Quarterly report pursuant to Section 13 or 15(d)

Fair Value Measurements (Tables)

v3.22.2.2
Fair Value Measurements (Tables)
 9 Months Ended
Sep. 30, 2022
Schedule of Information about Company's Asset And Liabilities Measured at Fair Value

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

 

 

 

September 30, 2022

 

 

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

 

$

223,036,404

 

 

$

223,036,404

 

 

$

—

 

 

$

—

 

 

 

$

223,036,404

 

 

$

223,036,404

 

 

$

—

 

 

$

—

 

Liabilities

 

 

 

 

 

 

 

 

 

 

 

 

Warrant liability—Public Warrants

 

$

1,096,500

 

 

$

1,096,500

 

 

$

—

 

 

$

—

 

Warrant liability—Private Warrants

 

 

737,900

 

 

 

—

 

 

 

737,900

 

 

 

—

 

 

 

$

1,834,400

 

 

$

1,096,500

 

 

$

737,900

 

 

$

—

 
Summary of Changes in Fair Value of Financial Instruments Measured at Fair Value on Recurring Basis

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:

 

 

 

Private
Placement
Warrants

 

 

Public
Warrants

 

 

Warrant
Liabilities

 

 

Over-allotment
Liability

 

Fair value at March 3, 2021 (inception)

 

$

—

 

 

$

—

 

 

$

—

 

 

$

—

 

Initial measurement of public and private warrant at January 24, 2022

 

 

3,332,000

 

 

 

4,900,000

 

 

 

8,232,000

 

 

 

—

 

Initial measurement of over-allotment option at January 24, 2022

 

 

—

 

 

 

—

 

 

 

—

 

 

 

510,000

 

Initial measurement of public and private warrants issued in connection with the exercise of over-allotment option at February 1, 2022

 

 

283,710

 

 

 

472,850

 

 

 

756,560

 

 

 

—

 

Fair value changes of warrants

 

 

(1,180,640

)

 

 

(1,754,400

)

 

 

(2,935,040

)

 

 

—

 

Public Warrants fair value changes from Level 3 to Level 1

 

 

 

 

 

(3,618,450

)

 

 

(3,618,450

)

 

 

—

 

Forfeiture of over-allotment option

 

 

—

 

 

 

—

 

 

 

—

 

 

 

(510,000

)

Fair value at March 31, 2022

 

$

2,435,070

 

 

$

—

 

 

$

2,435,070

 

 

$

—

 

Fair value changes of warrants

 

 

(996,165

)

 

 

—

 

 

 

(996,165

)

 

 

—

 

Private Placement Warrants fair value changes from Level 3 to Level 2

 

 

(1,438,905

)

 

 

—

 

 

 

(1,438,905

)

 

 

—

 

Fair value at June 30, 2022

 

$

—

 

 

$

—

 

 

$

—

 

 

$

—

 
Lattice Model  
Summary of Key Inputs for Warrants Liability

The key inputs into the Lattice Model for the Public Warrants liability were as follows at initial measurement:

 

Input

 

January 24,
2022

 

Risk-free interest rate

 

 

1.37

%

Expected term (years)

 

 

5.33

 

Expected volatility

 

 

9.2

%
Black-Scholes Model  
Summary of Key Inputs for Warrants Liability

The key inputs into the Black-Scholes model for the Private Warrants liability were as follows at initial measurement:

 

Input

 

January 24,
2022

 

Risk-free interest rate

 

 

1.37

%

Expected term (years)

 

 

5.33

 

Expected volatility

 

 

9.2

%

Exercise price

 

$

11.5

 

Dividend yield

 

 

0.00

%