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FAIR VALUE MEASUREMENTS

6 Months Ended

Sep. 30, 2022

FAIR VALUE MEASUREMENTS

FAIR VALUE MEASUREMENTS

NOTE 9. FAIR VALUE MEASUREMENTS

The following table presents information about the Company’s financial liabilities that are measured at fair value on a recurring basis as of September 30, 2022, and indicates the fair value hierarchy of the valuation inputs the Company utilized to determine such fair value:


		Amount at Fair
Description		Value			Level 1			Level 2			Level 3
September 30, 2022
Assets
Investments held in Trust Account:
Money Market investments		$	21,575,755		$	21,575,755		$	—		$	—
Liabilities
Warrant liability - Private Warrants		$	23,907		$	—		$	—		$	23,907

The Company utilizes a Black-Scholes method to value the Private Warrants at each reporting period, with changes in fair value recognized in the statement of operations. The estimated fair value of the warrant liability is determined using Level 3 inputs. Inherent in a binomial options pricing model are assumptions related to expected share-price volatility, expected life, risk-free interest rate and dividend yield. The Company estimates the volatility of its common stock based on historical volatility 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 Private Warrants is assumed to be equivalent to their remaining contractual term. The dividend rate is based on the historical rate, which the Company anticipates to remain at zero.

The following table provides the significant inputs to the Black-Scholes method for the fair value of the Private Warrants:


		As of August 2,
		2021 (Initial			As of March 31,			As of September 30,
		Measurement)			2022			2022
Unit price		$	10.00		$	10.00			10.00
Common stock price		$	9.44		$	9.91			10.15
Dividend yield			—	%		—	%		—	%
Term to Business Combination (years)			1.00			0.34			0.34
Volatility			16.0	%		3.6	%		0.0	%
Risk-free rate			0.88	%		2.42	%		4.00	%
Fair value		$	0.58		$	0.03		$	0.03

The following table provides a summary of the changes in the fair value of the Company’s Level 3 financial instruments that are measured at fair value on a recurring basis:


Fair value as of January 15, 2021 (inception)		$	—
Initial measurement as of August 2, 2021			414,352
Additional warrants issued in over-allotment			47,850
Fair value as of August 2, 2021			462,202
Change in valuation inputs or other assumptions			(318,760)
Fair value as of March 31, 2022		$	143,442
Change in valuation inputs or other assumptions			(119,535)
Fair value as of September 30, 2022		$	23,907

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 in or out of Level 3 from other levels in the fair value hierarchy for the period from April 01, 2022, through September 30, 2022.

The Company recognized a gain in the accompanying Statement of Operations of $119,535 related to change in fair value of warrant liability for the period from April 01, 2022, through September 30, 2022.

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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