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Fair Value Measurements
12 Months Ended
Dec. 31, 2022
Fair Value Disclosures [Abstract]  
FAIR VALUE MEASUREMENTS

NOTE 8. 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, 2022, 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
 
   2022   (Level 1)   (Level 2)   (Level 3) 
Assets:                
Marketable Securities held in Trust Account  $153,980,991   $153,980,991   $
   $
 
   $153,980,991   $153,980,991   $
   $
 
Liabilities:                    
Public Warrants Liability  $74,750   $
   $74,750   $
 
Private Placement Warrants Liability   70,575    
    
    70,575 
   $145,325   $
   $74,750   $70,575 

 

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:                
Marketable Securities held in Trust Account  $151,775,132   $151,775,132   $
   $
 
   $151,775,132   $151,775,132   $
   $
 
                     
Liabilities:                    
Public Warrants Liability  $3,588,000   $3,588,000   $
   $
 
Private Placement Warrants Liability   3,394,658    
    
    3,394,658 
   $6,982,658   $3,588,000   $
   $3,394,658 

 

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 January 20, 2021, the date of the Company’s IPO, using a Monte Carlo simulation model, and as of December 31, 2022 and 2021 by using the associated trading price of the Public Warrants. The Company established the initial fair value of the Private Placement Warrants on January 20, 2021 and on December 31, 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 most significant unobservable input was the volatility. Significant increases (decreases) in the expected volatility in isolation would result in a significantly higher (lower) fair value measurement. The Public Warrants were subsequently transferred out of Level 3 and classified as Level 1, as of December 31, 2021, as the subsequent valuation was based upon the trading price of the Public Warrants. The Public Warrants were then transferred out of Level 1 and classified as Level 2 as of December 31, 2022, as there was no trading activity to support Level 1 valuation as of December 31, 2022. The Private Placement Warrants were classified as Level 3 at December 31, 2022 and 2021 due to the use of unobservable inputs.

 

The following table presents the changes in the fair value of Level 3 warrant liabilities for the years ended December 31, 2022 and 2021:

 

   Level 3
Warrant
Liabilities
 
Fair value as of December 31, 2021  $3,394,658 
Change in fair value   (3,324,083)
Fair value as of December 31, 2022  $70,575 

 

   Level 3
Warrant
Liabilities
 
Fair Value as of December 31, 2020  $
-
 
Initial measurement on January 20, 2021   15,026,525 
Change in valuation as of December 31, 2021   (6,474,118)
Transfer of Public Warrants to Level 1   (5,157,749)
Fair Value as of December 31, 2021  $3,394,658 

 

The key inputs into the modified Black Scholes calculation as of December 31, 2022 and 2021 were as follows:

 

   December 31,
2022
   December 31,
2021
 
Inputs        
Risk-free interest rate   4.73%   1.31%
Expected term (years)      1.00    5.50 
Expected volatility   4.14%   8.46%
Exercise price  $11.50   $11.50 
Stock price  $10.27   $9.92