Derivative Financial Instruments

3 Months Ended

Mar. 31, 2022

Derivative Financial Instruments [Abstract]

Note 6 — Derivative Financial Instruments

Class L Ordinary Shares

The Class L ordinary shares are accounted for as a liability in accordance with ASC 815 and presented as a derivative liability on the balance sheet. The derivative liability was measured at fair value as of September 10, 2021 (date on which the Company amended its memorandum and articles of association) and will be evaluated on a recurring basis, with changes in fair value presented within fair value of derivative liability in the statement of operations.

The following table presents a summary of the changes in the fair value of the Class L ordinary shares derivative liabilities as of March 31, 2022:



	Class L ordinary shares derivative liabilities
Fair value of Class L ordinary shares, December 31, 2021	$	84,257,215
Changes in fair value during the period		(36,294,697)
Fair value of Class L ordinary shares, March 31, 2022	$	47,962,518

The financial statement line items and amount of gain and losses on derivative instruments are reported in the statement of operations.

The following table presents the Company's fair value hierarchy for assets and liabilities measured at fair value on a recurring basis as of March 31, 2022 and December 31, 2021:


	As of March 31, 2022
	Level 1		Level 2		Level 3		Total
Assets
Marketable Securities held in Trust Account	$	287,534,905	$	—	$	—	$	287,534,905
Total Assets	$	287,534,905	$	—	$	—	$	287,534,905
Liabilities
Class L founder share derivative liabilities	$	—	$	—	$	47,962,518	$	47,962,518
Total Liabilities	$	—	$	—	$	47,962,518	$	47,962,518

	As of December 31, 2021
	Level 1		Level 2		Level 3		Total
Assets
Marketable Securities held in Trust Account	$	287,505,954	$	—	$	—	$	287,505,954
Total Assets	$	287,505,954	$	—	$	—	$	287,505,954
Liabilities
Class L founder share derivative liabilities	$	—	$	—	$	84,257,215	$	84,257,215
Total Liabilities	$	—	$	—	$	84,257,215	$	84,257,215

There were no transfers to and from Levels 1, 2 and 3 during the period ended March 31, 2022.

The Company measured the Class L ordinary shares derivative liabilities at fair value determined at Level 3. In order to capture the market conditions associated with the Class L ordinary shares derivative liabilities, the Company applied an approach that incorporated a Monte Carlo simulation, which involved random iterations of future stock-price paths over the contractual life of the Class L ordinary shares. Based on assumptions regarding potential changes in control of the Company, and the probability distribution of outcomes, the payoff to the holder was determined based on the achievement of the various market thresholds within each simulated path. The present value of the payoff in each simulated trial is calculated, and the fair value of the liability is determined by taking the average of all present values.

The key inputs into the Monte-Carlo simulation model for Class L ordinary shares were as follows on the date of issuance, as of March 31, 2022 and December 31, 2021:


Input	March 31, ‎2022		December 31, ‎2021
Risk-free interest rate		2.41%		1.34%
Expected term		5.76 years		6.00 years
Expected volatility		11.2%		18.0%
Stock price	$	10.30	$	11.56
Dividend yield		0.0 %		0.0 %