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Fair Value Measurements (Tables)
 6 Months Ended
Jun. 30, 2022
Fair Value Disclosures [Abstract]  
Summary of Fair Value Hierarchy for Assets and Liabilities Measured at Fair Value

The following table presents the fair value hierarchy for assets and liabilities measured at fair value on a recurring basis as of June 30, 2022 by level within the fair value hierarchy.

 

 

 

Level 1

 

 

Level 2

 

 

Level 3

 

 

Total

 

Assets

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Marketable securities held in Trust Account

 

$

319,900,744

 

 

$

—

 

 

$

—

 

 

$

319,900,744

 

 

 

$

319,900,744

 

 

$

—

 

 

$

—

 

 

$

319,900,744

 

Liabilities:

 

 

____________

 

 

 

 

 

 

 

____________

 

 

 

____________

 

Public Warrants

 

$

3,175,395

 

 

$

—

 

 

$

—

 

 

$

3,175,395

 

Private Placement Warrants

 

 

—

 

 

 

—

 

 

 

2,556,452

 

 

 

2,556,452

 

Total liabilities

 

$

3,175,395

 

 

$

—

 

 

$

2,556,452

 

 

$

5,731,847

 

 

The following table presents the fair value hierarchy for assets and liabilities 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

 

$

319,421,010

 

 

$

—

 

 

$

—

 

 

$

319,421,010

 

 

 

$

319,421,010

 

 

$

—

 

 

$

—

 

 

$

319,421,010

 

Liabilities:

 

 

____________

 

 

 

____________

 

 

 

____________

 

 

 

____________

 

Public Warrants

 

$

14,959,333

 

 

$

—

 

 

$

—

 

 

$

14,959,333

 

Private Placement Warrants

 

 

—

 

 

 

—

 

 

 

12,402,426

 

 

 

12,402,426

 

Total liabilities

 

$

14,959,333

 

 

$

—

 

 

$

12,402,426

 

 

$

27,361,759

 
Summary of Quantitative Information Regarding Level 3 Fair Value Measurements Inputs

The following table provides quantitative information regarding Level 3 fair value measurements inputs at their measurement dates:

 

Input

 

December 31

2021

 

 

June 30,

2022

 

Risk-free interest rate

 

 

1.35

%

 

 

2.97

%

Expected term until merger (years)

 

1.12

 

 

0.25

 

Expected term until expiration (years)

 

 

6.12

 

 

 

5.25

 

Expected volatility

 

13.00

%

 

1.80

%

Underlying share price

 

$

9.86

 

 

$

9.91

 

Exercise price

 

$

11.50

 

 

$

11.50

 

 
Summary of Changes in Fair Value of Level 3 Derivative Warrant Liabilities

The following table presents a summary of the changes in the fair value of the derivative warrant liabilities:

 

 

 

Public Warrant

Liability

 

 

Private Warrant

Liability

 

 

Total

 

Fair value, January 1, 2022

 

$

14,959,333

 

 

$

12,402,426

 

 

$

27,361,759

 

Change in fair value

 

 

11,783,938

 

 

 

9,845,974

 

 

 

21,629,912

 

Fair value, June 30, 2022

 

$

3,175,395

 

 

$

2,556,452

 

 

$

5,731,847