Quarterly report pursuant to Section 13 or 15(d)

Fair Value Measurements

v3.23.3
Fair Value Measurements
 9 Months Ended
Sep. 30, 2023
Fair Value Measurements [Abstract]  
Fair Value Measurements

Note 9 - Fair Value Measurements

 

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

 

September 30, 2023:

 

Description   Quoted
Prices in
Active
Markets
(Level 1)		     Significant
Other
Observable
Inputs
(Level 2)		     Significant
Other
Unobservable
Inputs
(Level 3)		  
Assets:                  
Investments held in Trust Account - Money Market Fund   $ 43,996,416     $
     —
     $
—
  
Liabilities:                        
Non-redemption agreements derivative liability   $
—
     $
—
     $ 1,890,000  

 

December 31, 2022:

 

Description   Quoted
Prices in
Active
Markets
(Level 1)		     Significant
Other
Observable
Inputs
(Level 2)		     Significant
Other
Unobservable
Inputs
(Level 3)		  
Assets:                  
Investments held in Trust Account - Money Market Fund   $ 309,744,280     $
       —
     $
      —
  

 

Level 1 assets include investments in a money market fund that invest solely in U.S. Treasury securities. The Company uses inputs such as actual trade data, quoted market prices from dealers or brokers, and other similar sources to determine the fair value of its investments.

 

The Non-Redemption Agreements derivative liability were accounted for as liabilities in accordance with ASC 815 and are presented on the condensed balance sheets. The non-redemption agreements derivative liability 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 liability in the unaudited condensed statements of operations.

 

The Non-Redemption Agreements derivative liability were initially and as of the end of each subsequent reporting period, valued using a monte-carlo simulation model, which is considered to be a Level 3 fair value measurement. The key inputs into the monte-carlo simulation model for the Non-Redemption Agreements derivative liability were as follows:

 

Input   September 30,
2023		     Issuance Date
April 28,
2023		  
Market price of Class A common stock   $ 10.54     $ 10.38  
Risk-free rate     5.26 %     4.28 %
Volatility     44.1 %     54.3 %
Term     1.25       1.68  
Probability of successful business combination     20.0 %     20.0 %
Discount for lack of marketability     10.3 %     14.7 %
Threshold price   $ 12.00     $ 12.00  

 

The following table presents the changes in the fair value of the Non-Redemption Agreements derivative liability:

 

Fair value as of December 31, 2022   $
—
  
Initial measurement     1,770,000  
Change in valuation inputs or other assumptions     120,000  
Fair value as of September 30, 2023   $ 1,890,000  

 

Transfers to/from Levels 1, 2, and 3 are recognized at the beginning of the reporting period. There were no transfers to/from Levels 1, 2, and 3 during the three and nine months ended September 30, 2023 and 2022.