Registration of securities issued in business combination transactions

Fair Value Measurements

v3.22.0.1
Fair Value Measurements
12 Months Ended
Dec. 31, 2021
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 were measured at fair value on a recurring basis as of 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.
 
    
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  
    
 
 
    
 
 
    
 
 
    
 
 
 
The estimated fair value of the warrant liability for the private warrants at December 31, 2021 was determined using Level 3 inputs. Inherent in a Monte Carlo options pricing model 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 based on projected volatility of comparable public companies 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 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.
Transfers to/from Levels 1, 2 and 3 are recognized at the end of the reporting period. The estimated fair value of the Public Warrants transferred from a Level 3 measurement to a Level 1 fair value measurement in May 2021 when the Public Warrants were listed separately.
The following table provides quantitative information regarding Level 3 fair value measurements as of December 31, 2021:

 
    
December 31,
2021
 
Strike price
   $ 11.50  
Share price
   $ 9.59  
Volatility
     40 %
Risk-free rate
     1.28
Expected term (years)
     5