Fair Value Measurements

9 Months Ended

Sep. 30, 2022

Note 8 — Fair Value Measurements

The following table presents information about the Company’s financial liabilities that are measured at fair value on a recurring basis as of September 30, 2022 by level within the fair value hierarchy:

	Level 1		Level 2		Level 3		Total
Assets
Marketable securities held in Trust Account	$	235,463,100	$	-	$	-	$	235,463,100
	$	235,463,100	$	-	$	-	$	235,463,100
Liabilities:
Public Warrants	$	923,450	$	-	$	-	$	923,450
Private Placement Warrants		-		939,510		-		939,510
Total liabilities	$	923,450	$	939,510	$	-	$	1,862,960

The following table presents the fair value hierarchy for liabilities measured at fair value on a recurring basis as of December 31, 2021:

	Level 1		Level 2		Level 3		Total
Assets
Marketable securities held in Trust Account	$	234,600,000	$	-	$	-	$	234,600,000
	$	234,600,000	$	-	$	-	$	234,600,000
Liabilities:
Public Warrants	$	-	$	-	$	7,705,000	$	7,705,000
Private Placement Warrants		-		-		7,839,000		7,839,000
Total liabilities	$	-	$	-	$	15,544,000	$	15,544,000

Transfers to/from Levels 1, 2, and 3 are recognized at the end of the reporting period. For the nine months ended September 30, 2022, the public and private warrants were transferred out of level 3 into level 1 and level 2, respectively.

The change in the fair value of the derivative warrant liabilities measured with Level 3 inputs for the period from April 1, 2021 (inception) through September 31, 2022 is summarized as follows:

Derivative warrant liabilities at April 1, 2021 (inception)	$	-
Issuance of Public and Private Warrants - Level 3 measurements		16,008,000
Change in fair value of derivative warrant liabilities with Level 3 inputs		(464,000	)

Derivative warrant liabilities at December 31, 2021 with Level 3 inputs	$	15,544,000
Transfer out of level 3		(15,544,000	)
Derivative warrant liabilities at September 30, 2022 with Level 3 inputs	$	-

The fair value of the Public Warrants issued in connection with the Public Offering and Private Placement Warrants were initially measured at fair value using a Monte Carlo simulation model. The fair value of Public Warrants issued in connection with the Initial Public Offering have been measured based on the listed market price of such warrants, a Level 1 measurement, since January 24, 2022. The fair value of the Private Placement Warrants has subsequently been measured by reference to the trading price of the Public Warrants, which is considered to be a Level 2 fair value measurement. The Company recognized a charge to the statement of operations resulting from a decrease in the fair value of liabilities of $13,681,040 presented as change in fair value of derivative warrant liabilities on the accompanying statement of operations.

	Public Warrant			Private Warrant			Total

Fair value at January 1, 2022	$	7,705,000		$	7,839,000		$	15,544,000
Change in fair value		(3,829,592	)		(3,826,437	)		(7,656,029	)
Fair value as of March 31, 2022	$	3,875,408		$	4,012,563		$	7,887,971
Change in fair value		(2,150,408	)		(2,257,563	)		(4,407,971	)
Fair value as of June 30, 2022	$	1,725,000		$	1,755,000		$	3,480,000
Change in fair value		(801,550	)		(815,490	)		(1,617,040	)
Fair value as of September 30, 2022	$	923,450		$	939,510		$	1,862,960

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

As of December 31, 2021
Volatility		11.0	%
Underlying stock price	$	9.67
Expected time until merger (years)		5.92
Risk-free rate		1.33	%
Dividend yield		0.0	%

- 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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