Quarterly report pursuant to Section 13 or 15(d)

Fair Value Measurements (Tables)

v3.23.3
Fair Value Measurements (Tables)
 9 Months Ended
Sep. 30, 2023
Fair Value Disclosures [Abstract]  
Summary of Assets And Liabilities Measured At Fair Value
The following table presents information about the Company’s liabilities that are measured at fair value on a recurring basis at September 30, 2023, and indicates the fair value hierarchy of the valuation inputs the Company utilized to determine such fair value:
 
    
September 30,
2023
     
Quoted
Prices In
Active
Markets
(Level 1)
     
Significant
Other
Observable
Inputs
(Level 2)
     
Significant
Other
Unobservable
Inputs
(Level 3)
  
Liabilities:
                                    
Warrant Liability—Public Warrants
    $ 900,000      $ 900,000      $ —        $ —    
Warrant Liability—Private Placement Warrants
      511,087        —          —          511,087  
    
 
 
     
 
 
     
 
 
     
 
 
  
    
$
1,411,087
 
   
$
900,000
 
   
$
—  
     
$
511,087
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
The following table presents information about the Company’s liabilities that are measured at fair value on a recurring basis at December 31, 2022, and indicates the fair value hierarchy of the valuation inputs the Company utilized to determine such fair value:
 
    
December 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
    $ 877,500      $ 877,500      $ —        $ —    
Warrant Liability—Private Placement Warrants
    $ 505,949        —          —          505,949  
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
    
$
1,383,449
 
   
$
877,500
 
   
$
—  
     
$
505,949
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Summary of the Monte Carlo simulation model for the Private Placement Warrants
The key inputs into the Monte Carlo simulation model for the Private Placement Warrants were as follows at September 30, 2023:
 
Input
   
September

30, 2023
  
Expected term (years)
      0.75  
Expected volatility
      9.0 % 
Risk-free interest rate
      5.49 % 
Exercise price
    $  11.50  
Fair value of the common stock price
    $ 10.15  
The key inputs into the Monte Carlo simulation model for the Private Placement Warrants were as follows at December 31, 2022:
 
Input
   
December 31,
2022
  
Expected term (years)
      1.15  
Expected volatility
      7.9 % 
Risk-free interest rate
      4.68 % 
Exercise price
    $  11.50  
Fair value of the common stock price
    $ 9.92  
Summary of the changes in the fair value of the Level 3 warrant liability
The following table sets forth a summary of the changes in the fair value of the Level 3 warrant liability for the three and nine months ended September 30, 2023:
 
    
Warrant Liability
  
Fair value as of December 31, 2022
    $ 505,949  
Change in fair value
      (60,935 ) 
    
 
 
  
Fair value as of March 31, 2023
   
 
445,014
 
Change in fair value
      41,324  
    
 
 
  
Fair value as of June 30, 2023
   
 
486,338
 
Change in fair value
      24,749  
    
 
 
  
Fair value as of September 30, 2023
   
$
511,087
 
    
 
 
  
The following table sets forth a summary of the changes in the fair value of the Level 3 warrant liability for the three and nine months ended September 30, 2022:
 
    
Warrant Liability
  
Fair value as of December 31, 2021
    $ 4,822,783  
Change in fair value
      (3,428,308 ) 
    
 
 
  
Fair value as of March 31, 2022
      1,394,475  
Change in fair value
      (344,281 ) 
    
 
 
  
Fair value as of June 30, 2022
      1,050,194  
Change in fair value
      (489,550 ) 
    
 
 
  
Fair value as of September 30, 2022
    $ 560,644