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Fair Value Measurements (Tables)

9 Months Ended

Sep. 30, 2023

Fair Value Disclosures [Abstract]

Schedule of Fair Value Assets and Liabilities Measured on Recurring Basis

The following tables present information about the Company's assets and liabilities that are measured at fair value on a recurring basis and indicate the fair value hierarchy of the valuation inputs the Company utilized to determine such fair value:

		As of September 30, 2023
		Total				Quoted Prices In Active Markets (Level 1)				Significant Other Observable Inputs (Level 2)				Significant Other Unobservable Inputs (Level 3)
Liabilities:
Public Warrant liability		$	402,500			$	402,500			$	—			$	—
Private Placement Warrant liability			14,602				—				—				14,602
Total		$	417,102			$	402,500			$	—			$	14,602

		As of December 31, 2022
		Total				Quoted Prices In Active Markets (Level 1)				Significant Other Observable Inputs (Level 2)				Significant Other Unobservable Inputs (Level 3)
Liabilities:
Public Warrant liability		$	310,500			$	310,500			$	—			$	—
Private Placement Warrant liability		$	10,430				—				—				10,430
Total		$	320,930			$	310,500			$	—			$	10,430

Summary of Changes in Level 3 Fair Value Measurements

The following table provides a summary of the changes in Level 3 fair value measurements:

		September 30, 2023
Balance, December 31, 2022		$	10,430
Change in fair value of Private Placement Warrant liability			(2,086	)
Balance, March 31, 2023		$	8,344
Change in fair value of Private Placement Warrant liability			12,516
Balance, June 30, 2023		$	20,860
Change in fair value of Private Placement Warrant liability		$	(6,258	)
Balance, September 30, 2023		$	14,602

Schedule of Key Inputs into Monte Carlo Simulation

The key inputs into the valuations as of September 30, 2023 and December 31, 2022 were as follows:

		September 30, 2023				December 31, 2022
Risk-free interest rate			4.79	%			4.00	%
Expected term remaining (years)			3.06				3.81
Implied volatility			97.0	%			82.0	%
Closing common stock price on the measurement date		$	0.63			$	0.59

The key inputs into the valuations as of the initial measurement date, December 7, 2022, were as follows:

		Initial Measurement
Risk-free interest rate			3.62	%
Expected term remaining (years)			5.00
Implied volatility			89.0	%
Closing common stock price on the measurement date, less discount for lack of marketability (1)		$	0.66

The key inputs into the valuations as of the 2023 Ladenburg Agreement initial measurement date, March 21, 2023, were as follows:

		Initial Measurement
Risk-free interest rate			3.98	%
Expected term remaining (years)			3.00
Implied volatility			94.0	%
Closing common stock price on the measurement date		$	0.52

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

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-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 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)
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- Definition

Tabular disclosure of assets and liabilities, including [financial] instruments measured at fair value that are classified in stockholders' equity, if any, 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://www.xbrl.org/2003/role/disclosureRef
-Topic 820
-SubTopic 10
-Name Accounting Standards Codification
-Section 50
-Paragraph 2
-Subparagraph (a)
-Publisher FASB
-URI https://asc.fasb.org//1943274/2147482106/820-10-50-2

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-Topic 820
-SubTopic 10
-Name Accounting Standards Codification
-Section 50
-Paragraph 2
-Subparagraph (b)
-Publisher FASB
-URI https://asc.fasb.org//1943274/2147482106/820-10-50-2

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