XML 27 R16.htm IDEA: XBRL DOCUMENT

Fair Value Measurements

9 Months Ended

Sep. 30, 2022

Fair Value Disclosures [Abstract]

FAIR VALUE MEASUREMENTS

NOTE 9 — FAIR VALUE MEASUREMENTS

The fair value of the Company’s financial assets and liabilities reflects management’s estimate of amounts that the Company would have received in connection with the sale of the assets or paid in connection with the transfer of the liabilities in an orderly transaction between market participants at the measurement date. In connection with measuring the fair value of its assets and liabilities, the Company seeks to maximize the use of observable inputs (market data obtained from independent sources) and to minimize the use of unobservable inputs (internal assumptions about how market participants would price assets and liabilities). The following fair value hierarchy is used to classify assets and liabilities based on the observable inputs and unobservable inputs used in order to value the assets and liabilities:

	Level 1:	Quoted prices in active markets for identical assets or liabilities. An active market for an asset or liability is a market in which transactions for the asset or liability occur with sufficient frequency and volume to provide pricing information on an ongoing basis.

	Level 2:	Observable inputs other than Level 1 inputs. Examples of Level 2 inputs include quoted prices in active markets for similar assets or liabilities and quoted prices for identical assets or liabilities in markets that are not active.

	Level 3:	Unobservable inputs based on our assessment of the assumptions that market participants would use in pricing the asset or liability.

At September 30, 2022 assets held in the Trust Account were comprised of $230,682,837 in a money market fund. At December 31, 2021, assets held in the Trust Account were comprised of $230,092,305 in a money market fund. During the three and nine months ended September 30, 2022 the Company withdrew $282,000 and $452,000, respectively of interest income from the Trust Account in order to satisfy tax obligations related to the earnings of the Trust Account. During the three and nine months ended September 30, 2021, the Company did not withdraw any interest or dividend income from the Trust Account.

The following tables present information about the Company’s assets and liabilities that are measured at fair value on a recurring basis at September 30, 2022 and December 31, 2021, and indicate the fair value hierarchy of the valuation inputs the Company utilized to determine such fair value. The fair value of securities at September 30, 2022 are as follows:

				September 30, 2022
		Security		Level		Fair Value
Assets		Money market funds		1		$	230,682,837
Liabilities		Private warrants		2		$	68,000

The fair value of securities at December 31, 2021 are as follows:

				December 31, 2021
		Security		Level		Fair Value
Assets		Money market funds		1		$	230,092,305
Liabilities		Private warrants		3		$	2,856,000

Transfers to/from Levels 1, 2 and 3 are recognized at the end of the reporting period. There were no transfers during the three and nine months ended September 30, 2021. The private warrants transferred from Level 3 to Level 2 measurement during the three and nice months ended September 30, 2022.

The Private Warrants are accounted for as liabilities in accordance with ASC 815-40 and are presented within warrant liabilities on the Company’s condensed 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 condensed statement of operations.

Fair Value Measurement

The Private Warrants are measured at fair value on a recurring basis, using a Black-Scholes Model and are considered Level 3 liabilities with inherent uncertainties involved. If factors or assumptions change, the estimated fair values could be materially different. For the periods prior to September 30, 2022, the Private Warrants were valued using a Black-Scholes Model, which is considered to be a Level 3 fair value measurement. For September 30, 2022, the fair value of the Private Warrants is measured based on the listed market price of the public warrants. The key inputs into the Black-Scholes Model for the Private Warrants were as follows:

			December 31, 2021
Risk-free interest rate				1.31	%
Expected term (years)				5
Expected volatility				13.0	%
Exercise price			$	11.50
Stock price			$	9.82
Dividend yield				0.0	%

The following tables present the changes in the fair value of warrant liability for the three and nine months ended September 30, 2022 and 2021:

		Warrant Liability
Fair value as of January 1, 2022		$	2,856,000
Change in fair value of warrant liability			(1,768,000	)
Fair value as of March 31, 2022			1,088,000
Change in fair value of warrant liability			(680,000	)
Fair value as of June 30, 2022			408,000
Change in fair value of warrant liability			(340,000	)
Fair value as of September 30, 2022		$	68,000

		Warrant Liability
Fair value as of January 1, 2021		$	5,780,000
Change in fair value of warrant liability			(68,000	)
Fair value as of March 31, 2021			5,712,000
Change in fair value of warrant liability			(748,000	)
Fair value as of June 30, 2021			4,964,000
Change in fair value of warrant liability			(1,428,000	)
Fair value as of September 30, 2021		$	3,536,000

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 + Details