FAIR VALUE MEASUREMENTS

12 Months Ended

Dec. 31, 2022

FAIR VALUE MEASUREMENTS

FAIR VALUE MEASUREMENTS

NOTE 10. 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:

The Company classifies its U.S. Treasury and equivalent securities as held to maturity in accordance with ASC Topic 320, “Investments - Debt and Equity Securities.” Held-to-maturity securities are those securities which the Company has the ability and intent to hold until maturity. Held-to-maturity U.S. Treasury securities are recorded at amortized cost on the accompanying balance sheets and adjusted for the amortization or accretion of premiums or discounts.

On December 31, 2022, assets held in the Trust Account were comprised of $7,527,369 in money market funds. During the year ended December 31, 2022, the Company withdrew $110,472,254 as a result of an aggregate of 10,805,877 shares of common stock redeemed on October 20, 2022 and the Company did not withdraw any interest income from the Trust Account.

On December 31, 2021, assets held in the Trust Account were comprised of $959 in cash and $116,726,019 in U.S. Treasury securities. During the period from March 30, 2021 (inception) through December 31, 2021, the Company did not withdraw any interest income from the Trust Account.

The following table present information about the Company’s assets that are measured at fair value on a recurring basis on December 31, 2022 and 2021 and indicates the fair value hierarchy of the valuation inputs the Company utilized to determine such fair value. The gross holding loss and fair value of held-to-maturity securities on December 31, 2022 and 2021 are as follows:

					Gross
			Amortized		Holding
	Trading Securities	Level	Cost		Loss		Fair Value
December 31, 2022	Money Market Funds	1	$	n/a	$	n/a	$	7,527,369

					Gross
			Amortized		Holding
	Held-To-Maturity	Level	Cost		Loss		Fair Value
December 31, 2021	U.S. Treasury Securities (Matured on 3/17/2022)	1	$	116,726,019	$	(3,097)	$	116,722,922

The following table presents fair value information as of December 31, 2022 of the Company’s financial liabilities that were accounted for at fair value on a recurring basis and indicates the fair value hierarchy of the valuation techniques the Company utilized to determine such fair value. The Company did not have any financial liabilities that were accounted for at fair values on a recurring basis as of December 31, 2021.

	Carrying Value		(Level 1)		(Level 2)		(Level 3)
Liabilities:
PIPE Forward Contract	$	170,666	$	—	$	—	$	170,666
Bridge Note – Bifurcated Derivative	$	364,711	$	—	$	—	$	364,711

Measurement

Bridge Note Bifurcated Derivative

The Company established the initial fair value for the Bridge Note Bifurcated Derivative as of October 5, 2022, which was the date the Bridge Note was executed. On December 31, 2022 the fair value was remeasured. As such, the Company used a Probability Weighted Expected Return Method (“PWERM”) that fair values the early termination/repayment features of the debt. The PWERM is a multi-step process in which value is estimated based on the probability-weighted present value of various future outcomes. The PWERM was used to value the Bridge Note Bifurcated Derivative for the initial periods and subsequent measurement periods.

The Bridge Note Bifurcated Derivative was classified within Level 3 of the fair value hierarchy at the initial measurement dates and as of December 31, 2022 due to the use of unobservable inputs. The key inputs into the Monte Carlo simulation model for the Bridge Note Bifurcated Derivative were as follows at October 5, 2022, initial value and at December 31, 2022:

	October 5, 2022		December 31, 2022
CCC bond rates	14.09	%	15.09	%
Probability of early termination/repayment -business combination not completed	10	%	5	%
Probability of early termination/repayment -business combination completed or PIPE completed	90	%	95	%
Probability of completing a business combination by March 31, 2023	50	%	50	%
Probability of completing a business combination by June 30, 2023	50	%	50	%

PIPE Forward Contract

The Company established the initial fair value for the PIPE Forward Contract as of October 6, 2022, which was the date of the PIPE Securities Purchas Agreement was executed. On December 31, 2022 the fair value was remeasured. As such, the Company

utilizing a PWERM. The PWERM is a multistep process in which value is estimated based on the probability-weighted present value of various future outcomes to value the PIPE Forward Contract for the initial periods and subsequent measurement periods.

The PIPE Forward Contract was classified within Level 3 of the fair value hierarchy at the initial measurement dates and as of December 31, 2022 due to the use of unobservable inputs. The key inputs into the PWERM for the PIPE Forward Contract were as follows at October 6, 2022, initial value and at December 31, 2022:

	October 6, 2022		December 31, 2022
Risk-fee interest rate	4.00	%	4.76	%
Expected term (years)	0.61		0.37
Probability of completing a business combination	90	%	95	%

The change in the fair value of the level 3 financial liabilities for the period from contract inception through December 31, 2022 is summarized as follows:

	PIPE		Bridge Note
	Forward Contract		Bifurcated Derivative
Fair value at October 5, 2022 (Initial measurement)			$	278,404
Fair value at October 6, 2022 (Initial measurement)	$	—		—
Change in fair value		170,666		86,307
Fair value at December 31, 2022	$	170,666	$	364,711

Transfers to/from Levels 1, 2 and 3 are recognized at the end of the reporting period in which a change in valuation technique or methodology occurs. There were no transfers to or from the various Levels during the year ended December 31, 2022 and 2021.