Note 11 — Fair Value Measurements

The following tables present information about the Company’s financial assets and liabilities 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 techniques that the Company utilized to determine such fair value.

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The Company utilized a Monte-Carlo simulation to estimate the fair value of the warrants initially and subsequently for the Private Warrants, with changes in fair value recognized on the accompanying unaudited condensed consolidated statements of operations. At September 30, 2023 and December 31, 2022, the fair value of the Public Warrants was measured using the public trading price. Due to the insufficient trading volume of Public Warrants, the fair value of the Public Warrants was reclassified to Level 2 as of September 30, 2023.

For the three months ended September 30, 2023 and 2022, the Company recognized a loss from an increase in the fair value of derivative warrant liabilities of approximately $0.3 million and a gain from an decrease in the fair value of derivative warrant liabilities of approximately $4.3 million, respectively, presented as change in fair value of derivative warrant liabilities on the accompanying unaudited condensed consolidated statements of operations. For the nine months ended September 30, 2023 and 2022, the Company recognized a gain from a decrease in the fair value of derivative warrant liabilities of approximately $0.6 million and approximately $16.4 million, respectively, presented as change in fair value of derivative warrant liabilities on the accompanying unaudited condensed consolidated statements of operations.

The change in the fair value of the derivative warrant liabilities measured with Level 3 inputs for the period ended September 30, 2023 and December 31, 2022, is summarized as follows:

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The estimated fair value of the private derivative warrant liabilities has been determined using Level 3 inputs. Inherent in a Monte-Carlo simulation are assumptions related to expected stock-price volatility, expected life and risk-free interest rate. The Company estimates the volatility of its ordinary shares based on historical volatility of select peer companies 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 following table provides quantitative information regarding the Level 3 fair value measurements inputs at their measurement dates:

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The primary significant unobservable input used in the fair value measurement of the Company’s private warrants is the expected volatility of the ordinary shares. Significant increases (decreases) in the expected volatility in isolation would result in a significantly higher (lower) fair value measurement.

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. Other than the transfer of Public Warrants to Level 2 during the three months ended September 30, 2023, no other transfers to/from Levels 1, 2 and 3 are recognized during the three and nine months ended September 30, 2023 and 2022.