24, 2023 were as follows:

Input	December 31, 2023			Initial Draws
Risk-free interest rate		5.50	%		4.6-4.84	%
Estimated Term (years)		0.13			0.72-1.34
Expected volatility		1.4	%		2.6-3.4	%
Iterated/Market Stock price	$	11.13		$	10.23-10.33
Likelihood of Completing a Business Combination		60	%		40	%
Consideration for the Capital Call(s)- in shares		300,000			300,000

Activity for the period ended December 31, 2023 for the Capital Contribution Note was as follows:

	Polar
Cash Proceeds from Capital Contribution Note	$	300,000
Excess of fair value over proceeds at issuance		1,059,720
Change in fair value		840,571
Fair value of the Capital Contribution Note as of December 31, 2023	$	2,200,291

Derivative Liability — Note Payable

Valuation of the Derivative Liability — Note Payable was determined using a Black -Scholes model with the remaining term, associated risk -free rate, share price, comparable guideline company volatility and no expected dividends. The key inputs for Black -Scholes model at the initial draw date of October 25, 2023 and December 31, 2023 were as follows:

Input	December 31, 2023			October 25, 2023
Risk-free interest rate		5.50	%		5.6	%
Estimated Term (years)		0.13			0.31
Expected volatility		38.1	%		35.5	%
Iterated/Market Stock price	$	11.13		$	10.95
Fair Value of 1.5% Shares of Crown		6,606,000			6,606,000
Exercise Price	$	750,000		$	750,000

The fair value of 1.5% Shares of Crown is based on a $600 million equity value of a 100% interest in Crown. The Company adjusted this value based on a discount of 26.6% for lack of marketability.

Activity for the period ended December 31, 2023 for the Derivative Liability — Note Payable was as follows:

	Polar
Fair value of Derivative Liability — Note Payable at initial withdrawal day, October 25, 2023	$	2,667,828
Change in fair value		21,536
Fair value of the Derivative Liability — Note Payable as of December 31, 2023	$	2,689,364