Quarterly report pursuant to Section 13 or 15(d)

Fair Value Measurements

v3.22.1
Fair Value Measurements
3 Months Ended
Mar. 31, 2022
Fair Value Disclosures [Abstract]  
Fair Value Measurements
Note
10-Fair
Value Measurements
The following tables present information about the Company’s financial assets and liabilities that are measured at fair value on a recurring basis as of March 31, 2022 and December 31, 2021 by level within the fair value hierarchy:
 
    
As of March 31, 2022
 
Description
  
Quoted Prices
in Active
Markets
(Level 1)
    
Significant
Other
Observable
Inputs
(Level 2)
    
Significant
Other
Unobservable
Inputs
(Level 3)
 
Assets:
                          
Investments held in Trust Account
   $ 324,242,004      $ —        $ —    
Liabilities:
                          
Derivative warrant liabilities-Public warrants
   $ 2,592,673      $ —        $ —    
Derivative warrant liabilities-Private placement warrants
   $ —        $ —        $ 1,373,069  
 
    
As of December 31, 2021
 
Description
  
Quoted Prices
in Active
Markets
(Level 1)
    
Significant
Other
Observable
Inputs
(Level 2)
    
Significant
Other
Unobservable
Inputs
(Level 3)
 
Assets:
                          
Investments held in Trust Account
   $ 324,211,180      $ —        $ —    
Liabilities:
                          
Derivative warrant liabilities-Public warrants
   $ 5,833,514      $ —        $ —    
Derivative warrant liabilities-Private placement warrants
   $ —        $ —        $ 3,089,406  
Transfers to/from Levels 1, 2, and 3 are recognized at the beginning of the reporting period. There were no transfers between levels of the hierarchy during the three-month periods ending March 31, 2022 and 2021.
Level 1 assets include investments in U.S. Treasury securities or money market funds that invest solely in U.S. Treasury securities. 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.
The fair value of the Public Warrants is measured based on the listed market price of such warrants, a Level 1 measurement. The estimated fair value of the Private Placement Warrant is based on a Monte Carlo simulation, which includes use of some Level 3 inputs. Inherent in a Monte Carlo simulation are assumptions related to expected stock-price volatility, expected life, risk-free interest rate and dividend yield. The Company estimates the volatility of its Class A ordinary shares warrants based on implied volatility from the Company’s traded warrants and from historical volatility of select peer company’s Class A ordinary shares 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 remaining at zero.
The following table provides quantitative information regarding Level 3 fair value measurements inputs at their measurement dates:
 
    
March 31,
2022
   
December 31,
2021
 
Exercise price
   $ 11.50     $ 11.50  
Stock price
   $ 9.89     $ 9.84  
Volatility
     3.6     9.3
Term
     5.46       5.58  
Risk-free rate
     2.39     1.30
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 March 31, 2021 is summarized as follows:
 
    
2022
    
2021
 
Level 3 derivative warrant liabilities at January 1,
   $ 3,089,406      $ 9,096,584  
Change in fair value of derivative warrant liabilities
     (1,716,337      (4,348,053
    
 
 
    
 
 
 
Level 3 derivative warrant liabilities at March 31,
   $ 1,373,069      $ 4,748,531