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

9 Months Ended

Sep. 30, 2023

Note 8 —Fair Value Measurements‌

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

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‌	September 30, 2023		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	$	82,381,980	$	82,381,980	$	—	$	—
	$	82,381,980	$	82,381,980	$	—	$	—
Liabilities
Warrant liability—Public Warrants	$	657,900	$	657,900	$	—	$	—
Warrant liability—Private Warrants		442,740		—		442,740		—
‌	$	1,100,640	$	657,900	$	442,740	$	—

‌	December 31, 2022		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	$	225,084,808	$	225,084,808	$	—	$	—
	$	225,084,808	$	225,084,808	$	—	$	—
Liabilities
Warrant liability—Public Warrants	$	482,460	$	482,460	$	—	$	—
Warrant liability—Private Warrants		324,676		—		324,676		—
‌	$	807,136	$	482,460	$	324,676	$	—

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 sheets. 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 statements 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	%

The key inputs into the Black-Scholes model for the Private 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	%
Exercise price	$	11.5
Dividend yield		0.00	%

Subsequent Measurement

The Company’s Public Warrants began trading separately on March 14, 2022. After this date, Public Warrant values per share were based on the observed trading prices of the Public Warrants as of each balance sheet date. The fair value of the Public Warrants liability was classified as level 1 as of September 30, 2023.

The Private Placement Warrants were estimated using the Public Warrants publicly listed trading price and that due to the make-whole provision in the warrant agreement, the value of the public and private warrants is approximately the same, as such the private warrants were reclassified to level 2.‌

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			—
Public Warrants fair value changes from Level 3 to Level 1 at March 31, 2022					(3,618,450	)		(3,618,450	)		—
Forfeiture of over-allotment option		—			—			—			(510,000	)
Private Placement Warrants fair value changes from Level 3 to Level 2 at June 30, 2022		(1,438,905	)		—			(1,438,905	)		—
Fair value changes of warrants		(2,176,805	)		(1,754,400	)		(3,931,205	)		—
Fair value at December 31, 2022	$	—		$	—		$	—		$	—

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. The estimated fair value of the Public Warrants transferred from a Level 3 measurement to a Level 1 fair value measurement for the year ended December 31, 2022 was $3,618,450. The estimated fair value of the Private Warrants transferred from a Level 3 measurement to a Level 2 fair value measurement for the year ended December 31, 2022 was $1,438,905. No transfers to/from Levels 1, 2 and 3 are recognized during the three and nine months ended September 30, 2023.