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 6 — Fair Value Measurements

 

The following table presents information about the Company’s assets and liabilities that are measured at fair value on a recurring basis as of June 30, 2022 and December 31, 2021, and indicates the fair value hierarchy of the valuation techniques the Company utilized to determine such fair value.

 

 

 

June 30,

 

 

Quoted

Prices In

Active

Markets

 

 

Significant

Other

Observable

Inputs

 

 

Significant

Other

Unobservable

Inputs

 

 

 

2022

 

 

(Level 1)

 

 

(Level 2)

 

 

(Level 3)

 

Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Warrant liability – Private Placement Warrants

 

$

373,701

 

 

$

 

 

$

 

 

$

373,701

 

 

 

$

373,701

 

 

$

 

 

$

 

 

$

373,701

 

 

 

 

December 31,

 

 

Quoted

Prices In

Active

Markets

 

 

Significant

Other

Observable

Inputs

 

 

Significant

Other

Unobservable

Inputs

 

 

 

2021

 

 

(Level 1)

 

 

(Level 2)

 

 

(Level 3)

 

Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Warrant liability – Private Placement Warrants

 

$

5,044,441

 

 

$

 

 

$

 

 

$

5,044,441

 

 

 

$

5,044,441

 

 

$

 

 

$

 

 

$

5,044,441

 

 

Cash and securities held in Trust Account

As of June 30, 2022, investment in the Company’s Trust Account consisted of approximately $2,281 in U.S. Money Market funds and approximately $276.4 million, in U.S. treasury securities. As of December 31, 2021, investment in the Company’s Trust Account consisted of approximately $1,000 in U.S. Money Market funds and approximately $276.1 million, in U.S. treasury securities. The Company classifies its U.S.  treasury securities as held-to-maturity in accordance with ASC 320, “Investments — Debt and Equity Securities”. Held-to-maturity treasury securities are recorded at amortized cost and adjusted for the amortization or accretion of premiums or discounts. The Company considers all investments with original maturities of more than three months but less than one year to be short-term investments. The carrying value approximates the fair value due to its short-term maturity.

The carrying value, excluding gross unrealized holding loss and fair value of held to maturity securities on June 30, 2022 and December 31, 2021 are as follows:

 

 

 

Carrying

Value/Amortized

Cost

 

 

Gross

Unrealized

Gains

 

 

Gross

Unrealized

Losses

 

 

Fair Value

as of

June 30,

2022

 

U.S. Money Market

 

$

2,281

 

 

$

 

 

$

 

 

$

2,281

 

U.S. Treasury Securities

 

 

276,398,959

 

 

 

 

 

 

25,149

 

 

 

276,373,810

 

 

 

$

276,401,240

 

 

$

 

 

$

4,218

 

 

$

276,376,091

 

 

 

 

Carrying

Value/Amortized

Cost

 

 

Gross

Unrealized

Gains

 

 

Gross

Unrealized

Losses

 

 

Fair Value as of

December 31,

2021

 

U.S. Money Market

 

$

979

 

 

$

 

 

$

 

 

$

979

 

U.S. Treasury Securities

 

 

276,114,465

 

 

 

4,535

 

 

 

 

 

 

276,119,000

 

 

 

$

276,115,444

 

 

$

4,535

 

 

$

 

 

$

276,119,979

 

 

 

Warrant liability - Private Placement Warrants

The estimated fair value of the Private Placement Warrants was determined using Level 3 inputs. Inherent in a Monte-Carlo simulation model are assumptions related to expected stock-price volatility (pre-merger and post-merger), expected term, dividend yield and risk-free interest rate. The Company estimates the volatility of its common stock based on management’s understanding of the volatility associated with instruments of other similar entities. The risk-free interest rate is based on the U.S. Treasury Constant Maturity similar to the expected remaining life of the Private Placement Warrants. The expected life of the Private Placement Warrants is simulated based on management assumptions regarding the timing and likelihood of completing a Business Combination. The dividend rate is based on the historical rate, which the Company anticipates to remain at zero. The assumptions used in calculating the estimated fair values represent the Company’s best estimate. However, inherent uncertainties are involved. If factors or assumptions change, the estimated fair values could be materially different.

The key inputs into the Monte Carlo simulation model for the Private Placement Warrants were as follows at December 23, 2021:

 

Input

 

December 23,

2021

 

Expected term (years)

 

 

5.43

 

Expected volatility

 

 

13.20

%

Risk-free interest rate

 

 

1.21

%

Stock price

 

$

9.88

 

Dividend yield

 

 

0.00

%

Exercise price

 

$

11.50

 

 

The key inputs into the Monte Carlo simulation model for the Private Placement Warrants were as follows at June 30, 2022 and December 31, 2021:

 

Input

 

June 30,

2022

 

 

December 31,

2021

 

Expected term (years)

 

 

5.25

 

 

 

5.40

 

Expected volatility

 

 

4.5

%

 

 

11.70

%

Risk-free interest rate

 

 

3.01

%

 

 

1.20

%

Stock price

 

$

9.84

 

 

$

9.90

 

Dividend yield

 

 

0.00

%

 

 

0.00

%

Exercise price

 

$

11.50

 

 

$

11.50

 

 

The following table sets forth a summary of the changes in the Level 3 fair value classification:

 

 

 

Warrant

Liability

 

Fair value as of December 31, 2021

 

$

5,044,441

 

Change in fair value

 

 

(1,747,419

)

Fair value as of March 31, 2022

 

$

3,297,022

 

Change in fair value

 

 

(2,923,321

)

Fair value as of June 30, 2022

 

$

373,701