Quarterly report pursuant to Section 13 or 15(d)

Fair Value Measurements (Tables)

v3.23.2
Fair Value Measurements (Tables)
 6 Months Ended
Jun. 30, 2023
Fair Value Disclosures [Abstract]  
Summary of Assets And Liabilities Measured At Fair Value
The following table presents information about the Company’s liabilities that are measured at fair value on a recurring basis at June 30, 2023, and indicates the fair value hierarchy of the valuation inputs the Company utilized to determine such fair value:
 
    
June 30,
2023
     
Quoted
Prices In
Active
Markets
(Level 1)
     
Significant
Other
Observable
Inputs
(Level 2)
     
Significant
Other
Unobservable
Inputs
(Level 3)
  
Liabilities:
            
Warrant Liability—Public Warrants
    $ 825,000      $ 825,000      $ —      $ —  
Warrant Liability—Private Placement Warrants
   
486,338        —          —          486,338  
  
 
 
     
 
 
     
 
 
     
 
 
  
  
$
1,311,338
 
   
$
825,000
 
   
$
—  
     
$
486,338
 
  
 
 
     
 
 
     
 
 
     
 
 
  
 
The following table presents information about the Company’s liabilities that are measured at fair value on a recurring basis at December 31, 2022, and indicates the fair value hierarchy of the valuation inputs the Company utilized to determine such fair value:
 
    
December 31,
2022
     
Quoted
Prices In
Active
Markets
(Level 1)
     
Significant
Other
Observable
Inputs
(Level 2)
     
Significant
Other
Unobservable
Inputs
(Level 3)
  
Liabilities:
            
Warrant Liability—Public Warrants
    $ 877,500      $ 877,500      $ —      $ —  
Warrant Liability—Private Placement Warrants
    $ 505,949        —          —          505,949  
  
 
 
     
 
 
     
 
 
     
 
 
  
  
$
1,383,449
 
   
$
877,500
 
   
$
—  
     
$
505,949
 
  
 
 
     
 
 
     
 
 
     
 
 
  
Summary of the Monte Carlo simulation model for the Private Placement Warrants
The key inputs into the Monte Carlo simulation model for the Private Placement Warrants were as follows at June 30, 2023:
 
Input
   
June 30, 2023
  
Expected term (years)
      0.96  
Expected volatility
      7.7 % 
Risk-free interest rate
      5.40 % 
Exercise price
    $  11.50  
Fair value of the common stock price
    $ 10.05  
The key inputs into the Monte Carlo simulation model for the Private Placement Warrants were as follows at December 31, 2022:
 
Input
   
December 31,
2022
  
Expected term (years)
      1.15  
Expected volatility
      7.9 % 
Risk-free interest rate
      4.68 % 
Exercise price
    $  11.50  
Fair value of the common stock price
    $ 9.92  
Summary of the changes in the fair value of the Level 3 warrant liability
The following table sets forth a summary of the changes in the fair value of the Level 3 warrant liability for the three and six months ended June 30, 2023:
 
    
Warrant Liability
  
Fair value as of December 31, 2022
    $ 505,949  
Change in fair value
      (60,935 ) 
  
 
 
  
Fair value as of March 31, 2023
   
$
445,014
 
Change in fair value
      41,324  
  
 
 
  
Fair value as of June 30, 2023
   
$
486,338
 
  
 
 
  
 
The following table sets forth a summary of the changes in the fair value of the Level 3 warrant liability for the three and six months ended June 30, 2022:
 
    
Warrant Liability
  
Fair value as of December 31, 2021
    $ 4,822,783  
Change in fair value
      (3,428,308 ) 
    
 
 
  
Fair value as of March 31, 2022
   
 
1,394,475
 
Change in fair value
      (344,281 ) 
    
 
 
  
Fair value as of June 30, 2022
   
$
1,050,194