Generation Asia I Acquisition Limited Quarterly report pursuant to Section 13 or 15(d)

Quarterly report pursuant to Section 13 or 15(d)

Fair Value Measurements

Fair Value Measurements

3 Months Ended

Mar. 31, 2022

Note 8 —Fair Value Measurements

The following table presents information about the Company’s liabilities that are measured at fair value on March 31, 2022, and indicates the fair value hierarchy of the valuation inputs the Company utilized to determine such fair value:


	March 31, 2022		Quoted Prices In Active Markets (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Other Unobservable Inputs (Level 3)
Liabilities
Warrant liability—Public Warrants	$	3,618,450	$	3,618,450	$	—	$	—
Warrant liability—Private Warrants		2,435,070		—		—		2,435,070
	$	6,053,520	$	3,618,450	$	—	$	2,435,070

The Over-allotment Option, Public Warrants and the Private Placement Warrants were accounted for as liabilities in accordance with ASC 815-40 and are presented within liabilities on the balance sheet. The warrant liabilities are measured at fair value at inception and on a recurring basis, with changes in fair value presented within change in fair value of warrant liabilities in the statement of operations.

Initial Measurement

The Company used a Lattice Model to value the Public Warrants and a Black-Scholes model to value the Private Placement Warrants and Over-allotment Option. The Company allocated the proceeds received from (i) the sale of Units (which is inclusive of one shares of Class A ordinary shares and one-half of one Public Warrant) and (ii) the sale of Private Placement Warrants, 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) based on their relative fair values at the initial measurement date. The Public Warrants and the Private Placement Warrants were classified within Level 3 of the fair value hierarchy at the measurement dates due to the use of unobservable inputs. Inherent in pricing models are assumptions related to expected share-price volatility, expected life and risk-free interest rate. The Company estimates the volatility of its ordinary shares based on the historical volatility of a set of comparable companies. 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 key inputs into the Lattice Model for the Public Warrants liability were as follows at initial measurement:


Input	January 24, 2022
Risk-free interest rate		1.37	%
Expected term (years)		5.33
Expected volatility		9.2	%

Subsequent Measurement

The subsequent measurements of the Public Warrants after the detachment of the Public Warrants from the Units are classified as Level 1 due to the use of an observable market quote in an active market. For periods subsequent to the detachment of the Public Warrants from the Units, the publicly traded closing price of the Public Warrants of $0.33 per warrant was used as the fair value as of the relevant date.

The terms of the Private Placement Warrants are analogous to the Public Warrants with the exception that they are not redeemable. As such, these warrants were valued using a Black-Scholes Call Option Framework.

The key inputs into the Black-Scholes model for the Private Warrants liability were as follows at initial measurement:


Input	March 31, 2022			January 24, 2022
Risk-free interest rate		2.39	%		1.37	%
Expected term (years)		5.33			5.33
Expected volatility		4.6	%		9.2	%
Exercise price	$	11.5		$	11.5
Dividend yield		0.00	%		0.00	%

The following table 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:


	Private Placement Warrants			Public Warrants			Warrant Liabilities			Over-allotment Liability
Fair value at March 3, 2021 (inception)	$	—		$	—		$	—		$	—
Initial measurement of public and private warrant at January 24, 2022		3,332,000			4,900,000			8,232,000			—
Initial measurement of over-allotment option at January 24, 2022		—			—			—			510,000
Initial measurement of public and private warrants issued in connection with the exercise of over-allotment option at February 1, 2022		283,710			472,850			756,560			—
Fair value changes of warrants		(1,180,640	)		(1,754,400	)		(2,935,040	)		—
Changes from Level 3 to Level 1					(3,618,450	)		(3,618,450	)		—
Forfeiture of over-allotment option		—			—			—			(510,000	)
Fair value at March 31, 2022	$	2,435,070		$	—		$	2,435,070		$	—

The decrease in the fair value of the warrant liability from the date of the Private Placement (January 24, 2022) to March 31, 2022 reflects a change in the estimated fair value per warrant for the period from $0.49 to $0.33.