Quarterly report pursuant to Section 13 or 15(d)

Fair Value Measurements (Tables)

v3.22.1
Fair Value Measurements (Tables)
3 Months Ended
Mar. 31, 2022
Fair Value Disclosures [Abstract]  
Summary of Assets that are Measured at Fair Value on a Recurring Basis
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  
Summary of the Table Provides Quantitative Information Regarding Level 3 Fair Value Measurements Inputs at their Measurement Dates
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
Summary of Change in Fair Value of the Derivative Warrant Liabilities
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