Annual report pursuant to Section 13 and 15(d)

Fair Value Measurements

v3.22.1
Fair Value Measurements
12 Months Ended
Dec. 31, 2021
Fair Value Disclosures [Abstract]  
Fair Value Measurements

NOTE 10. FAIR VALUE MEASUREMENTS

The Company follows the guidance in ASC 820 for its financial assets and liabilities that are re-measured and reported at fair value at each reporting period, and non-financial assets and liabilities that are re-measured and reported at fair value at least annually.

The following table presents information about the Company’s assets and 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:

 

Description

 

Level

 

 

December 31,

2021

 

Assets:

 

 

 

 

 

 

 

 

Marketable securities held in Trust Account

 

 

1

 

 

$

200,015,241

 

Liabilities:

 

 

 

 

 

 

 

 

Warrant Liabilities – Public Warrants

 

 

1

 

 

 

4,602,614

 

Warrant Liabilities – Private Placement Warrants

 

 

3

 

 

 

2,761,569

 

 

The Warrants are accounted for as liabilities in accordance with ASC 815-40 and are presented within warrant liabilities in the accompanying balance sheet. The warrant liabilities are measured at fair value at inception and on a recurring basis, with changes in fair value presented within change in fair value of warrant liabilities in the statement of operations.

The Warrants were initially valued using a lattice model, specifically a binomial lattice model incorporating the Cox-Ross-Rubenstein methodology, which is considered to be a Level 3 fair value measurement. The primary unobservable input utilized in determining the fair value of the Warrants is the expected volatility of the Company’s common stock. The expected volatility as of the Initial Public Offering date was derived from observable public warrant pricing on comparable ‘blank-check’ companies without an identified target. For periods subsequent to the detachment of the warrants from the Units, the close price of the Public Warrants was used as the fair value of the Public Warrants as of each relevant date. The measurement of the Public Warrants after the detachment of the Public Warrants from the Units is classified as Level 1 due to the use of an observable market quote in an active market. The Private Placement Warrants were subsequently valued using a binomial lattice model incorporating the Cox-Ross-Rubenstein methodology, which is considered to be a Level 3 fair value measurement. The primary unobservable input utilized in determining the fair value of the Private Placement Warrants is the expected volatility of the Company’s shares of common stock. The expected volatility of the Company’s shares of common stock was determined based on the implied volatility of the Public Warrants.

The key inputs into the binomial lattice model for the Warrants were as follows:

 

Input

 

December  31,

2021

 

 

March  19,  2021

(Initial

Measurement)

 

Market price of public shares

 

$

9.76

 

 

$

9.75

 

Risk-free rate

 

 

1.20

%

 

 

0.99

%

Dividend yield

 

 

0.00

%

 

 

0.00

%

Exercise price

 

$

11.50

 

 

$

11.50

 

Effective expiration date

 

8/03/26

 

 

8/03/26

 

 

F-20


 

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 March 19, 2021

 

 

3,000,000

 

 

 

5,000,000

 

 

 

8,000,000

 

Change in fair value

 

 

(160,000

)

 

 

(266,667

)

 

 

(426,667

)

Fair Value at March 31, 2021

 

 

2,840,000

 

 

 

4,733,333

 

 

 

7,573,333

 

Transfers to Level 1

 

 

 

 

 

(4,733,333

)

 

 

(4,733,333

)

Change in fair value

 

 

760,000

 

 

 

 

 

 

760,000

 

Fair Value at June 30, 2021

 

 

3,600,000

 

 

 

 

 

 

3,600,000

 

Change in fair value

 

 

(960,000

)

 

 

 

 

 

(960,000

)

Fair value as of September 30, 2021

 

$

2,640,000

 

 

 

 

 

$

2,640,000

 

Change in fair value

 

 

121,569

 

 

 

 

 

 

121,569

 

Fair value as of December 31, 2021

 

$

2,761,569

 

 

 

 

 

$

2,761,569

 

 

Transfers to/from Levels 1, 2 and 3 are recognized at the beginning of the reporting period. During the year ended December 31, 2021, the Public Warrants were transferred from a Level 3 measurement to a Level 1 measurement as the Public Warrants were separately listed and trading beginning March 31, 2021. The estimated fair value of the Public Warrants transferred from a Level 3 measurement to a Level 1 fair value measurement during the year ended December 31, 2021 was $4,733,333.