FAIR VALUE MEASUREMENTS

3 Months Ended

Mar. 31, 2023

FAIR VALUE MEASUREMENTS

FAIR VALUE MEASUREMENTS

NOTE 9. FAIR VALUE MEASUREMENTS

The following tables present information about the Company’s assets and liabilities that are measured at fair value on a recurring basis as of March 31, 2023 and December 31, 2022 and indicate the fair value hierarchy of the valuation techniques that the Company utilized to determine such fair value.

March 31, 2023

	Quoted Prices in Active		Significant Other		Significant Other
	Markets		Observable Inputs		Unobservable Inputs
Description	(Level 1)		(Level 2)		(Level 3)
Assets:
Investments held in Trust Account - U.S. Treasury Securities	$	148,987,403	$	—	$	—
Liabilities:
Derivative liabilities - Public Warrants	$	—	$	191,667	$	—
Derivative liabilities - Private Placement Warrants	$	—	$	211,805	$	—
Derivative liabilities - Forward Purchase Agreement	$	—	$	—	$	164,325

December 31, 2022

	Quoted Prices in Active		Significant Other		Significant Other
	Markets		Observable Inputs		Unobservable Inputs
Description	(Level 1)		(Level 2)		(Level 3)
Assets:
Investments held in Trust Account - U.S. Treasury Securities	$	147,455,089	$	—	$	—
Liabilities:
Derivative liabilities - Public Warrants	$	—	$	191,667	$	—
Derivative liabilities - Private Placement Warrants	$	—	$	211,805	$	—
Derivative liabilities - Forward Purchase Agreement	$	—	$	—	$	140,342

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 measurement to a Level 1 measurement, when the Public Warrants were separately listed and traded in an active market in August 2021, and subsequently transferred to a Level 2 measurement during the quarter ending June 30, 2022 due to low trading volume. The Public Warrants were still held at Level 2 as of March 31, 2023 and December 31, 2022, due to low trading volume. The estimated fair value of the Private Placement Warrants was transferred from a Level 3 measurement to a Level 2 fair value measurement in August 2021, 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. The Company transferred the fair value of the Forward Purchase Agreement to Level 2 from Level 3 in August 2021 and transferred back to a Level 3 in December 2022 as the Company utilized level 3 inputs in determining the fair value. There were no other transfers between levels of the hierarchy for the three months ended March 31, 2023 and December 31, 2022.

Level 1 assets include investments in U.S. Treasury securities. The Company uses inputs such as actual trade data, quoted market prices from dealers or brokers, and other similar sources to determine the fair value of its investments.

The estimated fair value of the Public Warrants and Private Placement Warrants at issuance were measured at fair value using a Monte Carlo simulation, determined using Level 3 inputs. Inherent in a Monte Carlo simulation are assumptions related to expected stock-price volatility, expected life, risk-free interest rate and dividend yield. The Company estimated the volatility of its warrants based on implied volatility from the Company’s traded warrants and from historical volatility of select peer company’s shares that matched 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 was assumed to be equivalent to their remaining contractual term. The dividend rate was based on the historical rate, which the Company anticipated remaining at zero. As of March 31, 2023 and December 31, 2022, the fair value of the Public Warrants is based on the listed price in an active market for such warrants, and the fair value of the Private Placement Warrants is measured using significant observable market inputs.

For the three months ended March 31, 2023 and 2022, the Company recognized a gain in the unaudited condensed statements of operations resulting from a decrease in fair value of the derivative warrant liabilities of approximately $0 and $3.2 million, respectively, presented as change in fair value of derivative warrant liabilities in the accompanying unaudited condensed statements of operations.

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

	March 31, 2023			December 31, 2022
Share price		10.37			10.15
Term (years)		0.5			0.5
Risk-free rate		3.53	%		4.64	%

The change in the fair value of the derivative assets and liabilities, measured with Level 3 inputs, for the year ended December 31, 2022 and three months ended March 31, 2023 is summarized as follow:

Derivative liabilities at January 1, 2022	$	—
Transfer of Forward Purchase Agreement to Level 3		140,342
Derivative liabilities at December 31, 2022		140,342
Change in fair value of derivative liabilities		23,983
Derivative liabilities at March 31, 2023	$	164,325