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Fair Value Measurements (Tables)

9 Months Ended

Sep. 30, 2023

Fair Value Measurements

Schedule of company fair value hierarchy for assets and liabilities measured at fair value on a recurring basis

​

​	​	​	​	​	​	​	​	​	​	​
Description		Level		September 30, 2023			Level		December 31, 2022
Assets:	​	​	​	​	​	​	​	​	​	​
Investments held in Trust Account		1	​	$	8,676,157	​	1	​	$	9,835,409
Liabilities:	​	​	​	​	​	​	​	​	​	​
PIPE Derivative Liability-Make-Whole Features	​	3	​	$	1,200,538	​	3	​	$	1,065,297
Warrant Liability	​	2	​	$	79,220	​	2	​	$	335,240

Schedule of key inputs into the Monte-Carlo model for the PIPE derivative liability

​

​	​	​	​	​	​	​	​
​		September 30, 2023			December 31, 2022
Historical 30-days VWAP* as of measurement date	​	$	10.85		$	10.19	​
Risk-free rate	​		5.54	%	​	4.46	%
Dividend yield	​		0	%	​	0	%
Volatility	​		9.3% to 44.1	%	​	1.60% and 64.0	%
Term (in years)	​		0.58		​	0.31	​

*Volume-Weighted Average Price

Schedule of changes in the fair value of the PIPE derivative liability and the Private Warrant liability

​

​	​	​	​	​	​	​
​		Private Warrants			PIPE Derivative Liability
Fair value as of July 22, 2021 (inception)	​	$	—	​	$	—
Initial measurement	​	​	2,788,000	​	​	—
Change in fair value	​	​	(1,120,738)	​	​	—
Fair value as of December 31, 2021	​	$	1,667,262	​	$	—
Initial measurement on November 15, 2022	​	​	—	​	​	1,108,709
Change in fair value	​	​	(1,332,022)	​	​	(43,412)
Fair value as of December 31, 2022	​	$	335,240	​	$	1,065,297
Change in fair value	​	​	(256,020)	​	​	135,241
Fair value as of September 30, 2023	​	$	79,220	​	$	1,200,538

​

X

- Definition

Tabular disclosure of input and valuation technique used to measure fair value and change in valuation approach and technique for each separate class of asset and liability measured on recurring and nonrecurring basis.

+ References

Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef
-Name Accounting Standards Codification
-Section 50
-Paragraph 2
-Subparagraph (bbb)
-SubTopic 10
-Topic 820
-Publisher FASB
-URI https://asc.fasb.org//1943274/2147482106/820-10-50-2

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- Definition

Tabular disclosure of assets, including [financial] instruments measured at fair value that are classified in stockholders' equity, if any, by class that are measured at fair value on a recurring basis. The disclosures contemplated herein include the fair value measurements at the reporting date by the level within the fair value hierarchy in which the fair value measurements in their entirety fall, segregating fair value measurements using quoted prices in active markets for identical assets (Level 1), significant other observable inputs (Level 2), and significant unobservable inputs (Level 3).

+ References

Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef
-Name Accounting Standards Codification
-Topic 820
-SubTopic 10
-Section 50
-Paragraph 2
-Subparagraph (a)
-Publisher FASB
-URI https://asc.fasb.org//1943274/2147482106/820-10-50-2

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- Definition

Tabular disclosure of the fair value measurement of liabilities using significant unobservable inputs (Level 3), a reconciliation of the beginning and ending balances, separately presenting changes attributable to the following: (1) total gains or losses for the period (realized and unrealized), segregating those gains or losses included in earnings (or changes in net assets), and gains or losses recognized in other comprehensive income (loss) and a description of where those gains or losses included in earnings (or changes in net assets) are reported in the statement of income (or activities); (2) purchases, sales, issues, and settlements (each type disclosed separately); and (3) transfers in and transfers out of Level 3 (for example, transfers due to changes in the observability of significant inputs) by class of liability.

+ References

Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef
-Name Accounting Standards Codification
-Section 50
-Paragraph 2
-Subparagraph (c)
-SubTopic 10
-Topic 820
-Publisher FASB
-URI https://asc.fasb.org//1943274/2147482106/820-10-50-2

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-SubTopic 10
-Section 50
-Paragraph 3
-Publisher FASB
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