Annual report pursuant to Section 13 and 15(d)

FAIR VALUE MEASUREMENTS (Tables)

v3.22.1
FAIR VALUE MEASUREMENTS (Tables)
 12 Months Ended
Dec. 31, 2021
FAIR VALUE MEASUREMENTS [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 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 and Public Warrants

The key inputs into the Monte Carlo simulation model for the Private Placement Warrants and Public Warrants were as follows on October 13, 2021 and December 31, 2021:

 
December 31, 2021
    
October 13, 2021
  
 
Input
  
Private
Warrants
    
Public
Warrants
    
Private
Warrants
  
Share Price
  
$
9.99
    
$
10.05
    
$
10.05
  
Exercise Price
  
$
11.50
    
$
11.50
    
$
11.50
  
Risk-free rate of interest
    
1.32
%
    
1.23
%
    
1.23
%
Volatility
    
8.1
%
    
18.8
%
    
18.8
%
Term
    
5.78
      
6.00
      
6.00
  
Probability Weighted Fair Value of Warrants
  
$
0.51
    
$
1.140
    
$
1.185
  
Changes in Fair Value of Warrant Liabilities

The following table presents the changes in the fair value of Level 3 warrant liabilities:


  
Private
Placement
    
Public
    
Warrant
Liabilities
  
Fair value as of January 1, 2021
  
$
—
    
$
—
    
$
—
  
Initial Measurement on October 13, 2021
    
8,468,010
      
13,110,000
      
21,578,010
  
Change in valuation inputs or other assumptions (1)
   
(4,794,966
)
    
(7,245,000
)
    
(12,039,966
)
Transfer from level 3 to level 1     —       (5,865,000 )     (5,865,000 )
Fair value as of December 31, 2021
 
$
3,673,044
    
$
—
    
$
3,673,044
  

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