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Recurring Fair Value Measurements | 6 Months Ended
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Jun. 30, 2023
Recurring Fair Value Measurements [Abstract] |
Recurring Fair Value Measurements | Note 7 - Recurring Fair Value Measurements Substantially all of the Company’s trust assets on the balance sheet consist of U. S. Money Market funds which are classified as cash equivalents. Fair values of these investments are determined by Level 1 inputs utilizing quoted prices (unadjusted) in active markets for identical assets. Under the guidance in ASC 815-40 the warrants do not meet the criteria for equity classification. As such, these financial instruments must be recorded on the balance sheet at fair value. This valuation is subject to re-measurement at each balance sheet date. With each re-measurement, these financial instruments valuations will be adjusted to fair value, with the change in fair value recognized in the Company’s statement of operations. The Company’s warrant liability for the Private Placement Warrants is based on valuation models utilizing inputs from observable and unobservable markets with less volume and transaction frequency than active markets. The inputs used to determine the fair value of the Private Warrant liability, is classified within Level 3 of the fair value hierarchy. The Company’s Public Warrants are trading on the Nasdaq Stock Market LLC (“NASDAQ”) and the Company’s warrant liability was based on unadjusted quoted prices in an active market (NASDAQ) for identical assets or liabilities that the Company has the ability to access. The fair value of the Public Warrant liability is classified within Level 1 of the fair value hierarchy. The Company’s Promissory Note contains an embedded option whereby up to $1,500,000 of the Promissory Note may be converted into the Company’s warrants. The embedded Working Capital Loan conversion option is accounted for as a liability in accordance with ACS 815-40 on the balance sheet and is measured at fair value at inception and on a recurring basis, with changes in fair value presented within change in fair value in the statement of operations. Valuation of the Working Capital Loan conversion option was derived from the valuation of the underlying Private Placement Warrants and is classified as a level 3 valuation. The following table presents information about the Company’s assets and liabilities that were measured at fair value on a recurring basis as of June 30, 2023 and December 31, 2022, and indicates the fair value hierarchy of the valuation techniques the Company utilized to determine such fair value.
|  | June 30, 2023 |
|  | Level 1 |  |  | Level 2 |  |  | Level 3 |
Assets |  |  |  |  |  |  |  |  |
Investments held in Trust Account |  | $ | 60,420,423 |  |  | $ | — |  |  | $ | — |
Liabilities |  |  |  |  |  |  |  |  |  |  |  |
Public Warrants |  | $ | 805,000 |  |  | $ | — |  |  | $ | — |
Private Warrants |  | $ | — |  |  | $ | — |  |  | $ | 784,000 |
Working Capital Loan conversion option |  | $ | — |  |  | $ | — |  |  | $ | — |
|  | December 31, 2022 |
|  | Level 1 |  |  | Level 2 |  |  | Level 3 |
Assets |  |  |  |  |  |  |  |  |
Investments held in Trust Account |  | $ | 237,038,010 |  |  | $ | — |  |  | $ | — |
Liabilities |  |  |  |  |  |  |  |  |  |  |  |
Public Warrants |  | $ | 575,000 |  |  | $ | — |  |  | $ | — |
Private Warrants |  | $ | — |  |  | $ | — |  |  | $ | 560,000 |
Measurement The Private Warrants were valued using a binomial lattice model, which is considered to be a Level 3 fair value measurement. The key inputs into the binomial lattice model were as follows at June 30, 2023 and December 31, 2022:
Input |  | June 30, 2023 |  |  | December 31, 2022 |
Risk-free interest rate |  |  | 4.07 | % |  |  | 3.95 | %
Expected term to initial Business Combination (years) |  |  | 0.25 |  |  |  | 0.25 |
Expected volatility |  |  | de minimis |  |  |  | de minimis |
Common stock price |  | $ | 10.52 |  |  | $ | 10.18 |
Dividend yield |  |  | 0.0 | % |  |  | 0.0 | %
The following table provides a reconciliation of changes in fair value of the beginning and ending balances for the Company’s warrants classified as Level 3 for the period ended June 30, 2023 and December 31, 2022:
Fair Value at December 31, 2022 – private warrants |  | $ | 560,000 |
Change in fair value |  |  | — |
Fair Value at March 31, 2023 – private warrants |  | $ | 560,000 |
Change in fair value |  |  | 224,000 |
Fair Value at June 30, 2023 – private warrants |  | $ | 784,000 |

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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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