Quarterly report pursuant to Section 13 or 15(d)

Fair Value Measurements

v3.22.2.2
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.
 
                                                                             
    
Fair Value Measured as of June 30, 2022
  
    
Level 1
     
Level 2
     
Level 3
     
Total
  
Assets:
                                    
Investments held in Trust Account
   
$
316,742,456
 
   
$
—  
 
   
$
—  
 
   
$
316,742,456
 
Liabilities:
                                    
Derivative warrant liabilities - public warrants
   
$
948,750
 
   
$
—  
 
   
$
—  
 
   
$
948,750
 
Derivative warrant liabilities - private placement warrants
   
$
—  
 
   
$
—  
 
   
$
777,000
 
   
$
777,000
 
 
    
Fair Value Measured as of December 31, 2021
  
    
Level 1
     
Level 2
     
Level 3
     
Total
  
Assets:
                                    
Investments held in Trust Account
    $ 316,267,458      $ —        $ —        $ 316,267,458  
Liabilities:
                                    
Derivative warrant liabilities - public warrants
    $ 6,008,750      $ —        $ —        $ 6,008,750  
Derivative warrant liabilities - private placement warrants
    $ —        $ —        $ 6,549,000      $ 6,549,000  
Transfers to/from Levels 1, 2, and 3 are recognized at the beginning of the reporting period
.
The estimated fair value of the Public Warrants was transferred from a Level 3 measurement to a Level 1 fair value measurement in April 2021, when the Public Warrants were separately listed and traded.
There were no
other transfers to/from Levels 1, 2, and 3 during the six months ended June 30, 2022.
The fair value of the Public Warrants is determined using the traded price. Level 1 assets include investments in 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 of its investments.
Level 3 instruments are comprised of derivative warrant liabilities measured at fair value using a BSM and the OPM. The estimated fair value of the Private Placement Warrants and the Public Warrants, prior to being separately listed and traded, was determined using Level 3 inputs. Inherent in a BSM and the OPM 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 shares 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 measurements inputs as their measurement dates:
 
    
As of June 30, 2022
    
As of December 31, 2021
  
Share Price
    $ 9.82     $ 9.77  
Exercise Price
    $ 11.50     $ 11.50  
Option Term (in years)
      5.0       5.0  
Volatility
      2.0 %      18.0 % 
Risk-free interest rate
      3.01 %      1.26 % 
Expected Dividends
      0.00 %      0.00 % 
 
The change in the fair value of the derivative warrant liabilities measured using Level 3 inputs for the six months ended June 30, 2022 is summarized as follows:
 
Derivative warrant liabilities at January 1, 2022
    $ 6,549,000  
Issuance of Public and Private Warrants
      (4,551,000 ) 
    
 
 
  
Derivative warrant liabilities at March 31, 2022
      1,998,000  
Change in fair value of derivative warrant liabilities
      (1,221,000 ) 
    
 
 
  
Derivative warrant liabilities at June 30, 2022
    $ 777,000  
    
 
 
  
The change in the fair value of the derivative warrant liabilities measured using Level 3 inputs for the six months ended June 30, 2021 is summarized as follows:
 
Derivative warrant liabilities at January 1, 2021
    $ —    
Issuance of Public and Private Warrants
      26,843,380  
Change in fair value of derivative warrant liabilities
      (1,021,000 ) 
    
 
 
  
Derivative warrant liabilities at March 31, 2021
      25,822,380  
Transfer of Public Warrants to a Level 1 measurement
      (14,389,380 ) 
Change in fair value of derivative warrant liabilities
      (4,440,000 ) 
    
 
 
  
Derivative warrant liabilities at June 30, 2021
    $ 6,993,000