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 Measurements [Abstract]  
Fair Value Measurements
Note 9 - Fair Value 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 June 30, 2022 and December 31, 2021 and indicates the fair value hierarchy of the valuation techniques that the Company utilized to determine such fair value:
      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 - U.S Treasury securities
  
$
345,709,304
    
$
-
     $ -  
                         
Liabilities:                        
Derivative warrant liabilities - Public warrants
  
$
1,840,000
    
$
-
    
$
-
  
Derivative warrant liabilities - Private placement warrants
  
$
-
    
$
949,330
    
$
-
  

    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 - U.S Treasury securities
  
$
345,071,635
    
$
-
     $ -  
                         
Liabilities:                        
Derivative warrant liabilities - Public warrants
  
$
10,465,000
    
$
-
    
$
-
  
Derivative warrant liabilities - Private placement warrants
  
$
-
    
$
5,399,330
    
$
-
  

Transfers to/from Levels 1, 2, and 3 are recognized at the beginning of the reporting period. The estimated fair value of Public Warrants was transferred from a Level 3 measurement to a Level 1 measurement, when the Public Warrants were separately listed and traded in an active market in May 2021. The estimated fair value of the Private Warrants was transferred from a Level 3 measurement to a Level 2 fair value measurement as of May 2021, as the transfer of Private Placement Warrants to anyone who is not a permitted transferee would result in the Private Placement Warrants having substantially the same terms as the Public Warrants, the Company determined that the fair value of each Private Placement Warrant is equivalent to that of each Public Warrant. There were no other transfers to/from Levels 1, 2, and 3 during the six months ended June 30, 2022 or the period January 19, 2021 (inception) through June 30, 2021.

Level 1 assets include investments in U.S. Treasury 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 initial fair value of the Public Warrants issued in connection with the Initial Public Offering were estimated using a Lattice model and the Private Placement Warrants were estimated using Lattice model. For periods subsequent to the detachment of the Public Warrants from the Units, the Public Warrants’ traded market price will be used as the fair value. The estimated fair value of the Public Warrants, prior to being traded in an active market, and of the Private Placement Warrants is determined using Level 3 inputs. Inherent in a Lattice 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 ordinary share warrants based on implied volatility from the Company’s traded warrants and from historical volatility of select peer company’s ordinary shares 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. Any changes in these assumptions can change the valuation significantly.
The change in the fair value of the derivative warrant liabilities, measured using Level 3 inputs, for the period from January 19, 2021 (inception) through June 30, 2021 is summarized as follows:
Derivative liabilities at January 19, 2021 (inception)
  
$
-
  
Issuance of derivative liabilities
    
26,150,000
  
Change in fair value of derivative liabilities
    
(174,330
)
Derivative liabilities at March 31, 2021
   $
25,975,670
  
Transfer of Public warrants to Level 1     (17,135,000 )
Transfer of Private Placement warrants to Level 2     (8,840,670 )
Derivative liabilities at June 30, 2021
   $
-