Fair Value Measurements

3 Months Ended

Mar. 31, 2022

Fair Value Disclosures [Abstract]

Fair Value Measurements

Note 10 — Fair Value Measurements

Fair value is defined as the price that would be received for sale of an asset or paid for transfer of a liability, in an orderly transaction between market participants at the measurement date. GAAP establishes a three-tier fair value hierarchy, which prioritizes the inputs used in measuring fair value. The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). These tiers include:

● Level 1, defined as observable inputs such as quoted prices (unadjusted) for identical instruments in active markets;

● Level 2, defined as inputs other than quoted prices in active markets that are either directly or indirectly observable such as quoted prices for similar instruments in active markets or quoted prices for identical or similar instruments in markets that are not active; and

● Level 3, defined as unobservable inputs in which little or no market data exists, therefore requiring an entity to develop its own assumptions, such as valuations derived from valuation techniques in which one or more significant inputs or significant value drivers are unobservable.

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

	March 31,			Quoted Prices In Active Markets			Significant Other Observable Inputs		Significant Other Unobservable Inputs
	2022			(Level 1)			(Level 2)		(Level 3)
Description
Assets:
Marketable Securities held in Trust Account	$	345,055,667		$	345,055,667		$	—	$	—
Liabilities:
Forward purchase agreement liabilities		(10,656,000	)		—			—		(10,656,000	)
Warrant liabilities		(16,795,333	)		(11,040,000	)		—		(5,755,333	)

	December 31,			Quoted Prices In Active Markets			Significant Other Observable Inputs		Significant Other Unobservable Inputs
	2021			(Level 1)			(Level 2)		(Level 3)
Description
Assets:
Marketable Securities held in Trust Account	$	345,052,047		$	345,052,047		$	—	$	—
Liabilities:
Forward purchase agreement liabilities		(13,320,000	)		—			—		(13,320,000	)
Warrant liabilities		(21,153,666	)		(13,915,000	)		—		(7,238,666	)

The Company utilizes a Monte Carlo simulation model to value its private warrants at each reporting period, with changes in fair value recognized in the condensed statements of operations. The estimated fair value of the warrant liabilities is determined using Level 3 inputs. Inherent in a binomial options pricing 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.

The following table provides quantitative information regarding Level 3 fair value measurements: (private warrants and forward purchase agreements)

	At March 31, 2022			At December 31, 2021
Share price	$	10.00		$	10.00
Strike price	$	11.50		$	11.50
Term (in years)		5.25			5.50
Volatility		12.0	%		19.0	%
Risk-free rate		2.42	%		1.31	%
Dividend yield		0.0	%		0.0	%

The following table presents the changes in the fair value of warrant liabilities:

	Public			Private Placement			Warrant Liabilities
Fair value as of December 31, 2021	$	—		$	—		$	—
Initial measurement on March 18, 2021		11,960,000			6,230,000			18,190,000
Change in fair value of warrant liabilities		1,955,000			1,008,666			2,963,666
Fair value as of December 31, 2021	$	13,915,000		$	7,238,666		$	21,153,666
Change in fair value		(2,875,000	)		(1,483,333	)		(4,358,333	)
Fair value as of March 31, 2022	$	11,040,000		$	5,755,333		$	16,795,333

Prior to their transfer to Level 1 inputs, the estimated fair value of warrant liabilities is determined using Level 3 inputs. Inherent in a binomial options pricing 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 Company has initially classified the FPA as a liability. This financial instrument is subject to re-measurement at each balance sheet date. With each such re-measurement, the FPA asset or liability will be adjusted to fair value, with the change in fair value recognized in the Company’s condensed statements of operations. As such, the Company recorded a $11,655,000 of derivative liabilities related to the FPA as of March 18, 2021. At December 31, 2021, the re-measurement of the derivative associated with the FPA resulted in the following change in the derivative liabilities – forward purchase agreement.

	FPA Liabilities
Derivative liability – forward purchase agreement at March 18, 2021	$	11,655,000
Change in fair value of derivative liability – forward purchase agreement		1,665,000
Derivative liability – forward purchase agreement at December 31, 2021	$	13,320,000
Change in fair value of derivative liability – forward purchase agreement		(2,664,000	)
Derivative liability – forward purchase agreement at March 31, 2022		10,656,000

The following table presents information about the assumptions used to value the Company’s FPA liabilities classified as Level 3 in the fair value hierarchy that are measured at fair value on a recurring basis.

	At March 31, 2022			At December 31, 2021
Share price	$	10.00		$	10.00
Strike price	$	11.50		$	11.50
Term (in years)		5.25			5.50
Volatility		11.8	%		19.0	%
Risk-free rate		2.42	%		1.31	%
Dividend yield		0.0	%		0.0	%