FAIR VALUE MEASUREMENTS

12 Months Ended

Dec. 31, 2022

NOTE 10. 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 as of December 31, 2022 and 2021 and indicates the fair value hierarchy of the valuation techniques that the Company utilized to determine such fair value.

December 31, 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	$	237,964,294	$	-	$	-

Liabilities:
Derivative liabilities - Public Warrants	$	596,275	$	-	$	-
Derivative liabilities - Private Placement Warrants	$	-	$	-	$	581,280
Working capital loan - related party	$	-	$	-	$	79,260

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	$	234,600,723	$	-	$	-

Liabilities:
Derivative liabilities - Public Warrants	$	-	$	-	$	7,636,000
Derivative liabilities - Private Placement Warrants	$	-	$	-	$	7,504,000

Transfers to/from Levels 1, 2, and 3 are recognized at the beginning of the reporting period. The estimated fair value of the Public Warrants was transferred from a Level 3 measurement to a Level 1 measurement in January 2022, when the Public Warrants were separately listed and traded in an active market. There were no other transfers between levels for the year ended December 31, 2022 and for the period from March 8, 2021 (inception) through December 31, 2021.

Level 1 assets also include investments in money market funds or 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 has been estimated using a Monte-Carlo simulation model. The fair value of the Public Warrants has been initially estimated using a Monte-Carlo simulation model until the listed price in an active market became available. For the year ended December 31, 2022 and for the period from March 8, 2021 (inception) through December 31, 2021, the Company recognized a non-operating gain in the statements of operations of $13,962,445 and $15,378,000 for the decrease in the fair value of derivative warrant liabilities, respectively.

The estimated fair value of the Private Placement Warrants is, and the estimated fair value of the Public Warrants prior to being listed in an active market was, determined using Level 3 inputs. Inherent in a Monte-Carlo simulation are assumptions related to expected share-price volatility, expected life, risk-free interest rate, exercise price and dividend yield. Prior to the Public Warrants being listed, the Company estimated the volatility for its Private Placement and Public Warrants based on the implied volatilities from traded warrants of select peer companies that matches the expected term of the warrants. As of December 31, 2022, the volatility for Private Placement Warrants is term matched to historical volatility based on daily closing prices. The risk-free interest rate is based on the U.S. Treasury zero-coupon yield curve on the issuance date for a maturity similar to the expected remaining term of the warrants. The expected term of the warrants is assumed to be equivalent to their remaining contractual term. The dividend yield is based on the historical rate, which the Company anticipates to be zero.

The fair value of the Company’s working capital loan is valued using a compound option formula on the convertible feature and a present value of the host contract. The valuation technique requires inputs that are both unobservable and significant to the overall fair value measurement. These inputs reflect management’s own assumption about the assumptions a market participant would use in pricing the working capital loan.

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

	December 31, 2022			December 31, 2021
Exercise price	$	11.50		$	11.50
Stock price	$	10.26		$	9.67
Volatility		6.85	%		13.0	%
Risk-free rate		4.57% - 4.62	%		1.53	%
Dividend yield		0.0	%		0.0	%
Years to expected initial Business Combination date		0.44			0.94
Years to expiration		5			5
Probability of a business combination		10	%		90	%

The change in the fair value of the Company’s Level 3 financial instruments for the year ended December 31, 2022 is summarized as follows:

Level 3 Rollforward:
	Warrants			Working capital loan - related party
Level 3 - Warrant Liabilities at December 31, 2021	$	15,140,000			-
Transfer of Public Warrants to Level 1		(7,636,000	)		-
Change in fair value of private placement warrants		(6,922,720	)		-
Borrowing under working capital loan – related party		-			808,637
Change in fair value of working capital loan - related party		-			(729,377	)
Level 3 - Warrant Liabilities & working capital loan at December 31, 2022	$	581,280		$	79,260

The change in the fair value of the Company’s Level 3 financial instruments for the period from March 8, 2021 (inception) through December 31, 2021 is summarized as follows:

	Warrants
Derivative warrant liabilities as of March 8, 2021 (inception)	$	-
Issuance of Public Warrants and Private Placement Warrants		30,518,000
Change in fair value of derivative warrant liabilities		(15,378,000	)
Balance as of December 31, 2021	$	15,140,000

- 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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