XML 25 R15.htm IDEA: XBRL DOCUMENT

Fair Value Measurements

6 Months Ended

Jun. 30, 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.

June 30, 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		$	276,431,890		$	—		$	—
Liabilities:
Derivative warrant liabilities - Public		$	414,000		$	—		$	—
Derivative warrant liabilities - Private		$	—		$	—		$	240,600
Working Capital Loan - related party		$	—		$	—		$	811,173

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 six months ended June 30, 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 and six months ended June 30, 2022, the Company recognized a gain resulting from a decrease in the fair value of the derivative warrant liabilities of approximately $3.1 million and $10.0 million, respectively, presented as change in fair value of derivative liabilities on the accompanying condensed statements of operations. For the three and six months ended June 30, 2021, the Company recognized a (loss)/gain resulting from an increase/decrease in the fair value of the derivative warrant liabilities of approximately ($5.5 million) and $4.6 million, respectively, presented as change in fair value of derivative liabilities on the accompanying condensed statements of operations.

Level 3 Valuations

Derivative Warrant Liabilities

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 June 30, 2022			As of December 31, 2021
Volatility			0.7	%		9.8	%
Stock price		$	9.83		$	9.79
Risk-free rate			3.00	%		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 six months ended June 30, 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
Change in fair value of derivative warrant liabilities			(1,122,800)
Level 3 - Derivative warrant liabilities at June 30, 2022		$	240,600


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
Change in fair value of derivative warrant liabilities			2,005,000
Level 3 - Derivative warrant liabilities at June 30, 2021		$	6,335,800

Working Capital Loan - Related Party

The estimated fair value of the Working Capital Loan – Related Party was estimated utilizing a binomial lattice model with Level 3 inputs.

The following table provides quantitative information regarding the inputs for the fair value measurement of the Working Capital Loan – Related Party as of their measurement dates:


		As of June 30, 2022			As of December 31, 2021
Warrant Price		$	0.03		$	0.49
Volatility			100.0	%		100.0	%
Risk-free rate			2.51	%		0.40	%
Debt yield			30.0	%		30.0	%

The change in the fair value of the Working Capital Loan – Related Party, measured utilizing Level 3 measurements for the period for the three and six months ended June 30, 2022, is summarized as follows:


Level 3 - Working Capital Loan - Related Party at December 31, 2021		$	179,352
Initial borrowings			467,000
Change in fair value of Working Capital Loan - related party			(43,097)
Level 3 - Working Capital Loan - Related Party at March 31, 2022			603,255
Initial borrowings			171,884
Change in fair value of Working Capital Loan - related party			36,034
Level 3 - Working Capital Loan - Related Party at June 30, 2022		$	811,173

The entire disclosure for the fair value of financial instruments (as defined), including financial assets and financial liabilities (collectively, as defined), and the measurements of those instruments as well as disclosures related to the fair value of non-financial assets and liabilities. Such disclosures about the financial instruments, assets, and liabilities would include: (1) the fair value of the required items together with their carrying amounts (as appropriate); (2) for items for which it is not practicable to estimate fair value, disclosure would include: (a) information pertinent to estimating fair value (including, carrying amount, effective interest rate, and maturity, and (b) the reasons why it is not practicable to estimate fair value; (3) significant concentrations of credit risk including: (a) information about the activity, region, or economic characteristics identifying a concentration, (b) the maximum amount of loss the entity is exposed to based on the gross fair value of the related item, (c) policy for requiring collateral or other security and information as to accessing such collateral or security, and (d) the nature and brief description of such collateral or security; (4) quantitative information about market risks and how such risks are managed; (5) for items measured on both a recurring and nonrecurring basis information regarding the inputs used to develop the fair value measurement; and (6) for items presented in the financial statement for which fair value measurement is elected: (a) information necessary to understand the reasons for the election, (b) discussion of the effect of fair value changes on earnings, (c) a description of [similar groups] items for which the election is made and the relation thereof to the balance sheet, the aggregate carrying value of items included in the balance sheet that are not eligible for the election; (7) all other required (as defined) and desired information.

+ References + Details