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RECURRING FAIR VALUE MEASUREMENTS
6 Months Ended
Jun. 30, 2023
RECURRING FAIR VALUE MEASUREMENTS  
RECURRING FAIR VALUE MEASUREMENTS

NOTE 9. RECURRING FAIR VALUE MEASUREMENTS

As of June 30, 2023 and December 31, 2022, the Company’s warrant liabilities were valued at $454,098 and $942,646, respectively. Under the guidance in ASC 815-40, the warrants do not meet the criteria for equity treatment. As such, the warrants must be recorded on the condensed balance sheets at fair value. This valuation is subject to re-measurement at each balance sheet date. With each re-measurement, the warrant valuation will be adjusted to fair value, with the change in fair value recognized in the Company’s condensed statements of operations.

All of the Company’s permitted investments are held in a money market fund. Fair values of these investments are determined by Level 1 inputs utilizing quoted prices (unadjusted) in active markets for identical assets. The Company’s warrant liability for the Private Placement Warrants is based on a valuation model utilizing management judgment and pricing inputs from observable and unobservable markets with less volume and transaction frequency than active markets. Significant deviations from these estimates and inputs could result in a material change in fair value. The fair value of the Private Placement Warrant liability is classified within Level 3 of the fair value hierarchy. The Company’s warrant liability for the Public Warrants is based on unadjusted quoted prices in active markets 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. During the year ended December 31, 2021, the Public Warrants were reclassified from a Level 3 to a Level 1 classification.

The following table presents fair value information as of June 30, 2023 and December 31, 2022 of the Company’s financial assets and liabilities that were accounted for at fair value on a recurring basis and indicates the fair value hierarchy of the valuation techniques the Company utilized to determine such fair value.

Amount at

Description

    

Fair Value

    

Level 1

    

Level 2

    

Level 3

June 30, 2023 (Unaudited)

Assets:

Cash held in Trust Account:

 

$

14,530,345

$

14,530,345

 

$

$

Liabilities:

Public Warrants

$

249,780

$

249,780

$

$

Private Warrants

$

204,318

$

$

$

204,318

December 31, 2022

Assets:

Cash held in Trust Account:

$

15,127,621

$

15,127,621

$

$

Liabilities:

Public Warrants

$

524,400

$

524,400

$

$

Private Warrants

$

418,246

$

$

$

418,246

Measurement - The Company established the initial fair value for the warrants on March 9, 2021, the date of the consummation of the IPO. On June 30, 2023 and December 31, 2022, the fair value was remeasured. In May 2021, the Public Warrants were separately traded in the open market and the valuation for the Public Warrants was based on unadjusted quoted prices at June 30, 2023 and December 31, 2022. For June 30, 2023 and December 31, 2022, the Company used a Monte Carlo simulation model to value the Private Placement Warrants.

The key inputs into the Monte Carlo simulation model for the Warrants were as follows at initial measurement, June 30, 2023 and December 31, 2022:

    

June 30, 2023

    

    

(Unaudited)

December 31, 2022

Risk-free interest rate

5.39

%

4.75

%

Expected term (years)

1.03

0.69

Expected volatility

3.7

%

11.1

%

Exercise Price

11.50

11.50

The change in the fair value of the warrant liabilities classified as Level 3 for the three and six months ended June 30, 2023 and the year ended December 31,2022 is summarized as follows:

Fair value at December 31, 2021

    

$

4,594,820

Change in fair value

(1,977,860)

Fair value at March 31, 2022 (unaudited)

2,616,960

Change in fair value

(1,789,760)

Fair value at June 30, 2022 (unaudited)

827,200

Change in fair value

(536,427)

Fair value at September 30, 2022 (unaudited)

 

290,773

Change in fair value

127,473

Fair value at December 31, 2022

$

418,246

Change in fair value

42,015

Fair value at March 31, 2023 (unaudited)

460,261

Change in fair value

(255,943)

Fair value at June 30, 2023 (unaudited)

$

204,318