Quarterly report pursuant to Section 13 or 15(d)

Fair Value of Measurements

v3.22.1
Fair Value of Measurements
3 Months Ended
Mar. 31, 2022
Fair Value of Measurements  
Fair Value of Measurements

Note 9—Fair Value of Measurements

The following table presents information about the Company’s assets and liabilities that are measured at fair value on a recurring basis as of March 31, 2022, and December 31, 2021, and indicates the fair value hierarchy of the valuation techniques that the Company utilized to determine such fair value.

March 31,2022

 

    

Quoted Prices in

    

Significant Other

Significant Other

Active Markets

Observable Inputs

Unobservable Inputs

Description

(Level 1)

(Level 2)

    

(Level 3)

Assets - Investments held in Trust Account:

 

  

 

  

  

U.S. Treasury securities

 

$

171,700,181

 

$

 

$

Liabilities

Derivative Warrant liability- Private warrants

 

$

 

$

 

$

2,880,140

December 31,2021

    

Quoted Prices in

    

Significant Other

Significant Other

Active Markets

Observable Inputs

Unobservable Inputs

Description

(Level 1)

(Level 2)

    

(Level 3)

Assets - Investments held in Trust Account:

 

  

 

  

  

U.S. Treasury securities

$

171,656,153

$

$

Liabilities

Derivative Warrant liability- Private warrants

$

$

$

5,571,410

Transfers to/from Levels 1, 2, and 3 are recognized at the beginning of the reporting period. There were no transfers to/from Levels 1, 2, and 3 during the three months ended March 31, 2022, or for the period from January 28, 2021 (inception) through March 31, 2021.

Level 1 assets include investments in U.S. government securities. The Company uses inputs such as actual trade data, quoted market prices from dealers or brokers, and other similar sources to determine the fair value of its investments.

The fair value of the Private Placement Warrants was measured at fair value using a Black-Scholes model. The estimated fair value of the Private Placement Warrants is determined using Level 3 inputs. Inherent in a Black-Scholes model is assumptions related to expected stock-price volatility, expected life, risk-free interest rate and dividend yield. The Company estimates the volatility of its common stock warrants based on implied volatility from the Company’s traded warrants and from historical volatility of select peer company’s common stock 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 remaining at zero.

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

    

March 31, 2022

    

December 31, 2021

Exercise price

    

$

11.50

$

11.50

Share price

$

9.70

$

9.69

Expected term (years)

5.73

5.98

Volatility

8.00

%

16.20

%

Risk-free rate

2.41

%

1.35

%

Dividend yield (per share)

0.00

%

0.00

%

For the period from January 28, 2021 (inception) through March 31, 2021, there were no derivative warrant liabilities outstanding. The change in the fair value of the derivative warrant liabilities, measured using Level 3 inputs, for the three months ended March 31, 2022, is summarized below.

Derivative warrant liability at December 31, 2021

    

$

5,571,410

Change in fair value of derivative warrant liability

 

(2,691,270)

Derivative warrant liability at March 31, 2022

$

2,880,140