Quarterly report pursuant to Section 13 or 15(d)

Fair Value Measurements (Tables)

v3.22.1
Fair Value Measurements (Tables)
 3 Months Ended
Mar. 31, 2022
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]  
Schedule Of Assets And Liabilities That Were Measured At Fair Value On A Recurring Basis
The following table presents information about the Company’s assets and liabilities that were measured at fair value on a recurring basis as of March 31, 2022 and December 31, 2021, and indicates the fair value hierarchy of the valuation techniques the Company utilized to determine such fair value. 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 in the Mutual Fund.
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
    
March 31, 2022
     
Quoted Prices In
Active Markets

(Level 1)
     
Significant
Other
Observable
Inputs

(Level 2)
     
Significant
Other
Unobservable
Inputs

(Level 3)
  
Assets:
                                    
Mutual Fund held in Trust Account
    $ 402,566,409      $ 402,566,409     
$
—  
 
   
$
—  
 
Liabilities:
                                    
Derivative warrant liability – Public Warrants
    $ 3,048,919      $ 3,048,919     
$
—  
 
   
$
—  
 
Derivative warrant liability – Private Warrants
      2,636,811     
 
—  
 
   
 
—  
 
      2,636,811  
Backstop derivative liability
      30,234,314     
 
—  
 
   
 
—  
 
      30,234,314  
    
 
 
     
 
 
     
 
 
     
 
 
  
Derivative liabilities
    $ 35,920,044      $ 3,048,919     
$
—  
 
    $ 32,871,125  
    
 
 
     
 
 
     
 
 
     
 
 
  
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
    
December 31, 2021
     
Quoted Prices In
Active Markets

(Level 1)
     
Significant
Other
Observable
Inputs

(Level 2)
     
Significant
Other
Unobservable
Inputs

(Level 3)
  
Assets:
                                    
Mutual Fund held in Trust Account
    $ 402,530,526      $ 402,530,526     
$
—  
 
   
$
—  
 
Liabilities:
                                    
Derivative warrant liability – Public Warrants
    $ 6,731,959      $ 6,731,959     
$
—  
 
   
$
—  
 
Derivative warrant liability – Private Warrants
      6,608,051     
 
—  
 
   
 
—  
 
      6,608,051  
    
 
 
     
 
 
     
 
 
     
 
 
  
Derivative warrant liabilities
    $ 13,340,010      $ 6,731,959     
$
—  
 
    $ 6,608,051  
    
 
 
     
 
 
     
 
 
     
 
 
  
Schedule Of Quantitative Information Regarding Level 3 Fair Value Measurements
The following table provides quantitative information regarding Level 3 fair value measurements of derivative warrant liabilities as of March 31, 2022 and December 31, 2021:
 
 
 
 
 
 
 
 
 
 
    
March 31, 2022
    
December 31, 2021
  
Strike price
    $ 11.50     $ 11.50  
Share price
    $ 5.95     $ 9.59  
Volatility
      25 %      40 % 
Risk-free rate
      2.40 %      1.28 % 
Expected term (years)
      5       5  
Backstop Derivative Liability [Member]  
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]  
Schedule Of Quantitative Information Regarding Level 3 Fair Value Measurements
The Company accounts for the Backstop Subscription Agreement in accordance with the guidance in ASC 815-40 and accounts for the Tranche 2 Shares as a derivative asset and Penny Warrants and Additional Shares as derivative liabilities at its fair value determined by a Monte Carlo simulation of redemptions and share price using the same calibrated price from the warrant valuation analysis. These assets and liabilities are subject to re-measurement at each balance sheet date. With each such re-measurement, the derivate asset or liability will be adjusted to fair value, with the change in fair value recognized in the Company’s statements of operations. On March 31, 2022, the Company recorded net backstop derivative liability in the unaudited condensed balance sheets amounting to $30,234,314.
The following table provides quantitative information regarding Level 3 fair value measurement of backstop derivative liability as of March 31, 2022:
 
 
 
 
 
 
Share price
    $ 5.95  
Volatility
      25 % 
Risk-free rate
      2.40 % 
Minimum Redemption Percentage
      92 % 
Maximum Redemption Percentage
      100 %