Quarterly report pursuant to Section 13 or 15(d)

Fair Value Measurement (Tables)

v3.22.2.2
Fair Value Measurement (Tables)
 9 Months Ended
Sep. 30, 2022
Fair Value Measurement [Abstract]  
Assets and Liabilities Measured at Fair Value on Recurring Basis

The following table presents information about the Company’s liabilities that are measured at fair value on a recurring basis at September 30, 2022, and indicates the fair value hierarchy of the valuation inputs the Company utilized to determine such fair value:
 
  
Level 1
   
Level 2
   
Level 3
   
Total
  
Assets:
                        
Assets Held in Trust
  
$
233,587,890
    
$
-
    
$
-
    
$
233,587,890
  
Liabilities:
                                
Warrant Liabilities:
                                
Public Warrants
  
$
1,265,000
    
$
-
    
$
-
    
$
1,265,000
  
Private Placement Warrants
    
-
      
-
      
786,060
      
786,060
  
Total Warrant Liabilities
  
$
1,265,000
    
$
-
    
$
786,060
    
$
2,051,060
  


The following table presents information about the Company’s liabilities that are measured at fair value on a recurring basis at December 31, 2021, and indicates the fair value hierarchy of the valuation inputs the Company utilized to determine such fair value:
 
  
Level 1
    
Level 2
    
Level 3
    
Total
  
Assets:
                        
Assets Held in Trust
  
$
232,303,712
    
$
-
    
$
-
    
$
232,303,712
  
Liabilities:
                                
Warrant Liabilities:
                                
Public Warrants
  
$
5,865,000
    
$
-
    
$
-
    
$
5,865,000
  
Private Placement Warrants
    
-
      
-
      
3,673,044
      
3,673,044
  
Total Warrant Liabilities
  
$
5,865,000
    
$
-
    
$
3,673,044
    
$
9,538,044
  
Level 3 Fair Value Measurement Inputs of Private Placement Warrants

The key inputs into the Monte Carlo simulation model for the Private Placement Warrants were as follows on September 30, 2022 and December 31, 2021:
Input
  
September 30,
2022
   
December 31,
2021
 
Share Price
  
$
9. 87
    
$
9.99
  
Exercise Price
  
$
11.50
    
$
11.50
  
Risk-free rate of interest
    
3.94
%
    
1.32
%
Volatility
    
3.8
%
    
8.1
%
Term
    
6.01
      
5.78
  
Probability Weighted Fair Value of Warrants
  
$
0.11
    
$
0.51
  
Changes in Fair Value of Warrant Liabilities

The following table presents the changes in the fair value of Level 3 warrant liabilities:
 
  
Private Warrants
  
Fair value as of December 31, 2021
  
$
3,673,044
  
Change in fair value(1)
    
(2,886,984
)
Fair value as of September 30, 2022
 		  $ 786,060  

(1)
Changes in valuation inputs or other assumptions are recognized in change in fair value of warrant liabilities in the Statement of Operations.