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FAIR VALUE MEASUREMENTS | 9 Months Ended
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Sep. 30, 2023
Fair Value Disclosures [Abstract] |
FAIR VALUE MEASUREMENTS | NOTE 9. FAIR VALUE MEASUREMENTS The following table presents information about the Company’s assets and derivative warrant 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 techniques that the Company utilized to determine such fair value: SCHEDULE OF FAIR VALUE HIERARCHY OF VALUATION TECHNIQUES
Description |  | (Level 1) |  |  | (Level 2) |  |  | (Level 3) |
|  | September 30, 2023 |
|  | Quoted Prices in |  |  | Significant Other |  |  | Significant Other |
|  | Active Markets |  |  | Observable Inputs |  |  | Unobservable Inputs |
Description |  | (Level 1) |  |  | (Level 2) |  |  | (Level 3) |
Asset: |  |  |  |  |  |  |  |  |  |  |  |
Investments held in Trust Account |  | $ | 19,308,261 |  |  | $ | — |  |  | $ | — |
Warrant Liabilities: |  |  |  |  |  |  |  |  |  |  |  |
Public Warrants |  | $ | 575,000 |  |  | $ | — |  |  | $ | — |
Private Placement Warrants |  | $ | — |  |  | $ | — |  |  | $ | 29,849 |
Description |  | (Level 1) |  |  | (Level 2) |  |  | (Level 3) |
|  | December 31, 2022 |
|  | Quoted Prices in |  |  | Significant Other |  |  | Significant Other |
|  | Active Markets |  |  | Observable Inputs |  |  | Unobservable Inputs |
Description |  | (Level 1) |  |  | (Level 2) |  |  | (Level 3) |
Asset: |  |  |  |  |  |  |  |  |  |  |  |
Investments held in Trust Account |  | $ | 29,029,416 |  |  | $ | — |  |  | $ | — |
Warrant Liabilities: |  |  |  |  |  |  |  |  |  |  |  |
Public Warrants |  | $ | 345,000 |  |  | $ | — |  |  | $ | — |
Private Placement Warrants |  | $ | — |  |  | $ | — |  |  | $ | 17,558 |
The Warrants are measured at fair value on a recurring basis. The Public Warrants were valued initially and at each reporting period that the warrants were not actively traded, using a Monte Carlo simulation. As of September 30, 2023 and December 31, 2022, the Public Warrants were valued using the instrument’s publicly listed trading price, which is considered to be a Level 1 measurement due to the use of an observable market quote in an active market. Private Placement Warrants were valued using a Monte Carlo valuation model using level 3 inputs at initial valuation and as of September 30, 2023 and December 31, 2022. At September 30, 2023 and December 31, 2022, assets held in the Trust Account were invested solely in Morgan Stanley Bank cash, bank deposit program and money market fund and BlackRock US Treasury mutual fund of $19,308,261 and $29,029,416, respectively. The Warrants were accounted for as liabilities in accordance with ASC 815-40 and are presented within warrant liabilities in the accompanying consolidated balance sheets. The warrant liabilities are measured at fair value at inception and on a recurring basis, with changes in fair value presented within the consolidated statement of operations. The accounting treatment of derivative financial instruments requires that the Company record a derivative liability upon the closing of the Initial Public Offering. Accordingly, the Company classified each warrant as a liability at its fair value and the warrants were allocated a portion of the proceeds from the issuance of the Units equal to its fair value determined by the Monte Carlo simulation. This liability is subject to remeasurement at each balance sheet date. With each such re-measurement, the warrant liability will be adjusted to fair value, with the change in fair value recognized in the Company’s statement of operations. The Company will reassess the classification at each balance sheet date. If the classification changes as a result of events during the period, the warrants will be reclassified as of the date of the event that causes the reclassification. NOTE 9. FAIR VALUE MEASUREMENTS (Continued) The Company utilized a Monte Carlo simulation to estimate the fair value of the Public warrants at each reporting period for its warrants that are not actively traded. 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 based on historical volatility of select peer companies 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. On June 22, 2021, the Public Warrants surpassed the threshold waiting period to be publicly traded. Once publicly traded, the observable input qualifies the liability for treatment as a Level 1 liability. As such, as of September 30, 2023 and December 31, 2022, the Company classified the Public Warrants as Level 1. The estimated fair value of the Private Placement Warrants is determined using Level 3 inputs. Inherent in a Monte Carlo model are assumptions related to expected share-price volatility, expected life, risk-free interest rate and dividend yield. The Company estimates the volatility of its 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. Transfers to/from Levels 1, 2 and 3 are recognized at the end of the reporting period in which a change in valuation technique or methodology occurs. For the three months ended September 30, 2023 and December 31, 2022, there were no transfers between levels. The following table provides quantitative information regarding Level 3 fair value measurements inputs as their measurement dates: SCHEDULE OF FAIR VALUE MEASUREMENTS INPUTS AS THEIR MEASUREMENT DATES
|  | September 30, 2023 |  |  | December 31, 2022 |
|  | (Private Warrants) |  |  | (Private Warrants) |
Exercise price |  | $ | 11.50 |  |  | $ | 11.50 |
Share price |  | $ | 11.26 |  |  | $ | 10.44 |
Expected term (years) |  |  | 5.61 |  |  |  | 5.12 |
Probability of Acquisition |  |  | 2.10 | % |  |  | 2.75 | %
Volatility |  |  | 7.9 | % |  |  | 4.2 | %
Risk-free rate |  |  | 4.50 | % |  |  | 3.91 | %
Dividend yield (per share) |  | $ | 0.00 |  |  | $ | 0.00 |
The change in the fair value of the derivative warrant liabilities for the three months ended September 30, 2023 and 2022 is as follows: SCHEDULE OF CHANGES IN FAIR VALUE OF DERIVATIVE WARRANT LIABILITIES
|  | Private Warrants |  |  | Public Warrants |  |  | Total Warrant Liability |
Fair value as of December 31, 2022 |  | $ | 17,558 |  |  | $ | 345,000 |  |  | $ | 362,558 |
Change in valuation inputs or other assumptions(1) |  |  | 12,291 |  |  |  | 230,000 |  |  |  | 242,291 |
Fair value as of September 30, 2023 |  | $ | 29,849 |  |  | $ | 575,000 |  |  | $ | 604,849 |
|  | Private Warrants |  |  | Public Warrants |  |  | Total Warrant Liability |
Fair value as of December 31, 2021 |  | $ | 251,668 |  |  | $ | 4,600,000 |  |  | $ | 4,851,668 |
Fair value, beginning balance |  | $ | 251,668 |  |  | $ | 4,600,000 |  |  | $ | 4,851,668 |
Change in valuation inputs or other assumptions(1) |  |  | (117,640 | ) |  |  | (2,645,000 | ) |  |  | (2,762,640 | )
Fair value as of September 30, 2022 |  | $ | 134,028 |  |  | $ | 1,955,000 |  |  | $ | 2,089,028 |
Fair value, ending balance |  | $ | 134,028 |  |  | $ | 1,955,000 |  |  | $ | 2,089,028 |
(1) | Changes in valuation inputs or other assumptions are recognized in the change in fair value of warrant liability in the consolidated statement of operations.

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- Definition 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. + References Reference 1: http://www.xbrl.org/2003/role/disclosureRef -Topic 820 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 2 -Publisher FASB -URI https://asc.fasb.org//1943274/2147482106/820-10-50-2 + Details
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