Fair Value Measurements

6 Months Ended

Jun. 30, 2022

Fair Value Disclosures [Abstract]

Fair Value Measurements

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. US 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 that are measured at fair value on a recurring basis at June 30, 2022 and December 31, 2021 and indicates the fair value hierarchy of the valuation inputs the Company utilized to determine such fair value:

	June 30, 2022		Quoted Prices In Active Markets (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Other Unobservable Inputs (Level 3)
Description
Assets:
Mutual Funds held in trust account	$	345,392,350	$	345,392,350	$	—	$	—
Liabilities:
Warrant liabilities		1,454,108		948,750		—		505,358
	$	346,846,458	$	346,341,100	$	—	$	505,358

	December 31, 2021		Quoted Prices In Active Markets (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Other Unobservable Inputs (Level 3)
Description
Assets:
Mutual Funds held in trust account	$	345,018,988	$	345,018,988	$	—	$	—
Liabilities:
Warrant liabilities		9,089,893		5,863,850		—		3,226,043
	$	354,108,881	$	350,882,838	$	—	$	3,226,043

At June 30, 2022 and December 31, 2021, the Company use the quoted stock price in the active market to value the public warrants and a Monte Carlo simulation model to value the private placement warrants with changes in fair value charged to the statements of operations. The estimated fair value of the private placement warrant liability is determined using Level 3 inputs. Inherent in a binomial options pricing model are assumptions related to expected share-price volatility, expected life, risk-free interest rate and dividend yield. The Company estimates the volatility of its shares of common stock 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.

Transfers to/from Levels 1, 2 and 3 are recognized at the end of the reporting period. There were no transfers between levels for the three and six months ended June 30, 2022. During the year ended December 31, 2021, there was a transfer of the public warrants from Level 3 to Level 1 due to a valuation of the public warrants using the quoted stock price in the active market.

The following table provides quantitative information regarding assumptions used to determine Level 3 fair value measurements: 

	At June 30, 2022			At December 31, 2021
Stock price	$	9.78		$	9.73
Strike price	$	11.50		$	11.50
Term (in years)		5.67			5.91
Volatility		7.1	%		9.5	%
Risk-free rate		3.02	%		1.34	%
Dividend yield		0	%		0	%

The following table provides a reconciliation of changes in fair value of the beginning and ending balances for our assets and liabilities classified as level 3 (private placement warrants): 

	Warrant
	Liability
Fair value at January 1, 2022	$	3,226,043
Change in fair value		(1,848,252	)
Fair value at March 31, 2022		1,377,791
Change in fair value		(872,433	)
Fair value at June 30, 2022	$	505,358

	Warrant Liability
Fair value at January 1, 2021	$	—
Initial value at IPO date		23,290,337
Change in fair value		637,123
Fair value at March 31, 2021		23,927,460
Transfer of public warrants from level 3 to level 1		(15,595,052	)
Change in fair value		(2,692,406	)
Fair value at June 30, 2021	$	5,640,002