Fair Value Measurements (Tables)

9 Months Ended

Sep. 30, 2022

Summary of Assets Measured at Fair Value on Recurring Basis

As of September 30, 2022, the Company has $231,519,934 held in the trust account. This balance consists of $865 of cash and $231,519,069 held in U.S. Treasury Securities. As of December 31, 2021, the Company has $230,106,285 held in the trust account. This balance consists of $503 of cash and $230,105,782 held in U.S. Treasury Securities. The following table presents information about the Company’s assets that are measured at fair value on a recurring basis at September 30, 2022, and indicates the fair value hierarchy of the valuation inputs the Company utilized to determine such fair value:

Description

Level

September 30,

2022

December 31,

2021

Assets:

U.S. Treasury Securities

231,519,069

230,106,285

Summary of Liabilities Measured at Fair Value on Recurring Basis

The following table presents the fair value hierarchy for liabilities measured at fair value on a recurring basis as of September 30, 2022:

	Level 1		Level 2		Level 3		Total
Warrant liabilities:
Public Warrants	$	556,600	$	—	$	—	$	556,600
Private Placement Warrants		—				435,780		435,780
Total warrant liabilities	$	556,600	$	—	$	435,780	$	992,380

The following table presents the fair value hierarchy for liabilities measured at fair value on a recurring basis as of

December 31, 2021:

	Level 1		Level 2		Level 3		Total
Warrant liabilities:
Public Warrants		6,325,000	$	—	$	—	$	6,325,000
Private Placement Warrants		—				4,467,960		4,467,960
Total warrant liabilities	$	6,325,000	$	—	$	4,467,960	$	10,792,960

Summary of Changes in the Fair Value of the Warrants

The following table presents a summary of the changes in the fair value of the Warrants:

	Public Warrant Liability			Private Placement Warrant Liability
Fair value, January 21 2021⁽¹⁾	$	13,566,550		$	9,816,390
Recognized gain (loss) on change in fair value⁽²⁾		(6,743,600	)		(5,777,730	)
Fair value, March 31, 2021	$	6,822,950		$	4,038,660
Recognized gain (loss) on change in fair value⁽²⁾		2,952,050			2,886,030
Fair value, June 30, 2021	$	9,775,000		$	6,924,690
Recognized gain (loss) on change in fair value⁽²⁾		(3,105,000	)		(2,194,290	)
Fair value, September 30, 2021	$	6,670,000		$	4,730,400

	Public Warrant Liability			Private Placement Warrant Liability
Fair value, December 31, 2021⁽¹⁾	$	6,325,000		$	4,467,960
Recognized gain (loss) on change in fair value⁽²⁾		(4,023,850	)		(2,844,720	)
Fair value, March 31, 2022	$	2,301,150		$	1,623,240
Recognized gain (loss) on change in fair value⁽²⁾		(1,381,150	)		(972,000	)
Fair value, June 30, 2022	$	920,000		$	651,240
Recognized gain (loss) on change in fair value⁽²⁾		(363,400	)		(215,460	)
Fair value, June 30, 2022	$	556,600		$	435,780

(1)	Initial fair value for the Warrants on January 26, 2021, the date of the Company’s Initial Public Offering, was determined using a Monte Carlo model. The Warrants were classified as Level 3 at the initial measurement date due to the use of unobservable inputs.

(2)	Changes in valuation are recognized in changes in fair value of warrant liabilities in the unaudited condensed Statement of Operations.

Summary of Fair Value Measurement Inputs and Valuation Techniques

The key inputs into the Black-Scholes pricing model for the Private Placement Warrants were as follows:

	September 30, 2022			December 31, 2021
Exercise price	$	11.50		$	11.50
Volatility		0.46	%		12.46	%
Option term (in years)		5			5
Risk-free interest rate		4.09	%		1.13	%
Dividend yield		0	%		0	%

SCP & CO Healthcare Acquisition Co 10-Q