FAIR VALUE MEASUREMENTS

9 Months Ended

Sep. 30, 2022

FAIR VALUE MEASUREMENTS

FAIR VALUE MEASUREMENTS

NOTE 10. FAIR VALUE MEASUREMENTS

The following table presents information about the Company’s financial 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 inputs the Company utilized to determine such fair value:

	Amount at
Description	Fair Value		Level 1		Level 2		Level 3
September 30, 2022
Liabilities
Warrant liabilities – Private Warrants	$	1,989,979	$	—	$	—	$	1,989,979

The remaining balance held in the Trust Account of September 30, 2022 was held in cash.

	Amount at
Description	Fair Value		Level 1		Level 2		Level 3
December 31, 2021
Assets
Investments held in Trust Account:
Money Market investments	$	128,421,215	$	128,421,215	$	—	$	—
Liabilities
Warrant liabilities – Private Warrants	$	2,036,258	$	—	$	—	$	2,036,258

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 liabilities is determined using Level 3 inputs. Inherent in a Black-Scholes 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			As of
	September 30,			December 31,
	2022			2021
Common stock price	$	10.29		$	9.97
Exercise price	$	11.50		$	11.50
Dividend yield		—	%		—	%
Term to Business Combination (years)		3.86			4.61
Volatility		3.3	%		9.1	%
Risk-free rate		4.17	%		1.20	%
Fair value	$	0.43		$	0.44

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 June 23, 2020 (inception)	$	—
Initial measurement		5,553,429
Change in valuation inputs or other assumptions		(3,517,171)
Fair value at December 31, 2021	$	2,036,258
Change in valuation inputs or other assumptions		(1,434,636)
Fair value at March 31, 2022	$	601,622
Change in valuation inputs or other assumptions		277,671
Fair value at June 30, 2022	$	879,293
Change in valuation inputs or other assumptions		1,110,686
Fair value at September 30, 2022	$	1,989,979

The Company recognized a gain (loss) in connection with changes in the fair value of warrant liabilities of $(1,110,686) and $4,072,514 within change in fair value of warrant liabilities in the unaudited condensed consolidated statement of operations for the three months ended September 30, 2022 and 2021. The Company recognized a gain in connection with changes in the fair value of warrant liabilities of $46,279 and $4,072,514 within change in fair value of warrant liabilities in the unaudited condensed consolidated statement of operations for the nine months ended September 30, 2022 and 2021.