Quarterly report pursuant to Section 13 or 15(d)

RECURRING FAIR VALUE MEASUREMENTS

v3.23.3
RECURRING FAIR VALUE MEASUREMENTS
 9 Months Ended
Sep. 30, 2023
Fair Value Disclosures [Abstract]  
RECURRING FAIR VALUE MEASUREMENTS

NOTE 8 – RECURRING FAIR VALUE MEASUREMENTS

 

Fair value is defined as the price that would be received for sale of an asset or paid for transfer of a liability in an orderly transaction between market participants at the measurement date. U.S. GAAP (as defined in Note 2) establishes a three-tier fair value hierarchy, which prioritizes the inputs used in measuring fair value. The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). These tiers consist of:

 

● Level 1, defined as observable inputs such as quoted prices (unadjusted) for identical instruments in active markets;

 

● Level 2, defined as inputs other than quoted prices in active markets that are either directly or indirectly observable such as quoted prices for similar instruments in active markets or quoted prices for identical or similar instruments in markets that are not active; and

 

● Level 3, defined as unobservable inputs in which little or no market data exists, therefore requiring an entity to develop its own assumptions, such as valuations derived from valuation techniques in which one or more significant inputs or significant value drivers are unobservable.

 

At September 30, 2023, assets held in the Trust Account were comprised of $123,589,515 in an interest-bearing demand deposit account at a bank. Through September 30, 2023, the Company withdrew $243,268,708 from the Trust Account in connection with the Redemption.

 

At December 31, 2022, assets held in the Trust Account were comprised of $356,976,495 in money market funds which are invested primarily in U.S. Treasury securities. Through December 31, 2022, the Company did not withdraw any interest income from the Trust Account.

 

The following tables present fair value information as of September 30, 2023 and December 31, 2022, of the Company’s financial assets and liabilities that were accounted for at fair value on a recurring basis and indicate the fair value hierarchy of the valuation techniques the Company utilized to determine such fair value:

 

                       
September 30, 2023 (unaudited)   Level 1     Level 2     Level 3  
Liabilities:                        
Public Warrants   $ 1,897,500     $ -     $ -  
Private Warrants     -       -       1,908,768  
Total Liabilities   $ 1,897,500     $ -     $ 1,908,768  

 

December 31, 2022   Level 1     Level 2     Level 3  
Assets                        
Investments held in Trust Account   $ 356,976,495     $ -     $ -  
Total Assets   $ 356,976,495     $ -     $ -  
                         
Liabilities                        
Public Warrants   $ 1,093,650     $ -     $ -  
Private Warrants     -       -       1,125,515  
Total Liabilities   $ 1,093,650     $ -     $ 1,125,515  

 

At September 30, 2023 and December 31, 2022, the Company used a Monte Carlo model to value the private warrants. The estimated fair value of the public and private warrant liability is determined using Level 3 inputs. If factors or assumptions change, the estimated fair values could be materially different. Inherent in a binomial options pricing model are assumptions related to expected share-price volatility, expected life, risk-free interest rate and dividend yield.

 

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

 

               
    September 30,
2023		     December 31,
2022		  
    (unaudited)        
Share price   $ 10.88     $ 10.27  
Strike price   $ 11.50     $ 11.50  
Term (in years)     0.89       5.41  
Volatility     3.5 %     7.8 %
Risk-free rate     5.48 %     4.74 %
Dividend yield     0       0  

 

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

 

                       
    Private
Placement		     Public     Warrant
Liabilities		  
Fair value as of December 31, 2022   $ 1,125,515     $ -     $ 1,125,515  
Change in fair value     558,888       -       558,888  
Fair value as of March 31, 2023 (unaudited)     1,684,403       -       1,684,403  
Change in fair value     (98,703 )     -       (98,703 )
Fair value as of June 30, 2023 (unaudited)     1,585,700       -       1,585,700  
Change in fair value     323,068       -       323,068  
Fair value as of September 30, 2023 (unaudited)   $ 1,908,768     $ -     $ 1,908,768  

 

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 no transfers to/from Levels 1, 2, and 3 during the three and nine months ended September 30, 2023.