Derivative Financial Instruments

12 Months Ended

Dec. 31, 2022

Derivative Financial Instruments [Abstract]

Note 6 — Derivative Financial Instruments

Class L ordinary shares derivative liability

The Class L ordinary shares are accounted for as a liability in accordance with ASC 815 and presented as a derivative liability on the balance sheets. The derivative liability was measured at fair value as of September 10, 2021 (date on which the Company amended its memorandum and articles of association) and will be evaluated on a recurring basis, with changes in fair value presented within fair value of derivative liability in the statements of operations.

The following table presents a summary of the changes in the fair value of the Class L ordinary shares derivative liability as of December 31, 2022 and 2021:


	Class L ordinary shares derivative liability
Fair value of Class L ordinary shares, December 31, 2021	$	84,257,215
Changes in fair value during the year		(80,836,095)
Fair value of Class L ordinary shares, December 31, 2022	$	3,421,120


	Class L ordinary shares derivative liability
Fair value of Class L ordinary shares, September 10, 2021	$	54,981,475
Changes in fair value during the period		29,275,740
Fair value of Class L ordinary shares, December 31, 2021	$	84,257,215

The amounts of changes in the fair value on derivative instruments are reported in the statements of operations.

The following table presents the Company's fair value hierarchy for assets and liabilities measured at fair value on a recurring basis as of December 31, 2022 and 2021:


	As of December 31, 2022
	Level 1		Level 2		Level 3		Total
Assets
Marketable securities held in Trust Account	$	291,652,889	$	—	$	—	$	291,652,889
Total Assets	$	291,652,889	$	—	$	—	$	291,652,889
Liabilities
Class L ordinary shares derivative liability	$	—	$	—	$	3,421,120	$	3,421,120
Total Liabilities	$	—	$	—	$	3,421,120	$	3,421,120

. MELI KASZEK PIONEER CORP
‎NOTES TO FINANCIAL STATEMENTS


	As of December 31, 2021
	Level 1		Level 2		Level 3		Total
Assets
Marketable securities held in Trust Account	$	287,505,954	$	—	$	—	$	287,505,954
Total Assets	$	287,505,954	$	—	$	—	$	287,505,954
Liabilities
Class L ordinary shares derivative liability	$	—	$	—	$	84,257,215	$	84,257,215
Total Liabilities	$	—	$	—	$	84,257,215	$	84,257,215

There were no transfers to and from Levels 1, 2 and 3 during the year December 31, 2022 and the period from May 27, 2021 (inception) to December 31, 2021.

The Company measured the Class L ordinary shares derivative liability at fair value determined at Level 3. In order to capture the market conditions associated with the Class L ordinary shares derivative liability, the Company applied an approach that incorporated a Monte Carlo simulation, which involved random iterations of future stock-price paths over the contractual life of the Class L ordinary shares. Based on assumptions regarding potential changes in control of the Company, and the probability distribution of outcomes, the payoff to the holder was determined based on the achievement of the various market thresholds within each simulated path. The present value of the payoff in each simulated trial is calculated, and the fair value of the liability is determined by taking the average of all present values.

The key inputs into the Monte-Carlo simulation model for Class L ordinary shares derivative liability were as follows as of December 31, 2022 and 2021:


Input	December 31, ‎2022		December 31, ‎2021
Risk-free interest rate		3.98%		1.34%
Expected term		5.50 years		6.00 years
Expected volatility		5.3%		18.0%
Stock price⁽¹⁾	$	9.80	$	11.56
Dividend yield		0.0 %		0.0 %

((1) Traded stock price adjusted to reflect market expectations of success.

MELI Kaszek Pioneer Corp 10-K