Fair Value Measurements

3 Months Ended

Mar. 31, 2023

NOTE 8 - FAIR VALUE MEASUREMENTS

The following table presents information about the Company’s assets and liabilities that are measured at fair value on a recurring basis at March 31, 2023 and December 31, 2022, and indicates the fair value hierarchy of the valuation inputs the Company utilized to determine such fair value:


	March 31, 2023		Quoted Prices In Active Markets (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Other Unobservable Inputs (Level 3)
Liabilities:
Public Warrants Liability	$	1,552,787	$	1,552,787	$	—	$	—
Private Placement Warrants Liability		976,753		—		—		976,753
	$	2,529,540	$	1,552,787	$	—	$	976,753


	December 31, 2022		Quoted Prices In Active Markets (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Other Unobservable Inputs (Level 3)
Assets:
U.S. Money Market Funds held in Trust Account	$	320,678,313	$	320,678,313	$	—	$	—
Liabilities:
Public Warrants Liability	$	632,500	$	632,500	$	—	$	—
Private Placement Warrants Liability		414,314		—		—		414,314
	$	1,046,814	$	632,500	$	—	$	414,314

The Warrants are accounted for as liabilities in accordance with

ASC815-40

and are presented within warrant liabilities on the balance sheet. 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 statements of operations.

The Company established the initial fair value of the Public Warrants and Private Warrants on February 9, 2021, the date of the Company’s Initial Public Offering, using a Monte Carlo simulation model. As of December 31, 2021, the fair value for the Private Warrants was estimated using a Monte Carlo simulation model, and the fair value of the Public Warrants by reference to the quoted market price. The Public and Private Warrants were classified as Level 3 at the initial measurement date, and the Private Warrants were classified as Level 3 as of March 31, 2023 and December 31, 2022, due to the use of unobservable inputs. The transfer from Level 3 to Level 1 for the Public Warrants occurred on March 31, 2021 due to the use of the observed trading price of the separated Public Warrants.

The following table presents the changes in Level 3 liabilities for the period ended March 31, 2023 and December 31, 2022:


Fair Value at January 1, 2022	$	5,550,399
Change in fair value of private warrants		(5,136,085	)
Fair Value of private warrants at December 31, 2022	$	414,314
Change in fair value of private warrants		562,439
Fair Value of private warrants at March 31, 2023	$	976,753

The key inputs into the Monte Carlo simulation as of March 31, 2023 and December 31, 2022 were as follows:


Inputs	December 31, 2022			March 31, 2023
Risk-free interest rate		4.74	%		4.52	%
Expected term remaining (years)		0.89			1.21
Expected volatility		7.8	%		8.0	%
Stock price	$	10.06		$	10.09

- 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.

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