Fair Value Measurements (Tables)

3 Months Ended

Mar. 31, 2022

Fair Value Disclosures [Abstract]

Summary Of Fair Value Of The Warrant Liability Is Classified Within Level 3

During 2021, the value of the Public Warrant liability was transferred out of Level 3 and into Level 1 classification after the Public Warrants began active trading.

Description	Level		March 31, 2022		December 31, 2021
Assets:
Investments held in Trust Account – U.S. Treasury Securities Money Market Fund		1	$	236,947,197	$	236,926,076
Liabilities:
Public Warrants		1	$	7,360,000		10,465,000
Private Placement Warrants		3	$	9,262,500	$	13,110,000

Summary Of Fair Value Measurement Inputs And Valuation Techniques

The key inputs into the modified Black-Scholes model were as follows at March 31, 2022 and December 31, 2021:

Input	March 31, 2022			December 31, 2021			March 31, 2021
Risk-free interest rate		2.40	%		1.29	%		1.04	%
Expected term (years)		5.11			5.0			5.5
Expected volatility		6.5	%		12.3	%		18.8	%
Exercise price	$	11.50		$	11.50		$	11.50
Dividend yield		0.0	%		0.0	%		0.0	%
Expected stock price at De-SPAC	$	10.26		$	10.18		$	9.95
Probability weighted average of additional shares to be issued for the forward contract		N/A			N/A			3,450,000

Summary Of Fair Value Of The Derivative Warrant Liabilities

The change in the fair value of the derivative liabilities for the period ended March 31, 2022 and 2021 is summarized as follows:

	Private Placement			Public			Forward Contract			Derivative Liabilities
Fair value as of January 1, 2021	$	17,080,500		$	19,435,000		$	3,542,000		$	40,057,500
Change in valuation inputs or other assumptions		(4,632,000	)		(4,945,000	)		(2,541,500	)		(12,118,500	)
Fair value as of March 31, 2021		12,448,500			14,490,000			1,000,500			27,939,000
Sale of 2,300,000 warrants to Sponsor on May 19, 2021		2,093,000			—			—			2,093,000
Sale of 2,300,000 warrants to Sponsor on November 16, 2021		2,024,000			—			—			2,024,000
Change in valuation inputs or other assumptions (1)		(3,455,500	)		(4,025,000	)		(1,000,500	)		(8,481,000	)
Fair value as of December 31, 2021		13,110,000			10,465,000			—			23,575,000
Change in valuation inputs		(3,847,500	)		(3,105,000	)		—			(6,952,500	)
Fair value as of March 31, 2022	$	9,262,500		$	7,360,000		$	—		$	16,622,500

(1) The change in valuation inputs or other assumptions for the Forward Contract includes a settlement of the Forward Contract related to the Sponsor’s exercise of its option to purchase 4,600,000 Private Placement Warrants. The Company realized a $483,000 gain during the period as part of the settlement of the Forward Contract derivative liability. See Note 4 for additional information.