Recurring Fair Value Measurements

3 Months Ended

Mar. 31, 2023

Recurring Fair Value Measurements [Abstract]

Recurring Fair Value Measurements

Note 8 — Recurring Fair Value Measurements

	March 31,		Quoted Prices In Active Markets		Significant Other Observable Inputs		Significant Other Unobservable Inputs
	2023		(Level 1)		(Level 2)		(Level 3)
Assets:
Money Market Funds held in Trust Account	$	10,576,179	$	10,576,179		—		—
Liabilities:
Public Warrants: Liabilities		632,500		632,500		—		—
Private Placement Warrants: Liabilities		308,901		—		—		308,901
	$	941,401	$	632,500	$	—	$	308,901

The following table presents information about the Company’s assets and liabilities that are measured at fair value on a recurring basis at March 31, 2023 and December 31, 2022, and indicates the fair value hierarchy of the valuation inputs the Company utilized to determine such fair value:

	December 31,		Quoted Prices In Active Markets		Significant Other Observable Inputs		Significant Other Unobservable Inputs
	2022		(Level 1)		(Level 2)		(Level 3)
Assets:
Money Market Funds held in Trust Account	$	10,297,411	$	10,297,411		—		—
Liabilities:
Public Warrants: Liabilities	$	822,250	$	822,250	$	—	$	—
Private Placement Warrants: Liabilities		397,870		—		—		397,870
	$	1,220,120	$	822,250	$	—	$	397,870

The Warrants are accounted for as liabilities in accordance with ASC 815-40 and are presented within warrant liabilities on the balance sheets. The warrant liabilities are measured at fair value at inception and on a recurring basis, with changes in fair value presented within change in fair value of warrant liabilities in the statements of operations.

The Company established the initial fair value of the Public Warrants on August 30, 2021 using a Modified Black Scholes simulation model, and as of March 31, 2023 and December 31, 2022 by using the associated trading price of the Public Warrants.  The Company established the initial fair value of the Private Placement Warrants on August 30, 2021 and on March 31, 2023 and December 31, 2022 by using a modified Black Scholes calculation. The Warrants were classified as Level 3 at the initial measurement date due to the use of unobservable inputs. The Public Warrants were subsequently classified as Level 1 as the subsequent valuation was based upon the trading price of the Public Warrants. 

The following table presents the changes to Level 3 labilities for the year ended March 31, 2023 and December 31, 2022:

Fair Value at December 31, 2022		397,870
Change in fair value		(88,969	)
Fair Value at March 31, 2023	$	308,901

Fair Value at December 31, 2021		2,566,959
Change in fair value		(1,417,244	)
Fair Value at March 31, 2022	$	1,149,715

The key inputs into the Modified Black Scholes simulation, which is considered to be a Level 3 fair value measurement, as of August 30, 2021, December 31, 2022 and March 31, 2023 were as follows:

	(Initial Measurement) August 30, 2021			December 31, 2022			March 31, 2023
Risk-free interest rate		0.97	%		4.75	%		4.85	%
Expected term remaining (years)		5.91			0.66			0.64
Expected volatility		17.00	%		8.8	%		5.30	%
Stock price	$	9.197		$	10.38		$	10.75

The probability of a business combination was 90%, 30% and 10% at August 30, 2021, December 31, 2022 and March 31, 2023, respectively.

Derivative liability-conversion feature

The Company utilizes a Monte Carlo model to estimate the fair value of the conversion feature within the working capital loans which is required to be recorded at its initial fair value on the date of issuance, and each balance sheet date thereafter. Changes in the estimated fair value of the conversion feature are recognized as non-cash gains or losses in the condensed consolidated statements of operations.

The key assumptions in the model relate to expected share-price volatility, risk-free interest rate, exercise price, expected term and the probability of occurrence of the transaction. The expected volatility was based on the average volatility of SPACs that are searching for an acquisition target. The risk-free interest rate is based on interpolation of U.S. Treasury yields with a term commensurate with the term of the warrants. The Company anticipates the dividend yield to be zero. The expected term of the warrants is assumed to be the estimated date of a Business Combination.  

The estimated fair value of the conversion feature related to the working capital loans as of issuance and for the period ended March 31, 2023 are zero.