NOTE 10. FAIR VALUE MEASUREMENTS

The following table presents information about the Company’s financial assets that are measured at fair value on a recurring basis as of March 31, 2023 and December 31, 2022, and indicates the fair value hierarchy of the valuation inputs the Company utilized to determine such fair value:

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The Company utilized a Monte Carlo simulation model for the initial valuation of the Public Warrants. The subsequent measurement of the Public Warrants as of March 31, 2023, and December 31, 2022 is classified as Level 1 due to the use of an observable market quote in an active market under the ticker OPA.WS. The quoted price of the Public Warrants was $0.08 and $0.02 per warrant as of March 31, 2023, and December 31, 2022, respectively.

The Company utilized a Modified Black-Scholes model to value the Private Placement Warrants at each reporting period, with changes in fair value recognized in the statement of operations. The estimated fair value of the warrant liabilities are 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. However, since a reasonable and acceptable volatility cannot be inferred for the Private Placement Warrants, the fair value of the Private Placement Warrants were set equal to the fair value of the Public Warrants as of March 31, 2023 and December 31, 2022.

Transfers to/from Levels 1, 2, and 3 are recognized at the end of the reporting periods. There were no transfers for the periods ending March 31, 2023 and December 31, 2022.

The following table provides the significant inputs to the Monte Carlo Simulation for the fair value of the Private Placement Warrants:

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*The probability of completing a Business Combination is considered within the volatility implied by the traded price of the Public Warrants.

**Based on the volatility implied by the traded price of public warrant.

The Promissory note - related party was valued using a combination of Black-Scholes and Discounted Cash Flows methods, which is considered to be a Level 3 fair value measurement. The estimated fair value of the Promissory note - related party was based on the following significant inputs:

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The following table presents the changes in the fair value of warrant liabilities:

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The following table presents the changes in the fair value of the Company’s Level 3 financial instruments that are measured at fair value:

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The Company recognized a loss in connection with changes in the fair value of warrant liabilities of $960,000 within changes in fair value of warrants liabilities in the Statements of Operations for the for the three months ended March 31, 2023. The Company recognized a gain in connection with changes in the fair value of warrant liabilities of $1,180,000 within change in fair value of warrant liabilities in the Statement of Operations for the three months ended March 31, 2022. The Company recognized a loss on the change in fair value of promissory note - related party of $100,800 in the Statement of Operations for the three months ended March 31, 2023. The Company recognized no gain or loss on the change in fair value of promissory note - related party for the three months ended March 31, 2022.