Quarterly report pursuant to Section 13 or 15(d)

Fair Value Measurements (Notes)

v3.22.1
Fair Value Measurements (Notes)
3 Months Ended
Mar. 31, 2022
Fair Value Disclosures [Abstract]  
Fair value measurements FAIR VALUE MEASUREMENTS
The following table represents the Company’s liabilities measured at fair value on a recurring basis and the basis for that measurement according to the levels in the fair value hierarchy in ASC 820.
March 31, 2022 December 31, 2021
Derivative Warrant Liabilities Total Level 1 Level 2 Level 3 Total Level 1 Level 2 Level 3
Public Warrants $ 6,440,001  $ 6,440,001  $ —  $ —  $ 9,775,000  $ 9,775,000  $ —  $ — 
Private Placement Warrants $ 214,366  $ —  $ —  $ 214,366  $ 312,466  $ —  $ —  $ 312,466 
As of March 31, 2022 and December 31, 2021, the recorded values of cash and accounts payable approximated their fair values due to the short-term nature of the instruments. Investments held in trust are invested in a money market fund consisting entirely of U.S. treasury securities (see Note 2). The fund is valued at NAV per share, and as such, in accordance with ASC 820, the investments have not been classified in the fair value hierarchy.
As of both March 31, 2022 and December 31, 2021, the Public Warrants were measured using their quoted market price (Level 1) and the Private Placement Warrants were measured at fair value using the Black-Scholes Option Pricing Model (Level 3). The Public Warrants were initially measured at fair value using a Monte Carlo simulation at their original issuance (Level 3) and subsequently measured using their quoted market price after the Public Warrants became actively traded on the NYSE during the third quarter of fiscal 2021. The Private Placement Warrants were measured at fair value using the Black-Scholes Option Pricing Model at both their original issuance and subsequent measurements.
Inherent in the Black-Scholes Option Pricing Method, utilized to measure the fair value of the Private Placement Warrants, are assumptions related to expected trading price volatility, expected life, risk-free interest rate and dividend yield. The Company estimated the volatility of its warrants based on implied volatility from the traded Public Warrant price. The primary significant unobservable input used in the fair value measurements was implied volatility and a significant change in implied volatility in isolation would result in a significant change to the fair value measurements. The risk-free interest rate is based on the U.S. treasury zero-coupon yield curve 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 Company anticipates the dividend rate will remain at zero.
The following table provides quantitative information regarding Level 3 fair value measurement inputs for the Private Placement Warrants valuation.
March 31, 2022 December 31, 2021
Exercise price $11.50 $11.50
Stock price $9.83 $9.81
Volatility 10.0% 15.0%
Term (years) 5.0 5.0
Risk-free rate 2.55% 1.39%
Dividend yield —% —%
The following table summarizes the Level 3 activity measured on a recurring basis for the Private Placement Warrants.
Level 3 derivative warrant liabilities at December 31, 2021 $ 312,466 
Change in fair value of derivative warrant liabilities (98,100)
Level 3 derivative warrant liabilities at March 31, 2022
$ 214,366 
There were no transfers to/from Levels 1, 2, and 3 during the three months ended March 31, 2022 or 2021.