Fair Value Measurements

9 Months Ended

Sep. 30, 2022

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 September 30, 2022 and December 31, 2021 and indicates the fair value hierarchy of the valuation techniques that the Company utilized to determine such fair value.

September 30, 2022


Description	Quoted Prices in Active Markets (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Other Unobservable Inputs (Level 3)
Assets:
Investments held in Trust Account - U.S. Treasury Securities	$	235,611,624	$	—	$	—
Liabilities:
Private Placement Warrants	$	—	$	—	$	3,472,000

December 31, 2021


Description	Quoted Prices in Active Markets (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Other Unobservable Inputs (Level 3)
Assets:
Investments held in Trust Account - U.S. Treasury Securities	$	234,616,804	$	—	$	—
Liabilities:
Private Placement Warrants	$	—	$	—	$	5,824,000

Transfers to/from Levels 1, 2, and 3 are recognized at the beginning of the reporting period. There were no transfers between levels in the

nine months ended September 30, 2022 or for the period from April 19, 2021 (inception) through September 30, 2021.

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

The fair value of the Private Placement Warrants was measured using Black-Scholes Option Closing Model. The fair value of the Private Placement Warrants was determined using Level 3 inputs. Inherent in a Black-Scholes option pricing model are assumptions related to expected stock-price volatility, expected life, risk-free interest rate and dividend yield. The Company estimates the volatility of its warrants based on implied volatility from the Company’s traded warrants and from historical volatility of select peer company’s common stock that matches 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 is assumed to be equivalent to their remaining contractual term. The dividend rate is based on the historical rate, which the Company anticipates remaining at zero.

For the three months ended September 30, 2022 and 2021, the Company recognized a (loss) of approximately $(2.2)

million

and $(4.7) million, respectively, resulting from an (increase) in the fair value of liabilities

and loss upon issuance of private placement warrants

, as presented as change in fair value of derivative warrant liabilities on the accompanying unaudited condensed statements of operations.

For the nine months ended September 30, 2022 and the period from April 19, 2021 (inception) through September 30, 2021, the Company recognized a gain/(loss) of approximately $2.4 million and $(4.5) million, respectively, resulting from a decrease/(increase) in the fair value of liabilities

and loss upon issuance of private placement warrants

, as presented as change in fair value of derivative warrant liabilities on the accompanying unaudited condensed statements of operations.

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


	As of September 30, 2022			As of December 31, 2021

Exercise price	$	11.50		$	11.50
Stock price	$	10.16		$	9.98
Volatility		7.5	%		10.0	%
Term (years)		5.50			5.50
Risk-free rate		4.00	%		1.30	%
Dividend yield		0.0	%		0.0	%

The change in the fair value of Level 3 derivative warrant liabilities for the nine months ended September 30, 2022, is summarized as follows:





Derivative warrant liabilities at December 31, 2021	$	5,824,000
Change in fair value of derivative warrant liabilities-private		(3,024,000	)

Derivative warrant liabilities at March 31, 2022	$	2,800,000
Change in fair value of derivative warrant liabilities-private		(2,016,000	)

Derivative warrant liabilities at June 30, 2022	$	784,000
Change in fair value of derivative warrant liabilities-private		2,688,000

Derivative warrant liabilities at September 30, 2022	$	3,472,000

The change in the fair value of Level 3 derivative warrant liabilities for the period from April 19, 2021 (inception) through September 30, 2021, is summarized as follows:


Derivative warrant liabilities at April 19, 2021 (inception)	$	—
Issuance of Private Placement Warrants		15,456,000
Change in fair value of derivative warrant liabilities-private		336,000

Derivative warrant liabilities at September 30, 2021	$	15,792,000

- 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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