FAIR VALUE MEASUREMENTS (Tables)

9 Months Ended

Sep. 30, 2022

Schedule of assets measured at fair value on a recurring basis


	Amount at
Description	Fair Value		Level 1		Level 2		Level 3
September 30, 2022
Assets
Investments held in Trust Account:
Money Market investments	$	225,378,078	$	225,378,078	$	—	$	—
Liabilities
Warrant liability – Public Warrants	$	298,667	$	298,667	$	—	$	—
Warrant liability – Private Placement Warrants	$	179,467	$	—	$	—	$	179,467
Convertible promissory note - related party	$	17,300	$	—	$	—	$	17,300
December 31, 2021
Assets
Investments held in Trust Account:
Money Market investments	$	224,039,393	$	224,039,393	$	—	$	—
Liabilities
Warrant liability – Public Warrants	$	4,405,334	$	4,405,334	$	—	$	—
Warrant liability – Private Placement Warrants	$	2,647,133	$	—	$	—	$	2,647,133

Schedule of initial fair value of the warrants


	As of March 23,
	2021 (Initial
	Measurement)
Stock Price on Valuation Date	$	9.77
Strike price (Exercise Price Share)	$	11.50
Probability of completing a Business Combination		85.0	%
Term (in years)		6.59
Volatility		4% pre-merger/26% post-merger
Risk-free rate		1.19	%
Fair value of warrants	$	1.55


	As of
	September 30,			As of December
	2022			31, 2021
Stock price	$	9.80		$	9.72
Strike price	$	11.50		$	11.50
Probability of completing a Business Combination		9.0	%		*
Dividend yield		—	%		—	%
Term (in years)		5.48			5.81
Volatility		1.1	%		10.1	%
Risk-free rate		4.0	%		1.3	%
Fair value of warrants	$	0.04		$	0.59

*The probability of completing a Business Combination is considered within the volatility implied by the traded price of the Public Warrants which is used to value the Private Placement Warrants.

Schedule of changes in the fair value of the company's Level 3 financial instruments


Fair value as of January 12, 2021 (inception)	$	—
Initial measurement at March 23, 2021		18,527,667
Transfer of Public Warrants to Level 1 measurement		(12,544,001)
Change in fair value		(3,336,533)
Fair value as of December 31, 2021		2,647,133
Change in fair value		(1,480,600)
Fair value as of March 31, 2022		1,166,533
Change in fair value		(493,533)
Fair value as of June 30, 2022		673,000
Initial measurement of convertible promissory note - related party draw on July 21, 2022		10,600
Initial measurement of convertible promissory note - related party draw on August 22, 2022		9,700
Change in fair value		(496,533)
Fair value as of September 30, 2022	$	196,767

Schedule of initial fair value measurement under Black-Scholes and Discounted Cash Flows methods


	As of September 30,			As of August 22, 2022			As of July 21, 2022
	2022			(Initial Measurement)			(Initial Measurement)
Warrant price	$	0.04		$	0.08		$	0.08
Conversion price	$	1.50		$	1.50		$	1.50
Expected term		0.5			0.6			0.7
Warrant volatility		226.1	%		201.6	%		168.9	%
Risk free rate		3.9	%		3.2	%		3.0	%
Discount rate		9.1	%		6.4	%		6.6	%
Probability of completing a Business Combination		9.0	%		10.0	%		11.0	%
Fair value of convertible promissory note - related party	$	17,300		$	9,700		$	10,600

AF Acquisition Corp. 10-Q