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Recurring Fair Value Measurements

9 Months Ended

10 Months Ended

Sep. 30, 2022

Dec. 31, 2021

Fair Value Disclosures [Abstract]

Recurring Fair Value Measurements

Note 8 - Recurring 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 September 30, 2022 and December 31, 2021, and indicates the fair value hierarchy of the valuation inputs the Company utilized to determine such fair value:

		September 30,				Quoted Prices In Active Markets				Significant Other Observable Inputs				Significant Other Unobservable Inputs
		2022				(Level 1)				(Level 2)				(Level 3)
Assets:
Money Market Funds held in Trust Account		$	130,165,886			$	130,165,886				—				—

Liabilities:
Public Warrants: Liabilities			1,138,500				1,138,500				—				—
Private Placement Warrants: Liabilities			555,797				—				—				555,797
		$	1,694,297			$	1,138,500			$	—			$	555,797

		December 31,				Quoted Prices In Active Markets				Significant Other Observable Inputs				Significant Other Unobservable Inputs
		2021				(Level 1)				(Level 2)				(Level 3)
Assets:
Money Market Funds held in Trust Account		$	128,400,078			$	128,400,078				—				—

Liabilities:
Public Warrants: Liabilities		$	5,313,000			$	5,313,000			$	—			$	—
Private Placement Warrants: Liabilities			2,566,959				—				—				2,566,959
		$	7,879,959			$	5,313,000			$	—			$	2,566,959

The Warrants are accounted for as liabilities in accordance with ASC 815-40 and are presented within warrant liabilities on the 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 statements of operations.

The Company established the initial fair value of the Public Warrants on August 30, 2021 using a Modified Black Scholes simulation model, and as of September 30, 2022 and December 31, 2021 by using the associated trading price of the Public Warrants. The Company established the initial fair value of the Private Placement Warrants on August 30, 2021 and on September 30, 2022 and December 31, 2021 by using a modified Black Scholes calculation. The Warrants were classified as Level 3 at the initial measurement date due to the use of unobservable inputs. The Public Warrants were subsequently classified as Level 1 as the subsequent valuation was based upon the trading price of the Public Warrants.

The following table presents the changes to Level 3 labilities for the year ended September 30, 2022 and December 31, 2021:

Fair Value at January 1, 2021		$	—
Initial fair value of public and private warrants			15,085,335
Transfer of public warrants to Level 1			(10,141,998	)
Change in fair value			(2,376,378	)
Fair Value at December 31, 2021			2,566,959
Change in fair value			(1,417,244	)
Fair Value at March 31, 2022			1,149,715
Change in fair value			(692,454	)
Fair Value at June 30, 2022			457,261
Change in fair value			98,536
Fair Value at September 30, 2022		$	555,797

The key inputs into the Modified Black Scholes simulation, which is considered to be a Level 3 fair value measurement, as of August 30, 2021, December 31. 2021 and September 30, 2022 were as follows:

		(Initial Measurement) August 30, 2021				December 31, 2021				September 30, 2022
Risk-free interest rate			0.97	%			1.31	%			4.04	%
Expected term remaining (years)			5.91				5.49				5.34
Expected volatility			17.00	%			7.70	%			9.10	%
Stock price		$	9.197			$	9.98			$	10.14

The probability of a business combination was 90%, 90% and 30% at August 30, 2021, December 31, 2021 and September 30, 2022, respectively.

Derivative liability-conversion feature

The Company utilizes a Monte Carlo model to estimate the fair value of the conversion feature within the working capital loans which is required to be recorded at its initial fair value on the date of issuance, and each balance sheet date thereafter. Changes in the estimated fair value of the conversion feature are recognized as non-cash gains or losses in the condensed consolidated statements of operations.

The key assumptions in the model relate to expected share-price volatility, risk-free interest rate, exercise price, expected term and the probability of occurrence of the transaction. The expected volatility was based on the average volatility of SPACs that are searching for an acquisition target. The risk-free interest rate is based on interpolation of U.S. Treasury yields with a term commensurate with the term of the warrants. The Company anticipates the dividend yield to be zero. The expected term of the warrants is assumed to be the estimated date of a Business Combination.

The estimated fair value of the conversion feature related to the working capital loans as of issuance and for the period ended September 30, 2022 are zero.

The following are the primary assumptions used for the valuation of the conversion feature within the working capital loans:

		March 1,				March 23,
Warrant Valuation Terms		2022				2022
Risk-free interest rate			1.58	%			2.34	%
Term			5.40				5.34
Expected volatility			5.90	%			2.80	%
Stock Price		$	10.01			$	10.02

Compound Option Terms
Strike price-debt conversion		$	1.00			$	1.00
Strike–price - warrants		$	11.50			$	11.50
Term - debt conversion			0.40				0.34
Term - warrant conversion			5.40				5.34

Probability of transaction			80	%			80	%

Probability of transaction - Target Date 5/30/2022			40	%			40	%

Probability of transaction - Target Date 8/30/2022			60	%			60	%

		September 30,
Warrant Valuation Terms		2022
Risk-free interest rate			4.06	%
Term			5.34
Expected volatility			9.10	%
Stock Price		$	10.14

Compound Option Terms
Strike price-debt conversion		$	1.00
Strike–price - warrants		$	11.50
Term - debt conversion			0.34
Term - warrant conversion			5.34

Probability of transaction - Target Date 11/30/2022			30	%

Probability of transaction - Target Date 2/28/2023			70	%

The following table presents the changes in the fair value of the Level 3 conversion option:

		Working
		Capital
		Loans- Conversion Feature
Fair value at issuance dates of March 1, 2022 and March 23, 2022		$	—
Change in valuation inputs or other assumptions			1,098
Fair value as of June 30, 2022			1,098
Change in valuation inputs or other assumptions			(1,098	)
Fair value as of September 30, 2022		$	---

There were no transfers in or out of Level 3 from other levels in the fair value hierarchy during the period ended September 30, 2022 for the derivative liability - conversion feature.

Note 8 — Recurring 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 December 31, 2021, and indicates the fair value hierarchy of the valuation inputs the Company utilized to determine such fair value:

		December 31,				Quoted Prices In Active Markets				Significant Other Observable Inputs				Significant Other Unobservable Inputs
		2021				(Level 1)				(Level 2)				(Level 3)

Assets:
Money Market Funds held in Trust Account		$	128,400,078			$	128,400,078				—				—
		$	128,400,078			$	128,400,078			$	—			$	—
Liabilities:
Public Warrants: Liabilities		$	5,313,000			$	5,313,000			$	—			$	—
Private Placement Warrants: Liabilities			2,566,959				—				—				2,566,959
		$	7,879,959			$	5,313,000			$	—			$	2,566,959

The Warrants are accounted for as liabilities in accordance with ASC 815-40 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 statement of operations.

The Company established the initial fair value of the Public Warrants on August 30, 2021 using a Modified Black Scholes simulation model, and as of December 31, 2021 by using the associated trading price of the Public Warrants. The Company established the initial fair value of the Private Placement Warrants on August 30, 2021 and on December 31, 2021 by using a modified Black Scholes calculation. The Warrants were classified as Level 3 at the initial measurement date due to the use of unobservable inputs. The Public Warrants were subsequently classified as Level 1 as the subsequent valuation was based upon the trading price of the Public Warrants.

The following table presents the changes Level 3 labilities for the year ended December 31, 2021:

Fair Value at January 1, 2021		$	—
Initial fair value of public and private warrants			15,085,335
Transfer of public warrants to Level 1			(10,141,998	)
Change in fair value			(2,376,378	)

Fair Value at December 31, 2021		$	2,566,959

The key inputs into the Modified Black Scholes simulation as of August 30, 2021 and December 31, 2021 were as follows:

		(Initial Measurement) August 30, 2021				December 31, 2021
Risk-free interest rate			0.97	%			1.31	%
Expected term remaining (years)			5.91				5.49
Expected volatility			17.0	%			7.7	%
Stock price		$	9.197			$	9.98

The probability of a business combination was 90% at August 30, 2021 and December 31, 2021

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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