Fair Value Measurements (Tables)
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9 Months Ended |
Sep. 30, 2023 |
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| Schedule of Information about Company's Asset And Liabilities Measured at Fair Value |
The following table presents information about the Company’s assets and liabilities that are measured at fair value on September 30, 2023 and December 31, 2022, and indicates the fair value hierarchy of the valuation inputs the Company utilized to determine such fair value:
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September 30, 2023 |
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Quoted Prices
In Active
Markets
(Level 1) |
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Significant
Other
Observable
Inputs
(Level 2) |
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Significant
Other
Unobservable
Inputs
(Level 3) |
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Assets |
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Investments held in Trust Account |
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$ |
82,381,980 |
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$ |
82,381,980 |
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$ |
— |
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$ |
— |
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$ |
82,381,980 |
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$ |
82,381,980 |
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$ |
— |
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$ |
— |
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Liabilities |
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Warrant liability—Public Warrants |
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$ |
657,900 |
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$ |
657,900 |
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$ |
— |
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$ |
— |
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Warrant liability—Private Warrants |
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442,740 |
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— |
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442,740 |
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— |
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$ |
1,100,640 |
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$ |
657,900 |
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$ |
442,740 |
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$ |
— |
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December 31, 2022 |
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Quoted Prices
In Active
Markets
(Level 1) |
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Significant
Other
Observable
Inputs
(Level 2) |
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Significant
Other
Unobservable
Inputs
(Level 3) |
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Assets |
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Investments held in Trust Account |
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$ |
225,084,808 |
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$ |
225,084,808 |
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$ |
— |
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$ |
— |
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$ |
225,084,808 |
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$ |
225,084,808 |
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$ |
— |
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$ |
— |
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Liabilities |
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Warrant liability—Public Warrants |
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$ |
482,460 |
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$ |
482,460 |
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$ |
— |
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$ |
— |
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Warrant liability—Private Warrants |
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324,676 |
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— |
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324,676 |
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— |
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$ |
807,136 |
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$ |
482,460 |
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$ |
324,676 |
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$ |
— |
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| Summary of Changes in Fair Value of Financial Instruments Measured at Fair Value on Recurring Basis |
The following table provides a summary of the changes in the fair value of the Company’s Level 3 financial instruments that are measured at fair value on a recurring basis:
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Private
Placement
Warrants |
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Public
Warrants |
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Warrant
Liabilities |
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Over-allotment
Liability |
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Fair value at March 3, 2021 (inception) |
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$ |
— |
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$ |
— |
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$ |
— |
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$ |
— |
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Initial measurement of public and private warrant at January 24, 2022 |
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3,332,000 |
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4,900,000 |
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8,232,000 |
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— |
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Initial measurement of over-allotment option at January 24, 2022 |
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— |
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— |
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— |
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510,000 |
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Initial measurement of public and private warrants issued in connection with the exercise of over-allotment option at February 1, 2022 |
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283,710 |
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472,850 |
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756,560 |
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— |
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Public Warrants fair value changes from Level 3 to Level 1 at March 31, 2022 |
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(3,618,450 |
) |
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(3,618,450 |
) |
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— |
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Forfeiture of over-allotment option |
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— |
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— |
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— |
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(510,000 |
) |
Private Placement Warrants fair value changes from Level 3 to Level 2 at June 30, 2022 |
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(1,438,905 |
) |
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— |
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(1,438,905 |
) |
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— |
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Fair value changes of warrants |
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(2,176,805 |
) |
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(1,754,400 |
) |
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(3,931,205 |
) |
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— |
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Fair value at December 31, 2022 |
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$ |
— |
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$ |
— |
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$ |
— |
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$ |
— |
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| Lattice Model |
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| Summary of Key Inputs for Warrants Liability |
The key inputs into the Lattice Model for the Public Warrants liability were as follows at initial measurement:
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Input |
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January 24,
2022 |
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Risk-free interest rate |
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1.37 |
% |
Expected term (years) |
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5.33 |
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Expected volatility |
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9.2 |
% |
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| Black-Scholes Model |
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| Summary of Key Inputs for Warrants Liability |
The key inputs into the Black-Scholes model for the Private Warrants liability were as follows at initial measurement:
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Input |
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January 24,
2022 |
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Risk-free interest rate |
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1.37 |
% |
Expected term (years) |
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5.33 |
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Expected volatility |
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9.2 |
% |
Exercise price |
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$ |
11.5 |
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Dividend yield |
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0.00 |
% |
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