Fair Value Measurements

9 Months Ended

Sep. 30, 2023

Fair Value Measurements

Fair Value Measurements

Note 10—Fair Value Measurements

The following table presents information about the Company’s financial assets that are measured at fair value on a recurring basis as of September 30, 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 September 30, 2023
	Level 1		Level 2		Level 3		Total
Assets:
Investments held in Trust Account	$	113,450,197	$	—	$	—	$	113,450,197
Total	$	113,450,197	$	—	$	—	$	113,450,197
	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

	As of September 30, 2023
	Level 1		Level 2		Level 3		Total
Liabilities:
Warrant liability – Public Warrants	$	805,000	$	—	$	—	$	805,000
Warrant liability - Private Placement Warrants		—		—		514,150		514,150
Total	$	805,000	$	—	$	514,150	$	1,319,150

	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 September 30, 2023 and December 31, 2022, the estimated fair value of the Public Warrants was determined by their public trading price and the estimated fair value of the Private Placement Warrants was determined using a probability-adjusted Black-Scholes method to value the Private Placement Warrants at each reporting period, with changes in fair value recognized in the statement of operations. The estimated fair value of the Private Placement Warrants are determined using Level 3 inputs. Inherent in pricing models are assumptions related to expected share-price volatility, expected life, risk-free interest rate and dividend yield. The Company estimates the volatility of its ordinary shares based on historical volatility that matches the expected remaining life of the warrants. The risk-free interest rate is based on the U.S. Treasury zero-coupon yield curve on the grant date for a maturity similar to the expected remaining life of the warrants. The expected life of the warrants is assumed to be equivalent to their remaining contractual term. The dividend rate is based on the historical rate, which the Company anticipates to remain at zero.

The following table provides the significant inputs to the probability-adjusted Black-Scholes method for the fair value of the Private Warrants:

	September 30, 2023			December 31, 2022
Stock price	$	10.69		$	10.11
Exercise price	$	11.50		$	11.50
Dividend yield		-	%		-	%
Expected term (in years)		5			5
Volatility		3.3	%		2.3	%
Risk-free rate		4.60	%		3.99	%
Fair value	$	0.07		$	0.03

As described in Notes 2 and 5, the Company accounted for the Prior Sponsor Working Capital Loan using the fair value option in accordance with ASC 815. 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 6, the Prior Sponsor forgave the Prior Sponsor Working Capital Loan 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 nine months ended September 30, 2023 and 2022:

	Convertible promissory note – Prior Sponsor Working Capital Loan			Private Placement Warrants		Total
Fair value at  January 1, 2023	$	-		$	220,350	$	220,350
Change in fair value of Private Warrants		-			293,800		293,800
Proceeds from drawdown – cash value		158,968			-		158,968
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 September 30, 2023	$	-		$	514,150	$	514,150

	Private Placement Warrants
Fair value at  January 1, 2022	$	3,819,400
Change in fair value of Private Warrants		(3,231,800	)
Fair value at September 30, 2022	$	587,600

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.