Quarterly report pursuant to Section 13 or 15(d)

Fair Value Measurements (Tables)

v3.22.2
Fair Value Measurements (Tables)
6 Months Ended
Jun. 30, 2022
Fair Value Disclosures [Abstract]  
Summary of Information About Financial Assets and Liabilities Measured at Fair Value on Recurring Basis

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

 

 

Summary of Fair Value Measurement Inputs and Valuation Techniques

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

%

 

Summary of Change in Fair Value of Derivative Warrant Liabilities

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