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Fair Value (Tables) | 9 Months Ended
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Sep. 30, 2022
Fair Value Disclosures [Abstract] |
Summary of assets and liabilities that are measured at fair value on a recurring basis | September 30, 2022
Description |  | 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 |  | $ | 150,969,468 |  |  | $ | — |  |  | $ | — |
Liabilities: |  |  |  |  |  |
Derivative liabilities – public warrants |  | $ | 1,050,000 |  |  | $ | — |  |  | $ | — |
Derivative liabilities – private placement warrants |  | $ | — |  |  | $ | — |  |  | $ | 493,280 |
December 31, 2021
Description |  | 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 |  | $ | 150,006,015 |  |  | $ | — |  |  | $ | — |
Liabilities: |  |  |  |  |  |
Derivative liabilities –  public warrants |  | $ | 3,825,000 |  |  | $ | — |  |  | $ | — |
Derivative liabilities – private placement warrants |  | $ | — |  |  | $ | — |  |  | $ | 1,785,000 |
The following table presents information as of December 31, 2021 about the Company’s financial assets and liabilities that are measured at fair value on a recurring basis by level within the fair value hierarchy:
Description |  | 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 |  | $ | 150,006,015 |  |  | $ | — |  |  | $ | — |
Liabilities: |  |  |  |  |  |
Derivative liabilities – Public Warrants |  | $ | 3,825,000 |  |  | $ | — |  |  | $ | — |
Derivative liabilities – Private Placement Warrants |  | $ | — |  |  | $ | — |  |  | $ | 1,785,000 |
The following table presents the Company’s fair value hierarchy for its assets and liabilities measured at fair value as of September 30, 2022 and December 31, 2021 (in thousands):
| Fair Value Measurement as of
| September 30, 2022
| Level 1 |  | Level 2 |  | Level 3 |  | Total
Assets: |  |  |  |  |  |  |
Cash equivalents | $ | 519 |  |  | — |  |  | — |  |  | $ | 519 |
Liabilities: |  |  |  |  |  |  |
Warrants | $ | — |  |  | $ | — |  |  | $ | 1,572 |  |  | $ | 1,572 |
SAFE warrant | — |  |  | — |  |  | 2,022 |  |  | 2,022 |
SAFE liability | — |  |  | — |  |  | 27,221 |  |  | 27,221 |
Total liabilities | $ | — |  |  | $ | — |  |  | $ | 30,815 |  |  | $ | 30,815 |
| Fair Value Measurement as of
| December 31, 2021
| Level 1 |  | Level 2 |  | Level 3 |  | Total
Assets: |  |  |  |  |  |  |
Cash equivalents | $ | 516 |  |  | $ | — |  |  | $ | — |  |  | $ | 516 |
Liabilities: |  |  |  |  |  |  |
Warrants | $ | — |  |  | $ | — |  |  | $ | 1,145 |  |  | $ | 1,145 |
SAFE warrant | — |  |  | — |  |  | 1,729 |  |  | $ | 1,729 |
SAFE liability | — |  |  | — |  |  | 28,271 |  |  | $ | 28,271 |
Total Liabilities | $ | — |  |  | $ | — |  |  | $ | 31,145 |  |  | $ | 31,145 |
The following table presents the Company’s fair value hierarchy for its assets and liabilities measured at fair value as of December 31, 2021 and 2020 (in thousands):
| Fair Value Measurement as of
| December 31, 2021
| Level 1 |  | Level 2 |  | Level 3 |  | Total
Assets: |  |  |  |  |  |  |
Cash equivalents | $ | 516 |  |  | $ | — |  |  | $ | — |  |  | $ | 516 |
Liabilities: |  |  |  |  |  |  |
Warrants | $ | — |  |  | $ | — |  |  | $ | 1,145 |  |  | $ | 1,145 |
SAFE warrant | — |  |  | — |  |  | 1,729 |  |  | 1,729 |
SAFE liability | — |  |  | — |  |  | 28,271 |  |  | 28,271 |
Total liabilities | $ | — |  |  | $ | — |  |  | $ | 31,145 |  |  | $ | 31,145 |
| Fair Value Measurement as of
| December 31, 2020
| Level 1 |  | Level 2 |  | Level 3 |  | Total
Assets: |  |  |  |  |  |  |
Cash equivalents | $ | 516 |  |  | $ | — |  |  | $ | — |  |  | $ | 516 |
Liabilities: |  |  |  |  |  |  |
Warrants | $ | — |  |  | $ | — |  |  | $ | 582 |  |  | $ | 582 |
Summary of quantitative information regarding Level 3 fair value measurement inputs |
| As of September 30, 2022 |  | As of December 31, 2021
Exercise price | $ | 11.50 |  |  | $ | 11.50 |
Volatility | 5.8 | % |  | 9.6 | %
Stock price | $ | 9.79 |  |  | $ | 9.66 |
Remaining term (years) | 5.19 |  | 5.75
Risk-free rate | 3.97 | % |  | 1.32 | %
The following table provides quantitative information regarding Level 3 fair value measurements inputs at their measurement dates:
| As of December 31, 2021 |  | As of August 6, 2021
Exercise price | $ | 11.50 |  |  | $ | 11.50 |
Volatility | 9.6 | % |  | 11.3 | %
Stock price | $ | 9.66 |  |  | $ | 9.66 |
Remaining term (yrs) | 5.75 |  | 6.51
Risk-free rate | 1.32 | % |  | 0.99 | %
The following table represents the weighted average inputs used in calculating the fair value of the preferred share warrants outstanding as of September 30, 2022 and December 31, 2021:
| September 30, 2022 |  | December 31, 2021
Stock price | $ | 15.03 |  |  | $ | 13.77 |
Weighted average exercise price | 17.31 |  |  | 17.32 |
Term (in years) | 2.3 |  |  | 2.8 |
Expected volatility | 76.9 | % |  | 70.6 | %
Risk-free interest rate | 2.9 | % |  | 0.8 | %
Expected dividend yield | — | % |  | — | %
Significant inputs for Level 3 SAFE liability fair value measurement at September 30, 2022 are as follows:
| Near Term |  | Long-Term
Key assumptions: |  |  |
Probability weighting | 41 | % |  | 59 | %
Time to conversion (in years) | 0.3 |  |  | 1.0 |
Liquidity price | 100 | % |  | 90 | %
Discount rate | 26.0 | % |  | 26.0 | %
Significant inputs for Level 3 SAFE warrant fair value measurement at September 30, 2022 are as follows:
| Near Term |  | Long-Term
Key assumptions: |  |  |
Probability weighting | 41 | % |  | 59 | %
Remaining life (in years) | 5.0 |  |  | 5.0 |
Volatility | 75 | % |  | 75 | %
Interest rate | 4.06 | % |  | 4.06 | %
Time to conversion (in years) | 0.3 |  |  | 1.0 |
Risk-free interest rate | 3.33 | % |  | 4.05 | %
Dividend yield | — | % |  | — | %
The following table represents the weighted average inputs used in calculating the fair value of the preferred share warrants outstanding as of December 31, 2021 and 2020:
| 2021 |  | 2020
Stock price | $ | 13.77 |  |  | $ | 4.68 |
Weighted average exercise price | 17.32 |  |  | 18.39 |
Term (in years) | 2.8 |  |  | 2.8 |
Expected volatility | 70.6 | % |  | 88.9 | %
Risk-free interest rate | 0.8 | % |  | 0.4 | %
Expected dividend yield | — | % |  | — | %
Significant inputs for Level 3 SAFE liability fair value measurement at December 31, 2021 are as follows:
| Near Term |  | Long-Term
Key assumptions: |  |  |
Probability weighting | 25 | % |  | 75 | %
Time to conversion (in years) | 0.5 |  |  | 1.0 |
Liquidity price | 100 | % |  | 90 | %
Discount rate | 17.1 | % |  | 17.1 | %
Significant inputs for Level 3 SAFE warrant fair value measurement at December 31, 2021 are as follows:
| Near Term |  | Long-Term
Key assumptions: |  |  |
Probability weighting | 25 | % |  | 75 | %
Remaining life (in years) | 5.0 |  |  | 5.0 |
Volatility | 60 | % |  | 60 | %
Interest rate | 1.26 | % |  | 1.26 | %
Time to conversion (in years) | 0.5 |  |  | 1.0 |
Risk-free interest rate | 0.19 | % |  | 0.39 | %
Dividend yield | — | % |  | — | %
Summary of change in the fair value of the derivative warrant liabilities, measured using Level 3 inputs |
Derivative warrant liabilities at December 31, 2021 | $ | 1,785,000 |
Change in fair value of derivative liabilities | 245,000 |
Derivative warrant liabilities at March 31, 2022 | 2,030,000 |
Change in fair value of derivative liabilities | (1,085,000) |
Derivative warrant liabilities at June 30, 2022 | 945,000 |
Change in fair value of derivative liabilities | (451,720) |
Derivative warrant liabilities at September 30, 2022 | $ | 493,280 |
The change in the fair value of the derivative warrant liabilities, measured using Level 3 inputs, for the period from January 28, 2021 (inception) through December 31, 2021 is summarized as follows:
Derivative warrant liabilities at January 28, 2021 (inception) | $ | — |
Issuance of Public and Private Warrants | 7,515,000 |
Transfer of Public Warrants to Level 1 | (5,100,000) |
Change in fair value of derivative liabilities | (630,000) |
Derivative warrant liabilities at December 31, 2021 | $ | 1,785,000 |
The following tables represents a reconciliation of the contingent shares issuance liabilities fair value measurements using the significant unobservable inputs (Level 3) (in thousands):
| Warrants |  | SAFE liability |  | SAFE warrant
Balance as of January 1, 2022 | $ | 1,145 |  |  | $ | 28,271 |  |  | $ | 1,729 |
Loss / (gain) recognized in condensed statement of operations and comprehensive loss | 427 |  |  | (1,050) |  |  | 293 |
Balance as of September 30, 2022 | $ | 1,572 |  |  | $ | 27,221 |  |  | $ | 2,022 |
| Warrants |  | SAFE liability |  | SAFE warrant
Balance as of January 1, 2021 | $ | 582 |  |  | $ | — |  |  | $ | — |
Issuance of SAFE liability and warrant | — |  |  | — |  |  | — |
Loss recognized in condensed statement of operations and comprehensive loss | 699 |  |  | — |  |  | — |
Balance as of September 30, 2021 | $ | 1,281 |  |  | $ | — |  |  | $ | — |
The following table represents a reconciliation of the contingent shares issuance liabilities fair value measurements using the significant unobservable inputs (Level 3) (in thousands):
| Warrants |  | SAFE liability |  | SAFE warrant
Balance as of January 1, 2020 | $ | 687 |  |  | $ | — |  |  | $ | — |
Gain recognized in statement of operations and comprehensive loss | (105) |  |  | — |  |  | — |
Balance as of December 31, 2020 | $ | 582 |  |  | $ | — |  |  | $ | — |
Issuance of SAFE liability and warrant | — |  |  | 28,271 |  |  | 1,729 |
Loss recognized in statement of operations and comprehensive loss | 563 |  |  | — |  |  | — |
Balance as of December 31, 2021 | $ | 1,145 |  |  | $ | 28,271 |  |  | $ | 1,729 |

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- Definition Tabular disclosure of input and valuation technique used to measure fair value and change in valuation approach and technique for each separate class of asset and liability measured on recurring and nonrecurring basis. + References Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 2 -Subparagraph (bbb) -URI https://asc.fasb.org/extlink&oid=126976982&loc=d3e19207-110258 + Details
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- Definition Tabular disclosure of the fair value measurement of liabilities using significant unobservable inputs (Level 3), a reconciliation of the beginning and ending balances, separately presenting changes attributable to the following: (1) total gains or losses for the period (realized and unrealized), segregating those gains or losses included in earnings (or changes in net assets), and gains or losses recognized in other comprehensive income (loss) and a description of where those gains or losses included in earnings (or changes in net assets) are reported in the statement of income (or activities); (2) purchases, sales, issues, and settlements (each type disclosed separately); and (3) transfers in and transfers out of Level 3 (for example, transfers due to changes in the observability of significant inputs) by class of liability. + References Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 2 -Subparagraph (c) -URI https://asc.fasb.org/extlink&oid=126976982&loc=d3e19207-110258 Reference 2: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 3 -URI https://asc.fasb.org/extlink&oid=126976982&loc=d3e19279-110258 + Details
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- Definition Tabular disclosure of assets and liabilities, including [financial] instruments measured at fair value that are classified in stockholders' equity, if any, that are measured at fair value on a recurring basis. The disclosures contemplated herein include the fair value measurements at the reporting date by the level within the fair value hierarchy in which the fair value measurements in their entirety fall, segregating fair value measurements using quoted prices in active markets for identical assets (Level 1), significant other observable inputs (Level 2), and significant unobservable inputs (Level 3). + References Reference 1: http://www.xbrl.org/2003/role/disclosureRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 2 -Subparagraph (b) -URI https://asc.fasb.org/extlink&oid=126976982&loc=d3e19207-110258 Reference 2: http://www.xbrl.org/2003/role/disclosureRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 2 -Subparagraph (a) -URI https://asc.fasb.org/extlink&oid=126976982&loc=d3e19207-110258 + Details
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