Fair Value Measurements

9 Months Ended

Sep. 30, 2022

Fair Value Disclosures [Abstract]

Fair Value Measurements

Note 9 - Fair Value Measurements

The public warrants were initially measured utilizing a Monte Carlo simulation model, and the private placement warrants were measured utilizing a Black-Scholes model. Subsequently when the public warrants were separately listed and traded in an active market, the public warrants have been measured at fair value utilizing their listed trading price.

For the three months ended September 30, 2022 and 2021, the Company recognized a gain from a decrease in the fair value of liabilities of $0 and approximately $2.0 million, respectively, presented as a change in fair value of derivative warrant liabilities in the accompanying unaudited condensed consolidated statements of operations. For the nine months ended September 30, 2022 and 2021, the Company recognized a gain from a decrease in the fair value of liabilities of approximately $5.9 million and $5.8 million, respectively, presented as a change in fair value of derivative warrant liabilities in the accompanying unaudited condensed consolidated statements of operations.

The estimated fair value of private placement warrants as of September 30, 2022 was based on the fair value of the public warrants and the estimated fair value of the private placement warrants as of December 31, 2021 were determined utilizing Level 3 inputs. Inherent in a Monte Carlo simulation and Black-Scholes model are assumptions related to expected stock-price volatility, expected life, risk-free interest rate and dividend yield. The Company estimates the volatility of its common stock warrants based on implied volatility from the Company’s traded warrants and from historical volatility of select peer company’s common stock that matches the expected remaining life of the warrants. The risk-free interest rate is based on the U.S. Treasury zero-coupon yield curve on the grant date for a maturity similar to the expected remaining life of the warrants. The expected life of the warrants is assumed to be equivalent to their remaining contractual term. The dividend rate is based on the historical rate, which the Company anticipates remaining at zero. The most significant input is volatility and significant increases (decreases) in the expected volatility in isolation would result in a significantly higher (lower) fair value measurement.

The following tables present information about the Company’s financial assets and liabilities that are measured at fair value on a recurring basis as of September 30, 2022 and December 31, 2021 by level within the fair value hierarchy:

September 30, 2022

Description	Quoted Prices in Active Markets (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Other Unobservable Inputs (Level 3)
Assets:
Investments held in trust account  - U.S. Treasury securities	$	11,888,894	$	-	$	-
Liabilities:
Derivative warrant liabilities - Public	$	431,250	$	-	$	-
Derivative warrant liabilities - Private Placement	$	-	$	242,500	$	-

December 31, 2021

Description	Quoted Prices in Active Markets (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Other Unobservable Inputs (Level 3)
Assets:
Investments held in trust account  - U.S. Treasury securities	$	172,543,076	$	-	$	-
Liabilities:
Derivative warrant liabilities – Public	$	4,226,250	$	-	$	-
Derivative warrant liabilities – Private Placement	$	-	$	-	$	2,376,500

Transfers to/from Levels 1, 2 and 3 are recognized at the beginning of the reporting period. The estimated fair value of public warrants was transferred from a Level 3 fair value measurement to a Level 1 measurement when the public warrants were separately listed and traded in February 2021. There were no other transfers to/from Levels 1, 2, and 3 during the year ended December 31, 2021. The estimated fair value of the private placement warrants was transferred from a Level 3 fair value measurement to a Level 2 measurement on July 1, 2022. As the transfer of private placement warrants to anyone who is not a permitted transferee would result in the private placement warrants having substantially the same terms as the public warrants, the Company determined that the fair value of each private placement warrant is equivalent to that of each public warrant. There were no other transfers to/from Levels 1, 2, and 3 during the three and nine months ended September 30, 2022.

The following table provides quantitative information regarding Level 3 fair value measurements inputs at their measurement dates:

	As of December 31, 2021
Exercise price	$	11.50
Unit price	$	10.15
Volatility		8.80	%
Stock price	$	9.90
Expected life of the options to convert (years)		5.42
Risk-free rate		1.29	%

The changes in the fair value of the derivative warrant liabilities, measured using Level 3 inputs, for the nine months ended September 30, 2022 and 2021 are summarized as follows:

	2022			2021
Derivative warrant liabilities as of January 1	$	2,376,500		$	14,580,610
Transfer out of Level 3, Public Warrants start trading		-			(5,354,620	)
Change in fair value of derivative warrant liabilities - Level 3		(1,309,500	)		(6,206,630	)
Derivative warrant liabilities as of March 31 - Level 3		1,067,000			3,019,360
Change in fair value of derivative warrant liabilities - Level 3		(824,500	)		860,640
Derivative warrant liabilities as of June 30 - Level 3		242,500			3,880,000
Transfer of Private Placement Warrants to Level 2		(242,500	)		-
Change in fair value of derivative warrant liabilities - Level 3		-			(727,500	)
Derivative warrant liabilities as of September 30 - Level 3	$	-		$	3,152,500