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Fair Value Measurements (Tables)

9 Months Ended

Sep. 30, 2022

Fair Value Disclosures [Abstract]

Summary of assets and liabilities that are measured at fair value on a recurring basis

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						$	150,969,468					$	—					$	—
Liabilities:
Derivative liabilities – public warrants						$	1,050,000					$	—					$	—
Derivative liabilities – private placement warrants						$	—					$	—					$	493,280

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						$	150,006,015					$	—					$	—
Liabilities:
Derivative liabilities –  public warrants						$	3,825,000					$	—					$	—
Derivative liabilities – private placement warrants						$	—					$	—					$	1,785,000

The following table presents information as of December 31, 2021 about the Company’s financial assets and liabilities that are measured at fair value on a recurring basis by level within the fair value hierarchy:

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						$	150,006,015					$	—					$	—
Liabilities:
Derivative liabilities – Public Warrants						$	3,825,000					$	—					$	—
Derivative liabilities – Private Placement Warrants						$	—					$	—					$	1,785,000

The following table presents the Company’s fair value hierarchy for its assets and liabilities measured at fair value as of September 30, 2022 and December 31, 2021 (in thousands):

			Fair Value Measurement as of
			September 30, 2022
			Level 1						Level 2						Level 3						Total
Assets:
Cash equivalents			$	519					—						—						$	519
Liabilities:
Warrants			$	—					$	—					$	1,572					$	1,572
SAFE warrant			—						—						2,022						2,022
SAFE liability			—						—						27,221						27,221
Total liabilities			$	—					$	—					$	30,815					$	30,815

			Fair Value Measurement as of
			December 31, 2021
			Level 1						Level 2						Level 3						Total
Assets:
Cash equivalents			$	516					$	—					$	—					$	516
Liabilities:
Warrants			$	—					$	—					$	1,145					$	1,145
SAFE warrant			—						—						1,729						$	1,729
SAFE liability			—						—						28,271						$	28,271
Total Liabilities			$	—					$	—					$	31,145					$	31,145

The following table presents the Company’s fair value hierarchy for its assets and liabilities measured at fair value as of December 31, 2021 and 2020 (in thousands):

			Fair Value Measurement as of
			December 31, 2021
			Level 1						Level 2						Level 3						Total
Assets:
Cash equivalents			$	516					$	—					$	—					$	516
Liabilities:
Warrants			$	—					$	—					$	1,145					$	1,145
SAFE warrant			—						—						1,729						1,729
SAFE liability			—						—						28,271						28,271
Total liabilities			$	—					$	—					$	31,145					$	31,145

			Fair Value Measurement as of
			December 31, 2020
			Level 1						Level 2						Level 3						Total
Assets:
Cash equivalents			$	516					$	—					$	—					$	516
Liabilities:
Warrants			$	—					$	—					$	582					$	582

Summary of quantitative information regarding Level 3 fair value measurement inputs

			As of September 30, 2022						As of December 31, 2021
Exercise price			$	11.50					$	11.50
Volatility			5.8		%				9.6		%
Stock price			$	9.79					$	9.66
Remaining term (years)			5.19						5.75
Risk-free rate			3.97		%				1.32		%

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

			As of December 31, 2021						As of August 6, 2021
Exercise price			$	11.50					$	11.50
Volatility			9.6		%				11.3		%
Stock price			$	9.66					$	9.66
Remaining term (yrs)			5.75						6.51
Risk-free rate			1.32		%				0.99		%

The following table represents the weighted average inputs used in calculating the fair value of the preferred share warrants outstanding as of September 30, 2022 and December 31, 2021:

			September 30, 2022						December 31, 2021
Stock price			$	15.03					$	13.77
Weighted average exercise price			17.31						17.32
Term (in years)			2.3						2.8
Expected volatility			76.9		%				70.6		%
Risk-free interest rate			2.9		%				0.8		%
Expected dividend yield			—		%				—		%

Significant inputs for Level 3 SAFE liability fair value measurement at September 30, 2022 are as follows:

			Near Term						Long-Term
Key assumptions:
Probability weighting			41		%				59		%
Time to conversion (in years)			0.3						1.0
Liquidity price			100		%				90		%
Discount rate			26.0		%				26.0		%

Significant inputs for Level 3 SAFE warrant fair value measurement at September 30, 2022 are as follows:

			Near Term						Long-Term
Key assumptions:
Probability weighting			41		%				59		%
Remaining life (in years)			5.0						5.0
Volatility			75		%				75		%
Interest rate			4.06		%				4.06		%
Time to conversion (in years)			0.3						1.0
Risk-free interest rate			3.33		%				4.05		%
Dividend yield			—		%				—		%

The following table represents the weighted average inputs used in calculating the fair value of the preferred share warrants outstanding as of December 31, 2021 and 2020:

			2021						2020
Stock price			$	13.77					$	4.68
Weighted average exercise price			17.32						18.39
Term (in years)			2.8						2.8
Expected volatility			70.6		%				88.9		%
Risk-free interest rate			0.8		%				0.4		%
Expected dividend yield			—		%				—		%

Significant inputs for Level 3 SAFE liability fair value measurement at December 31, 2021 are as follows:

			Near Term						Long-Term
Key assumptions:
Probability weighting			25		%				75		%
Time to conversion (in years)			0.5						1.0
Liquidity price			100		%				90		%
Discount rate			17.1		%				17.1		%

Significant inputs for Level 3 SAFE warrant fair value measurement at December 31, 2021 are as follows:

			Near Term						Long-Term
Key assumptions:
Probability weighting			25		%				75		%
Remaining life (in years)			5.0						5.0
Volatility			60		%				60		%
Interest rate			1.26		%				1.26		%
Time to conversion (in years)			0.5						1.0
Risk-free interest rate			0.19		%				0.39		%
Dividend yield			—		%				—		%

Summary of change in the fair value of the derivative warrant liabilities, measured using Level 3 inputs

Derivative warrant liabilities at December 31, 2021			$	1,785,000
Change in fair value of derivative liabilities			245,000
Derivative warrant liabilities at March 31, 2022			2,030,000
Change in fair value of derivative liabilities			(1,085,000)
Derivative warrant liabilities at June 30, 2022			945,000
Change in fair value of derivative liabilities			(451,720)
Derivative warrant liabilities at September 30, 2022			$	493,280

The change in the fair value of the derivative warrant liabilities, measured using Level 3 inputs, for the period from January 28, 2021 (inception) through December 31, 2021 is summarized as follows:

Derivative warrant liabilities at January 28, 2021 (inception)			$	—
Issuance of Public and Private Warrants			7,515,000
Transfer of Public Warrants to Level 1			(5,100,000)
Change in fair value of derivative liabilities			(630,000)
Derivative warrant liabilities at December 31, 2021			$	1,785,000

The following tables represents a reconciliation of the contingent shares issuance liabilities fair value measurements using the significant unobservable inputs (Level 3) (in thousands):

			Warrants						SAFE liability						SAFE warrant
Balance as of January 1, 2022			$	1,145					$	28,271					$	1,729
Loss / (gain) recognized in condensed statement of operations and comprehensive loss			427						(1,050)						293
Balance as of September 30, 2022			$	1,572					$	27,221					$	2,022

			Warrants						SAFE liability						SAFE warrant
Balance as of January 1, 2021			$	582					$	—					$	—
Issuance of SAFE liability and warrant			—						—						—
Loss recognized in condensed statement of operations and comprehensive loss			699						—						—
Balance as of September 30, 2021			$	1,281					$	—					$	—

The following table represents a reconciliation of the contingent shares issuance liabilities fair value measurements using the significant unobservable inputs (Level 3) (in thousands):

			Warrants						SAFE liability						SAFE warrant
Balance as of January 1, 2020			$	687					$	—					$	—
Gain recognized in statement of operations and comprehensive loss			(105)						—						—
Balance as of December 31, 2020			$	582					$	—					$	—
Issuance of SAFE liability and warrant			—						28,271						1,729
Loss recognized in statement of operations and comprehensive loss			563						—						—
Balance as of December 31, 2021			$	1,145					$	28,271					$	1,729

X

- Definition

Tabular disclosure of input and valuation technique used to measure fair value and change in valuation approach and technique for each separate class of asset and liability measured on recurring and nonrecurring basis.

+ References

Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 820
-SubTopic 10
-Section 50
-Paragraph 2
-Subparagraph (bbb)
-URI https://asc.fasb.org/extlink&oid=126976982&loc=d3e19207-110258

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- Definition

Tabular disclosure of the fair value measurement of liabilities using significant unobservable inputs (Level 3), a reconciliation of the beginning and ending balances, separately presenting changes attributable to the following: (1) total gains or losses for the period (realized and unrealized), segregating those gains or losses included in earnings (or changes in net assets), and gains or losses recognized in other comprehensive income (loss) and a description of where those gains or losses included in earnings (or changes in net assets) are reported in the statement of income (or activities); (2) purchases, sales, issues, and settlements (each type disclosed separately); and (3) transfers in and transfers out of Level 3 (for example, transfers due to changes in the observability of significant inputs) by class of liability.

+ References

Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 820
-SubTopic 10
-Section 50
-Paragraph 2
-Subparagraph (c)
-URI https://asc.fasb.org/extlink&oid=126976982&loc=d3e19207-110258

Reference 2: http://fasb.org/us-gaap/role/ref/legacyRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 820
-SubTopic 10
-Section 50
-Paragraph 3
-URI https://asc.fasb.org/extlink&oid=126976982&loc=d3e19279-110258

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- Definition

Tabular disclosure of assets and liabilities, including [financial] instruments measured at fair value that are classified in stockholders' equity, if any, that are measured at fair value on a recurring basis. The disclosures contemplated herein include the fair value measurements at the reporting date by the level within the fair value hierarchy in which the fair value measurements in their entirety fall, segregating fair value measurements using quoted prices in active markets for identical assets (Level 1), significant other observable inputs (Level 2), and significant unobservable inputs (Level 3).

+ References

Reference 1: http://www.xbrl.org/2003/role/disclosureRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 820
-SubTopic 10
-Section 50
-Paragraph 2
-Subparagraph (b)
-URI https://asc.fasb.org/extlink&oid=126976982&loc=d3e19207-110258

Reference 2: http://www.xbrl.org/2003/role/disclosureRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 820
-SubTopic 10
-Section 50
-Paragraph 2
-Subparagraph (a)
-URI https://asc.fasb.org/extlink&oid=126976982&loc=d3e19207-110258

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