Fair Value Measurements

12 Months Ended

Dec. 31, 2021

Note 9—Fair Value Measurements

Fair value is defined as the price that would be received for sale of an asset or paid for transfer of a liability, in an orderly transaction between market participants at the measurement date. The Company concluded that a provision in the warrant agreement related to certain tender or exchange offers precludes the Warrants from being accounted for as components of equity. As the Warrants meet the definition of a derivative as contemplated in ASC 815, the Warrants should be recorded as derivative liabilities. GAAP establishes a three-tier fair value hierarchy, which prioritizes the inputs used in measuring fair value. The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). These tiers include:

•

Level 1, defined as observable inputs such as quoted prices (unadjusted) for identical instruments in active markets;

•

Level 2, defined as inputs other than quoted prices in active markets that are either directly or indirectly observable such as quoted prices for similar instruments in active markets or quoted prices for identical or similar instruments in markets that are not active; and

•

Level 3, defined as unobservable inputs in which little or no market data exists, therefore requiring an entity to develop its own assumptions, such as valuations derived from valuation techniques in which one or more significant inputs or significant value drivers are unobservable.

The following table presents information about the Company’s assets and liabilities that are measured at fair value on a recurring basis at December 31, 2021 and indicates the fair value hierarchy of the valuation inputs the Company utilized to determine such fair value:


	December 31, 2021		Quoted Prices In Active Markets (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Other Unobservable Inputs (Level 3)

Description
Assets:
Cash and marketable securities held in Trust Account	$	330,082,791	$	330,082,791
Liabilities:
Warrant liabilities – Public Warrants		4,750,680		4,750,680		—		—
Warrant liabilities – Private Placement Warrants		4,274,200		—		—		4,274,200

	$	9,024,880	$	4,750,680	$	—	$	4,274,200

The Company’s Warrant liability for the Public Warrants is based on unadjusted quoted prices in active markets for identical assets or liabilities that the Company has the ability to access. The fair value of the Public Warrant liability is classified within Level 1 of the fair value hierarchy. The Company utilizes a Black Scholes model to value the Private Placement Warrants at each reporting period, with changes in fair value recognized in the statement of operations. The estimated fair value of the Private Placement Warrant liability is determined using Level 3 inputs. In the third quarter of 2021, Public Warrants were reclassified from level 3 to level 1 because the Public Warrants began to trade on the NYSE. The Company estimates the volatility of its binomial options pricing model based on historical volatility 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 assumed to be equivalent to their remaining contractual term. The dividend rate is based on the historical rate, which the Company anticipates to remain at zero.

The aforementioned Warrant liabilities are not subject to qualified hedge accounting.

The following table provides quantitative information regarding Level 3 fair value measurements:


	At March 12, 2021 (Initial Measurement) Public Warrants			At March 12, 2021 (Initial Measurement) Private Placement Warrants
Share price	$	9.70		$	9.70
Strike price	$	11.50		$	11.50
Term (in years)		5.0			5.0
Volatility		24.0	%		24.0	%
Risk-free rate		0.98	%		0.98	%
Dividend yield		0.0	%		0.0	%
Redemption trigger price	$	18.00			N/A


	At December 31, 2021 Private Placement Warrants
Share price	$	9.71
Strike price	$	11.50
Term (in years)		4.25
Volatility		14.0	%
Risk-free rate		1.4	%
Dividend yield		0	%
Redemption trigger price		N/A

The following table provides a reconciliation of changes in fair value liability of the beginning and ending balances for the Company’s Warrants classified as Level 3:


Fair value as of December 31, 2020	$	—
Initial measurement on March 12, 2021		17,421,333
Public Warrant reclassified to level 1 (1)		(8,844,000	)
Change in fair value		(4,303,133	)
Fair value as of December 31, 2021	$	4,274,200

(1)	Assumes the Public Warrants were reclassified on March 31, 2021.

The following table presents the changes in the fair value of Warrant liabilities:


	Public			Private Placement			Warrant Liabilities
Fair value as of November 24, 2020	$	—		$	—		$	—
Fair value as of December 31, 2020	$	—		$	—		$	—

Initial measurement on March 12, 2021		9,108,000			8,313,333			17,421,333
Change in valuation inputs or other assumptions		(4,357,320	)		(4,039,133	)		(8,396,453	)

Fair value as of December 31, 2021	$	4,750,680		$	4,274,200		$	9,024,880

- Definition

The entire disclosure for the fair value of financial instruments (as defined), including financial assets and financial liabilities (collectively, as defined), and the measurements of those instruments as well as disclosures related to the fair value of non-financial assets and liabilities. Such disclosures about the financial instruments, assets, and liabilities would include: (1) the fair value of the required items together with their carrying amounts (as appropriate); (2) for items for which it is not practicable to estimate fair value, disclosure would include: (a) information pertinent to estimating fair value (including, carrying amount, effective interest rate, and maturity, and (b) the reasons why it is not practicable to estimate fair value; (3) significant concentrations of credit risk including: (a) information about the activity, region, or economic characteristics identifying a concentration, (b) the maximum amount of loss the entity is exposed to based on the gross fair value of the related item, (c) policy for requiring collateral or other security and information as to accessing such collateral or security, and (d) the nature and brief description of such collateral or security; (4) quantitative information about market risks and how such risks are managed; (5) for items measured on both a recurring and nonrecurring basis information regarding the inputs used to develop the fair value measurement; and (6) for items presented in the financial statement for which fair value measurement is elected: (a) information necessary to understand the reasons for the election, (b) discussion of the effect of fair value changes on earnings, (c) a description of [similar groups] items for which the election is made and the relation thereof to the balance sheet, the aggregate carrying value of items included in the balance sheet that are not eligible for the election; (7) all other required (as defined) and desired information.

+ References + Details