Fair Value Measurements

3 Months Ended

Mar. 31, 2022

Fair Value Measurements

Fair Value Measurements

Note 9 — Fair Value Measurements

The following tables present information about the Company’s assets and liabilities that are measured at fair value on a recurring basis and indicates the fair value hierarchy of the valuation techniques that the Company utilized to determine such fair value.

March 31, 2022

	Quoted Prices in Active		Significant Other		Significant Other
	Markets		Observable Inputs		Unobservable Inputs
Description	(Level 1)		(Level 2)		(Level 3)
Assets:
Money Market Funds	$	276,039,870	$	—	$	—
Liabilities:
Derivative warrant liabilities - Public	$	2,346,000	$	—	$	—
Derivative warrant liabilities - Private	$	—	$	—	$	1,363,400
Working Capital Loan - related party	$	—	$	—	$	603,255

December 31, 2021

	Quoted Prices in Active		Significant Other		Significant Other
	Markets		Observable Inputs		Unobservable Inputs
Description	(Level 1)		(Level 2)		(Level 3)
Assets:
Money Market Funds	$	276,017,343	$	—	$	—
Liabilities:
Derivative warrant liabilities - Public	$	6,762,000	$	—	$	—
Derivative warrant liabilities - Private	$	—	$	—	$	3,929,800
Working Capital Loan - related party	$	—	$	—	$	179,352

Transfers to/from Levels 1, 2, and 3 are recognized at the beginning of the reporting period. The estimated fair value of the Public Warrants transferred from a Level 3 measurement to a Level 1 fair value measurement in February 2021 as the Public Warrants were separately listed and traded in February 2021. There were no transfers to/from Levels 1, 2, and 3 during the three months ended March 31, 2022.

Level 1 assets include investments in mutual funds invested in government securities and Public Warrants. The Company uses inputs such as actual trade data, benchmark yields, quoted market prices from dealers or brokers, and other similar sources to determine the fair value of its investments.

The fair value of the Public Warrants issued in connection with the Public Offering was initially measured at fair value using a Monte Carlo simulation model and subsequently, the fair value of the Public Warrants has been measured based on the listed market price of such warrants, a Level 1 measurement. The fair value of the Private Warrants has been initially and subsequently estimated using a modified Black-Scholes option pricing model. For the three months ended March 31, 2022 and 2021, the Company recognized a gain to the statements of operations resulting from a decrease in the fair value of the derivative warrant liabilities of approximately $7.0 million and $10.0 million, respectively, presented as change in fair value of derivative liabilities on the accompanying condensed statements of operations.

The estimated fair value of the Private Placement Warrants, and the Public Warrants prior to being separately listed and traded, is determined using Level 3 inputs. Inherent in a Monte Carlo simulation and Black-Scholes 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 share warrants based on implied volatility from the Company’s traded warrants and from historical volatility of select peer company’s ordinary shares that matches the expected remaining life of the warrants. Significant increases (decreases) in the expected volatility in isolation

would result in a significantly higher (lower) fair value measurement. 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 remaining at zero.

The following table provides quantitative information regarding Level 3 fair value measurements inputs at their measurement dates:

	As of March 31, 2022			As of December 31, 2021
Volatility		3.7	%		9.8	%
Stock price	$	9.81		$	9.79
Risk-free rate		2.40	%		1.32	%
Dividend yield		0.0	%		0.0	%

The change in the fair value of the derivative warrant liabilities measured with Level 3 inputs for the three months ended March 31, 2022 and 2021 is summarized as follows:

Level 3 - Derivative warrant liabilities at December 31, 2021	$	3,929,800
Change in fair value of derivative warrant liabilities		(2,566,400)
Level 3 - Derivative warrant liabilities at March 31, 2022	$	1,363,400

Level 3 - Derivative warrant liabilities at December 31, 2020	$	—
Issuance of Public and Private Warrants		21,820,000
Change in fair value of derivative warrant liabilities		(3,689,200)
Transfer of Public Warrants to Level 1		(13,800,000)
Level 3 - Derivative warrant liabilities at March 31, 2021	$	4,330,800