Annual report pursuant to Section 13 and 15(d)

FAIR VALUE MEASUREMENTS

v3.23.1
FAIR VALUE MEASUREMENTS
12 Months Ended
Dec. 31, 2022
Fair Value Disclosures [Abstract]  
FAIR VALUE MEASUREMENTS

NOTE 9. FAIR VALUE MEASUREMENTS

 

The following table presents information about the Company’s financial assets and liabilities that are measured at fair value on a recurring basis at December 31, 2022 and 2021, and indicates the fair value hierarchy of the valuation inputs the Company utilized to determine such fair value:

 

                               
Description   Amount at Fair Value     Level 1     Level 2     Level 3  
December 31, 2022                                
Assets                                
Investments held in Trust Account:                                
Money Market investments   $ 204,641,162     $ 204,641,162     $ -     $ -  
Liabilities                                
Warrant liability – Public Warrants   $ 1,599,620     $ 1,599,620     $ -     $ -  
Warrant liability – Private Placement Warrants     1,439,771       -       -       1,439,771  
    $ 3,039,391     $ 1,599,620     $ -     $ 1,439,771  
December 31, 2021                                
Assets                                
Investments held in Trust Account:                                
Cash   $ 201,951,985     $ 201,951,985     $ -     $ -  
Liabilities                                
Warrant liability – Public Warrants   $ 4,998,812     $ 4,998,812     $ -     $ -  
Warrant liability – Private Placement Warrants     4,499,287       -       -       4,499,287  
    $ 9,498,099     $ 4,998,812     $ -     $ 4,499,287  

 

The measurement of the Public Warrants as of December 31, 2022 is classified as Level 1 due to the use of an observable market quote in an active market under the ticker SEDA.WS. The quoted price of the Public Warrants was $0.16 and $0.50 per warrant as of December 31, 2022 and 2021, respectively. At December 31, 2021, the amount in the Trust Account was comprised solely of cash.

 

The Company utilizes a Monte Carlo simulation model to value the Private Placement Warrants at each reporting period, with changes in fair value recognized in the statement of operations. The estimated fair value of the Private Placement warrant liability is determined using Level 3 inputs. Inherent in a Monte Carlo Simulation model are assumptions related to expected share-price volatility, expected life, risk-free interest rate and dividend yield. The Company estimates the volatility of its ordinary shares based on historical volatility that matches the expected remaining life of the warrants. The risk-free interest rate is based on the U.S. Treasury zero-coupon yield curve on the grant date for a maturity similar to the expected remaining life of the warrants. The expected life of the warrants is assumed to be equivalent to their remaining contractual term. The dividend rate is based on the historical rate, which the Company anticipates to remain at zero.

 

The aforementioned warrant liabilities are not subject to qualified hedge accounting.

 

Transfers to/from Levels 1, 2 and 3 are recognized at the end of the reporting period.

 

The following table provides the significant inputs to the Monte Carlo simulation model for the fair value of the Private Placement Warrants:

 

               
    As of
December 31,
2022
    As of
December 31,
2021
 
Stock price   $ 10.06     $ 9.74  
Exercise price   $ 11.50     $ 11.50  
Dividend yield     - %     - %
Expected term (in years)     5.34       6.34  
Volatility     5.0 %     8.3 %
Risk-free rate     3.91 %     1.37 %
Fair value   $ 0.16     $ 0.50  

 

The following table presents the changes in the fair value of the Company’s Level 3 financial instruments that are measured at fair value:

 

       
Fair value at February 16, 2021 (inception)   $ -  
Initial measurement of Public Warrants and Private Placement Warrants as of November 2, 2021     16,660,000  
Initial measurement of Public Warrants and Private Placement Warrants upon exercise of over-allotment on November 16, 2021     1,956,274  
Change in fair value     (9,118,176 )
Transfer of Public Warrants to Level 1 measurement     (4,998,812 )
Fair value as of December 31, 2021 - private placement warrants   $ 4,499,287  
Change in fair value   $ (3,059,516 )
Fair value as of December 31 2022 - private placement warrants   $ 1,439,771  

 

The Company recognized a gain for the year ended December 31, 2022 and for the period from February 16, 2021 (inception) through December 31, 2021, in connection with changes in the fair value of the Public Warrants and Private Placement Warrants of $6,458,708, and $9,118,176, respectively, which is recorded in the statements of operations.