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 Disclosures [Abstract]  
Summary of Assets and Liabilities Measured on Recurring Basis

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

 

 

Summary of Key Inputs into Binomial Lattice Model for 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


 

Summary of Changes in Fair Value of Level 3 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 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