Fair Value Measurements

3 Months Ended

Mar. 31, 2022

Note 8—Fair Value Measurements

The following table presents information about the Company’s financial assets and financial liabilities that are measured at fair value on a recurring basis as of March 31, 2022, by level within the fair value hierarchy:


	Level 1		Level 2		Level 3		Total
Assets
Marketable securities held in Trust Account	$	364,020,136	$	—	$	—	$	364,020,136
Liabilities:
Public Warrants	$	4,226,615	$	—	$	—	$	4,226,615
Private Placement Warrants		—		2,155,179		—		2,155,179

Total liabilities	$	4,226,615	$	2,155,179	$	—	$	6,381,794

The following table presents information about the Company’s financial assets and financial liabilities that are measured at fair value on a recurring basis as of December 31, 2021, by level within the fair value hierarchy:


	Level 1		Level 2		Level 3		Total
Assets
Marketable securities held in Trust Account	$	363,987,687	$	—	$	—	$	363,987,687
Liabilities:
Public Warrants	$	8,492,050	$	—	$	—	$	8,492,050
Private Placement Warrants		—		4,330,154		—		4,330,154

Total liabilities	$	8,492,050	$	4,330,154	$	—	$	12,822,204

Transfers to/from Levels 1, 2, and 3 are recognized at the end of the reporting period. There were no transfers between levels during the three months ended March 31, 2022, or in the three months ended March 31, 2021. Level 1 instruments include investments in mutual funds invested in government securities. 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.

The fair value of the Public Warrants issued in connection with the Public Offering and Private Placement Warrants were initially measured at fair value using a Monte Carlo simulation model. The fair value of Public Warrants issued in connection with the Initial Public Offering have been measured based on the listed market price of such warrants, a Level 1 measurement, since December 2020. The fair value of the Private Placement Warrants has subsequently been measured by reference to the trading price of the Public Warrants, which is considered to be a Level 2 fair value measurement. For the three months ended March 31, 2022 and March 31, 2021, the Company recognized gains to the statement of operations resulting from decreases in the fair value of derivative warrant liabilities of approximately $6.4 million and $4.8 million, respectively, which is presented as a change in the fair value of derivative warrant liabilities on the accompanying condensed statement of operations.