Fair Value Measurements (Tables)
|
6 Months Ended |
Jun. 30, 2022 |
|---|
| Fair Value Disclosures [Abstract] |
|
| Schedule of Assets and Liabilities Measured at Fair Value on a Recurring Basis |
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
|
|
|
| Schedule of Carrying Value, Excluding Gross Unrealized Holding Loss and Fair Value of Held to Maturity Securities |
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
|
|
|
| Schedule of Key Inputs into Monte Carlo Simulation Model for Warrants |
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
|
|
|
| Summary of Changes in Fair Value |
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
|
|
|