Quarterly report pursuant to Section 13 or 15(d)

Fair Value Measurements

v3.22.2.2
Fair Value Measurements
6 Months Ended
Jun. 30, 2022
Fair Value Disclosures [Abstract]  
Fair Value Measurements

Note 10 - Fair Value Measurements

 

The following tables presents information about the Company’s financial assets and liabilities that are measured at fair value on a recurring basis as of June 30, 2022 and December 31, 2021, by level within the fair value hierarchy:

 

June 30, 2022

 

Description   Quoted
Prices in
Active
Markets
(Level 1)
    Significant
Other
Observable
Inputs
(Level 2)
    Significant
Other
Unobservable
Inputs
(Level 3)
 
Assets:                  
Investments held in Trust Account - Money Market Fund   $ 863,845,224     $
-
    $
-
 
Liabilities:                        
Derivative warrant liabilities - public warrants   $ 4,743,750     $
-
    $
-
 
Derivative warrant liabilities - private warrants   $
-
    $ 2,823,330     $
-
 
Promissory note - related party   $
-
    $
-
    $ 1,391,290  

 

December 31, 2021

 

Description   Quoted
Prices in
Active
Markets
(Level 1)
    Significant
Other
Observable
Inputs
(Level 2)
    Significant
Other
Unobservable
Inputs
(Level 3)
 
Assets:                  
Investments held in Trust Account - Money Market Fund   $ 862,549,773     $
-
    $
-
 
Liabilities:                        
Derivative warrant liabilities - public warrants   $ 18,975,000     $
-
    $
-
 
Derivative warrant liabilities - private warrants   $
-
    $ 11,293,330     $
-
 
Promissory note - related party   $
-
    $
-
    $ 1,392,950  

 

Transfers to/from Levels 1, 2, and 3 are recognized at the beginning of the reporting period. The estimated fair value of the Public Warrants transferred from a Level 3 fair value measurement to a Level 1 fair value measurement, when the Public Warrants were separately listed and traded in March 2021. The estimated fair value of the Private Placement Warrants was transferred from a Level 3 measurement to a Level 2 fair value measurement in July 2021.There were no transfers to/from Levels 1, 2, and 3 during the three and six months ended June 30, 2022.

 

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

 

Level 2 instruments include Private Placement Warrants. The Company uses the same quoted market prices as the Public Warrants to determine their fair value.

 

The fair value of the Public Warrants as of June 30, 2022 and December 31, 2021, was measured utilizing the Level 1 input of the observable listed trading price for such warrants.

 

Level 3 instruments are comprised of the Working Capital Loan measured at fair value using a Monte Carlo simulation model. The estimated fair value of the Working Capital Loan is determined using Level 3 inputs. Inherent in a Monte Carlo simulation model are 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 used to measure the fair value of the underlying conversion feature of the promissory note - related party at each measurement dates:

 

    June 30,
2022
    December 31,
2021
 
Volatility     53.9 %     67.2 %
Stock price   $ 0.22     $ 0.88  
Expected life of the options to convert     0.42       0.61  
Risk-free rate     2.23 %     0.23 %
Dividend yield     0.0 %     0.0 %

 

The change in the fair value of the Promissory Note - related party measured with Level 3 inputs for the period for the six months ended June 30, 2022, is summarized as follows:

 

Fair Value of Promissory Note - related party, December 31, 2021   $ 1,392,950  
Change in fair value of Promissory Note - related party     (41,590 )
Fair Value of Promissory Note - related party, March 31, 2022     1,351,360  
Change in fair value of Promissory Note - related party     39,930  
Fair Value of Promissory Note - related party, June 30, 2022   $ 1,391,290