FAIR VALUE MEASUREMENTS

6 Months Ended

Jun. 30, 2023

NOTE 9 — FAIR VALUE MEASUREMENTS

The following table presents information about the Company’s assets and liabilities that are measured at fair value on a recurring basis at June 30, 2023 and December 31, 2022 and indicates the fair value hierarchy of the valuation inputs the Company utilized to determine such fair value:

Description	Level		June 30, 2023		December 31, 2022
Assets:
Money Market		1	$	3,027	$	—
Cash and marketable securities held in Trust Account		1	$	43,679,931	$	297,619,343

Liabilities:
Warrant liability – Public Warrants		1		287,500		287,500
Warrant liability – Private Placement Warrants		3		260,000		260,000

The Warrants were accounted for as liabilities in accordance with ASC 815-40 and are presented within warrant liabilities in the accompanying balance sheets. The warrant liabilities are measured at fair value at inception and on a recurring basis, with changes in fair value presented within the condensed statements of operations.

The Warrants were valued using a binomial lattice model, incorporating the Cox-Ross-Rubenstein methodology, which is considered to be a Level 3 fair value measurement. The binomial lattice model’s primary unobservable input utilized in determining the fair value of the Warrants is the expected volatility of the ordinary shares. The expected volatility as of the closing date of the Initial Public Offering date was derived from observable public warrant pricing on comparable ‘blank-check’ companies without an identified target. The subsequent measurements of the Public Warrants after the detachment of the Public Warrants from the Units is classified as Level 1 due to the use of an observable market quote in an active market under the ticker HCMAW. For periods subsequent to the detachment of the Public Warrants from the Units, the close price of the Public Warrant price was used as the fair value of the Public Warrants as of each relevant date. The Private Warrants continue to be measured using the Cox-Ross-Rubenstein binomial lattice model methodology.

The following table provides quantitative information regarding Level 3 fair value measurements:

	June 30, 2023				December 31, 2022
Stock price		$	10.65		$	10.26
Exercise price		$	11.50		$	11.50
Expected term (in years)			5.0			5.0
Volatility	immaterial			%		5.9	%
Risk-free rate			5.38	%		4.69	%
Dividend yield			0.0	%		0.0	%

The following table presents the changes in the fair value of Level 3 warrant liabilities:

	Private Placement			Public			Warrant Liabilities
Initial measurement on January 25, 2022	$	6,370,000		$	7,043,750		$	13,413,750
Change in fair value		(6,110,000	)		(4,168,750	)		(10,278,750	)
Transfer to Level 1		—			(2,875,000	)		(2,875,000	)
Fair value as of December 31, 2022	$	260,000		$	—		$	260,000
Change in fair value		130,000			—			130,000
Fair value as of March 31, 2023	$	390,000		$	—		$	390,000
Change in fair value		(130,000	)		—			(130,000	)
Fair value as of June 30, 2023	$	260,000		$	—		$	260,000

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 transfers in or out of Level 3 in the amount of $2,875,000 from other levels in the fair value hierarchy for the period from January 25, 2022 (initial public offering) through December 31, 2022.

- Definition

The entire disclosure for the fair value of financial instruments (as defined), including financial assets and financial liabilities (collectively, as defined), and the measurements of those instruments as well as disclosures related to the fair value of non-financial assets and liabilities. Such disclosures about the financial instruments, assets, and liabilities would include: (1) the fair value of the required items together with their carrying amounts (as appropriate); (2) for items for which it is not practicable to estimate fair value, disclosure would include: (a) information pertinent to estimating fair value (including, carrying amount, effective interest rate, and maturity, and (b) the reasons why it is not practicable to estimate fair value; (3) significant concentrations of credit risk including: (a) information about the activity, region, or economic characteristics identifying a concentration, (b) the maximum amount of loss the entity is exposed to based on the gross fair value of the related item, (c) policy for requiring collateral or other security and information as to accessing such collateral or security, and (d) the nature and brief description of such collateral or security; (4) quantitative information about market risks and how such risks are managed; (5) for items measured on both a recurring and nonrecurring basis information regarding the inputs used to develop the fair value measurement; and (6) for items presented in the financial statement for which fair value measurement is elected: (a) information necessary to understand the reasons for the election, (b) discussion of the effect of fair value changes on earnings, (c) a description of [similar groups] items for which the election is made and the relation thereof to the balance sheet, the aggregate carrying value of items included in the balance sheet that are not eligible for the election; (7) all other required (as defined) and desired information.

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