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Fair Value Measurements

9 Months Ended

Sep. 30, 2023

Fair Value Disclosures [Abstract]

Fair Value Measurements

Note 9 — Fair Value Measurements

The fair value of the Company’s financial assets and liabilities reflects management’s estimate of amounts that the Company would have received in connection with the sale of the assets or paid in connection with the transfer of the liabilities in an orderly transaction between market participants at the measurement date. In connection with measuring the fair value of its assets and liabilities, the Company seeks to maximize the use of observable inputs (market data obtained from independent sources) and to minimize the use of unobservable inputs (internal assumptions about how market participants would price assets and liabilities). The following fair value hierarchy is used to classify assets and liabilities based on the observable inputs and unobservable inputs used in order to value the assets and liabilities:

Level 1: Quoted prices in active markets for identical assets or liabilities. An active market for an asset or liability is a market in which transactions for the asset or liability occur with sufficient frequency and volume to provide pricing information on an ongoing basis.

Level 2: Observable inputs other than Level 1 inputs. Examples of Level 2 inputs include quoted prices in active markets for similar assets or liabilities and quoted prices for identical assets or liabilities in markets that are not active.

Level 3: Unobservable inputs based on the Company’s assessment of the assumptions that market participants would use in pricing the asset or liability.

As of December 31, 2022, the assets held in the Trust Account were held in money market funds invested in U.S. Treasury Securities. All of the Company’s investments held in the Trust Account are classified as trading securities.

The following table presents information about the Company’s 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 inputs the Company utilized to determine such fair value.

						Quoted Prices in Active Markets				Significant Other Observable Inputs				Significant Other Unobservable Inputs
		Level				(Level 1)				(Level 2)				(Level 3)

September 30, 2023

Liabilities:
Warrant Liabilities- Private Warrants			3				—				—			$	10,716

December 31, 2022

Assets:
Money market funds invested in U.S. Treasury Securities			1			$	118,408,969				—				—

Liabilities:
Warrant Liabilities- Private Warrants			3				—				—				6,270

The Private Placement Warrants were valued using a binomial lattice model, which is considered to be a Level 3 fair value measurement. One of the more significant inputs is the implied volatility, which is based on the observed prices of the Company’s common stock and publicly-traded warrants. As of September 30, 2023 and December 31, 2022, the estimated fair value of Warrant Liabilities – Private Warrants were determined based on the following significant inputs and are expressed on the basis of each being exercisable for a one-half of one share of common stock:

		As of September 30, 2023				As of December 31, 2022
Exercise price		$	5.75			$	5.75
Market price of public stock		$	5.39			$	5.10
Term (years)			0.95				0.8
Volatility			2.2	%			6.9	%
Risk-free rate			5.39	%			4.69	%
Dividend yield			0.0	%			0.0	%

The following table presents the changes in the fair value of warrant liabilities for the three and nine months ended September 30, 2023 and 2022:

		Private Placement Warrants
January 1, 2023		$	6,270
Change in valuation inputs or other assumptions			(570	)
Fair value as of March 31, 2023			5,700
Fair value of warrant liabilities			5,700
Change in valuation inputs or other assumptions			6,840
Fair value as of June 30, 2023			12,540
Fair value of warrant liabilities			12,540
Change in valuation inputs or other assumptions			(1,824	)
Fair value as of September 30, 2023		$	10,716
Fair value of warrant liabilities		$	10,716

		Private Placement Warrants
January 1, 2022		$	114,570
Change in valuation inputs or other assumptions			(47,367	)
Fair value as of March 31, 2022			67,203
Change in valuation inputs or other assumptions			(42,465	)
Fair value as of June 30, 2022			24,738
Change in valuation inputs or other assumptions			9,462
Fair value as of September 30, 2022		$	34,200

The entire disclosure for the fair value of financial instruments (as defined), including financial assets and financial liabilities (collectively, as defined), and the measurements of those instruments as well as disclosures related to the fair value of non-financial assets and liabilities. Such disclosures about the financial instruments, assets, and liabilities would include: (1) the fair value of the required items together with their carrying amounts (as appropriate); (2) for items for which it is not practicable to estimate fair value, disclosure would include: (a) information pertinent to estimating fair value (including, carrying amount, effective interest rate, and maturity, and (b) the reasons why it is not practicable to estimate fair value; (3) significant concentrations of credit risk including: (a) information about the activity, region, or economic characteristics identifying a concentration, (b) the maximum amount of loss the entity is exposed to based on the gross fair value of the related item, (c) policy for requiring collateral or other security and information as to accessing such collateral or security, and (d) the nature and brief description of such collateral or security; (4) quantitative information about market risks and how such risks are managed; (5) for items measured on both a recurring and nonrecurring basis information regarding the inputs used to develop the fair value measurement; and (6) for items presented in the financial statement for which fair value measurement is elected: (a) information necessary to understand the reasons for the election, (b) discussion of the effect of fair value changes on earnings, (c) a description of [similar groups] items for which the election is made and the relation thereof to the balance sheet, the aggregate carrying value of items included in the balance sheet that are not eligible for the election; (7) all other required (as defined) and desired information.

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