FAIR VALUE MEASUREMENTS

9 Months Ended

Sep. 30, 2023

Fair Value Disclosures [Abstract]

FAIR VALUE MEASUREMENTS

NOTE 9. FAIR VALUE MEASUREMENTS

The Company follows the guidance in ASC 820 for its financial assets and liabilities that are re-measured and reported at fair value at each reporting period, and non-financial assets and liabilities that are re-measured and reported at fair value at least annually.

The fair value of the Company’s financial assets and liabilities reflects management’s estimate of amounts that the Company would have received in connection with the sale of the assets or paid in connection with the transfer of the liabilities in an orderly transaction between market participants at the measurement date. In connection with measuring the fair value of its assets and liabilities, the Company seeks to maximize the use of observable inputs (market data obtained from independent sources) and to minimize the use of unobservable inputs (internal assumptions about how market participants would price assets and liabilities).

The following table presents information about the Company’s assets and liabilities that are measured at fair value at 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:

Description	Level	September 30, 2023		December 31, 2022
Assets:
Marketable securities held in the Trust Account	1	$	266,639,182	$	310,488,798
Liabilities:
Convertible promissory notes - related party	3	$	3,627,816	$	236,300
Warrant liability - Private Placement Warrants	2		2,310,000		1,400,000
Warrant liability - Public Warrants	1		2,475,000		1,500,000
Forward Purchase Agreement	3		5,338,558		2,045,845
Total Derivative liabilities		$	10,123,558	$	4,945,845

The Convertible promissory notes - related party, the Public Warrants, the Private Placement Warrants and the Forward Purchase Agreement were accounted for as liabilities in accordance with ASC 815-40 and are presented within convertible promissory notes and derivative liabilities on the balance sheets. The convertible notes are measured at fair value at inception and on a recurring basis, with changes in fair value presented within change in fair value of convertible notes in the statements of operations. The warrant liabilities and Forward Purchase Agreement are measured at fair value at inception and on a recurring basis, with changes in fair value presented within change in fair value of derivative liabilities in the statements of operations.

Upon initial issuance and September 30, 2023, the Company used a modified Black Scholes model to value the Convertible Notes. As of September 30, 2023 and December 31, 2022, the Convertible Notes were classified as Level 3 on the Fair Value Hierarchy.

Upon initial issuance, the Public Warrants and the Private Placement Warrants used the Monte Carlo simulation model and the modified Black-Scholes model, respectively The Company allocated the proceeds received from (i) the sale of Units (which is inclusive of one Class A ordinary share and one-half of one Public Warrant), (ii) the sale of Private Warrants, and (iii) the issuance of Class B ordinary shares, first to the warrants based on their fair values as determined at initial measurement, with the remaining proceeds allocated to Class A ordinary shares subject to possible redemption (temporary equity) and Class B ordinary shares (permanent equity) based on their relative fair values at the initial measurement date. As of September 30, 2023 and December 31, 2022, the Public and Private Warrants were valued using the publicly available price for the Warrant and are classified as Level 1 and Level 2, respectively, on the Fair Value Hierarchy.

The Forward Purchase Agreement was valued using a valuation method which considers the reconstructed unit price (the total fair value of ordinary shares and half the Private Warrant value) and multiple assumptions such as risk-free rate and time to Initial Business Combination. As of September 30, 2023 and December 31, 2022, the Forward Purchase Agreement was classified within Level 3 of the Fair Value Hierarchy at the measurement dates due to the use of unobservable inputs.

The table below provides a summary of the changes in fair value, including net transfers in and/or out, of all financial assets and liabilities measured at fair value on a recurring basis using significant unobservable inputs (Level 3) during the six months ended September 30, 2023 and 2022:

	Fair Value Measurement Using Level 3 Inputs Total
Balance, Fair value at December 31, 2022	$	2,282,145
Issuance of convertible promissory note - related party		250,000
Proceeds in excess of fair value		(53,009	)
Change in fair value of convertible promissory note - related party		1,168
Change in fair value of forward purchase agreement		732,512
Balance, March 31, 2023		3,212,816
Issuance of convertible promissory note - related party		3,000,000
Proceeds in excess of fair value		(639,640	)
Change in fair value of convertible promissory note - related party		25,624
Change in fair value of forward purchase agreement		935,925
Balance, June 30, 2023		6,534,725
Issuance of convertible promissory notes - related party		1,148,387
Proceeds in excess of fair value		(242,125	)
Change in fair value of convertible promissory notes - related party		(98,889	)
Change in fair value of forward purchase agreement		1,624,276
Balance, September 30, 2023	$	8,966,374

	Fair Value Measurement Using Level 3 Inputs Total
Balance, Fair value at December 31, 2021	$	670,221
Change in fair value of forward purchase agreement		46,917
Balance, March 31, 2022		717,138
Proceeds received from issuance of convertible note		300,000
Change in fair value of convertible promissory note - related party		(74,277	)
Change in fair value of forward purchase agreement		6,796
Balance, June 30, 2022		949,657
Change in fair value of convertible promissory notes - related party		9,118
Change in fair value of forward purchase agreement		981,288
Balance, September 30, 2022	$	1,940,063

The key inputs into the discount model for the Convertible Promissory Notes were as follows:

	September 30, 2023	December 31, 2022
Volatility	169.44 -338.87%	9.24 - 175.59%
Risk-free interest rate	5.541%	2.58 - 4.66%
Expected life of convertible promissory notes	0.69 years	0.42 - 0.78 years
Dividend yield	0%	0%
Probability of business combination	80.0%	80.0%

The key inputs into the discount model for the Forward Purchase Agreement were as follows:

	September 30, 2023	December 31, 2022
Risk-free interest rate	5.50%	4.66%
Expected life of forward purchase agreement	0.69 years	0.42 years
Dividend yield	0%	0%
Probability of business combination	80.0%	80.0%

The following table provides a summary of the changes in the fair value of the Company’s financial instruments that are measured at fair value on a recurring basis:

	Convertible Promissory Notes			Private Placement Warrants			Public Warrants			Forward Purchase Agreement		Total
Fair value at December 31, 2022	$	236,300		$	1,400,000		$	1,500,000		$	2,045,845	$	5,182,145
Proceeds received from issuance of convertible note		250,000			-			-			-		250,000
Proceeds in excess of fair value		(53,009	)		-			-			-		(53,009	)
Change in fair value		1,168			448,000			480,000			732,512		1,661,680
Fair value at March 31, 2023	$	434,459		$	1,848,000		$	1,980,000		$	2,778,357	$	7,040,816
Proceeds received from issuance of convertible note		3,000,000			-			-			-		3,000,000
Proceeds in excess of fair value		(639,640	)		-			-			-		(639,640	)
Change in fair value		25,624			(390,600	)		(418,500	)		935,925		152,449
Fair value at June 30, 2023	$	2,820,443		$	1,457,400		$	1,561,500		$	3,714,282	$	9,553,625
Proceeds received from issuance of convertible notes		1,148,387											1,148,387
Proceeds in excess of fair value		(242,125	)										(242,125	)
Change in fair value		(98,889	)		852,600			913,500			1,624,276		3,291,487
Fair value at September 30, 2023	$	3,627,816		$	2,310,000		$	2,475,000		$	5,338,558	$	13,751,374