Quarterly report pursuant to Section 13 or 15(d)

Fair Value Measurements

v3.22.2
Fair Value Measurements
6 Months Ended
Jun. 30, 2022
Fair Value Disclosures [Abstract]  
Fair Value Measurements

Note 9 - Fair Value Measurements

 

The following table presents information about the Company’s financial assets and liabilities that are measured at fair value on a recurring basis as of June 30, 2022 and December 31, 2021, by level within the fair value hierarchy:

 

June 30, 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 - money market fund

 

$

281,435,479

 

 

$

-

 

 

$

-

 

Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

Derivative warrant liabilities - Public Warrants

 

$

899,310

 

 

$

-

 

 

$

-

 

Derivative warrant liabilities - Private Placement Warrants

 

$

-

 

 

$

-

 

 

$

609,660

 

 

 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 - money market fund

 

$

281,049,184

 

 

$

-

 

 

$

-

 

Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

Derivative warrant liabilities - Public Warrants

 

$

5,058,620

 

 

$

-

 

 

$

-

 

Derivative warrant liabilities - Private Placement Warrants

 

$

-

 

 

$

-

 

 

$

3,429,310

 

 

Transfers to/from Levels 1, 2, and 3 are recognized at the beginning of the reporting period. There were no transfers to/from Levels 1, 2, and 3 during the six months ended June 30, 2022 or 2021.

 

Level 1 assets include investments in money market funds invested in government 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 of its investments.

 

The fair value of the Public Warrants issued in connection with the Public Offering and Private Placement Warrants were initially measured at fair value using a Monte Carlo simulation model. Subsequent to the separate listing and trading of the Public Warrants the fair value of the Public Warrants has been measured based on the observable listed prices for such warrants and the fair value of the Private Warrants are measured using a Black-Scholes Option Pricing Model. For the three months ended June 30, 2022 and 2021, the Company recognized a non-cash gain/(loss) resulting from a decrease/(increase) in the fair value of the derivative warrant liabilities of approximately $2.8 million and $(1.5) million, respectively, presented as change in fair value of derivative warrant liabilities on the accompanying unaudited condensed statements of operations. For the six months ended June 30, 2022 and 2021, the Company recognized a non-cash gain/(loss) resulting from a decrease/(increase) in the fair value of liabilities of approximately $7.0 million and $(1.7) million, respectively, presented as change in fair value of derivative warrant liabilities on the accompanying unaudited 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 the Black-Scholes Option Pricing Model are assumptions related to expected stock-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. 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 measurement inputs at their measurement dates:

 

 

 

As of

June 30,

2022

 

 

As of

December 31,

2021

 

Volatility

 

 

1.19

%

 

 

12.79

%

Stock price

 

$

9.78

 

 

$

9.75

 

Expected life of the options to convert

 

 

5.66

 

 

 

6.16

 

Risk-free rate

 

 

3.021

%

 

 

1.373

%

Dividend yield

 

 

0.000

%

 

 

0.000

%

 

The changes in the fair value of Level 3 derivative warrant liabilities for the three and six months ended June 30, 2022 and 2021 are summarized as follows:

 

 

 

2022

 

 

2021

 

Derivative warrant liabilities at January 1

 

$

3,429,310

 

 

$

-

 

Issuance of Public Warrants - Level 3

 

 

-

 

 

 

5,000,000

 

Issuance of Private Warrants - Level 3

 

 

-

 

 

 

3,640,000

 

Change in fair value of derivative liabilities - Level 3

 

 

(1,676,550

)

 

 

205,000

 

Derivative warrant liabilities at March 31

 

$

1,752,760

 

 

$

8,845,000

 

Issuance of Public Warrants due to over-allotment - Level 3

 

 

-

 

 

 

633,100

 

Issuance of Private Warrants due to over-allotment - Level 3

 

 

-

 

 

 

332,070

 

Transfer of Public Warrants to Level 1 measurement

 

 

-

 

 

 

(5,733,100

)

Change in fair value of derivative liabilities - Level 3

 

 

(1,143,100

)

 

 

495,340

 

Derivative warrant liabilities at June 30

 

$

609,660

 

 

$

4,572,410