FAIR VALUE MEASUREMENTS

9 Months Ended

Sep. 30, 2023

FAIR VALUE MEASUREMENTS

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.

NOTE 9 – FAIR VALUE MEASUREMENTS (Continued)

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

The fair value of the Private Warrants was initially measured at fair value using a Monte Carlo simulation model and subsequently, the fair value of the Private Warrants have been estimated using a Monte Carlo simulation model each measurement date.

For the nine months ended September 30, 2023, the Company recognized a loss to the statements of operations resulting from an increase in the fair value of liabilities of $16,275, and for the nine months ended September 30, 2022, the Company recognized a gain to the statements of operations resulting from a decrease in the fair value of liabilities of $107,823, respectively, presented as change in fair value of derivative warrant liabilities in the accompanying statements of operations.

The following table presents information about the Company’s financial assets and liabilities that were measured at fair value on a recurring basis at September 30, 2023, by level within the fair value hierarchy:

	Quoted Prices in		Significant Other		Significant Other
	Active Markets		Observable Inputs		Unobservable Inputs
Description	(Level 1)		(Level 2)		(Level 3)
Liabilities:
Derivative warrant liabilities - Private	$	—	$	—	$	30,516
	$	—	$	—	$	30,516

At September 30, 2023, assets held in the Trust Account comprised of approximately $54.20 million in an interest-bearing demand deposit account.

The following table presents information about the Company’s financial assets and liabilities that were measured at fair value on a recurring basis as of December 31, 2022, by level within the fair value hierarchy:

			Significant		Significant
	Quoted Prices		Other		Other
	in Active		Observable		Unobservable
	Markets		Inputs		Inputs
Description	(Level 1)		(Level 2)		(Level 3)
Assets:
Treasury Bills	$	129,951,121	$	—	$	—
	$	129,951,121	$	—	$	—
Liabilities:
Derivative warrant liabilities - Private	$	—	$	—	$	14,241
	$	—	$	—	$	14,241

Transfers to/from Levels 1, 2 and 3 were recognized at the end of the reporting period.

NOTE 9 – FAIR VALUE MEASUREMENTS (Continued)

The estimated fair value of the Private Warrants prior to being separately listed and traded, is determined using Level 3 inputs. Inherent in a Monte Carlo simulation are assumptions related to expected stock-price volatility, expected life, risk-free interest rate and dividend yield. The Company estimates the volatility of its common stock warrants based on implied volatility from the Company’s traded warrants and from historical volatility of select peer company’s common stock that matches the expected remaining life of the warrants. 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 dividend rate is based on the historical rate, which the Company anticipates remaining at zero.

The following table provides quantitative information regarding Level 3 fair value measurements inputs as their measurement dates:

	September 30, 2023			December 31, 2022
Exercise price	$	11.50		$	11.50
Stock price		10.50			10.01
Volatility		6.1	%		5.2	%
Probability of completing a Business Combination		9.8	%		8.3	%
Term (in years)		5.26			5.21
Risk-free rate		4.50	%		3.91	%

The change in the fair value of the derivative warrant liabilities for the three and nine months ended September 30, 2023, is summarized as follows:

Derivative warrant liabilities at December 31, 2022	$	14,241
Change in fair value of derivative warrant liabilities		24,413
Derivative warrant liabilities at June 30, 2023		38,654
Change in fair value of derivative warrant liabilities		(8,138)
Derivative warrant liabilities at September 30, 2023	$	30,516