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Fair Value Measurements | 12 Months Ended
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Dec. 31, 2021
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 December 31, 2021 and indicates the fair value hierarchy of the valuation techniques that the Company utilized to determine such fair value.
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 |  | $ | 276,057,966 |  |  | $ | — |  |  | $ | — |
Liabilities: |  |  |  |  |  |  |  |  |  |  |  |
Derivative warrant liabilities - Public Warrants |  | $ | 16,100,000 |  |  | $ | — |  |  | $ | — |
Derivative warrant liabilities - Private Placement Warrants |  | $ | — |  |  | $ | — |  |  | $ | 9,224,530 |
Convertible note – related party |  | $ | — |  |  | $ | — |  |  | $ | 1,152,680 |
As of December 31, 2020, there were no assets or liabilities that are measured at fair value on a recurring basis. 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 measurement to a Level 1 fair value measurement in February 2021, when the Public Warrants were separately listed and traded. There were no other transfers to/from Levels 1, 2, and 3 during the year ended December 31, 2021. Level 1 assets include investments in money market funds that invest solely 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 Public Warrants as of 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 derivative warrant liabilities measured at fair value using a Monte Carlo simulation and Black-Scholes Option Pricing Model. The estimated fair value of the Private Placement Warrants and the Public Warrants, prior to being separately listed and traded, was determined using Level 3 inputs. The estimated fair value of warrants that may be issued upon conversion of the Convertible Note was determined using Level 3 inputs. Inherent in a Monte Carlo simulation and Black-Scholes Option Pricing model are assumptions related to expected stock-price volatility, expected life, risk-free interest rate and dividend yield. The Black-Scholes analysis relies upon appropriate inputs derived from the Monte Carlo simulation of the public warrants; namely, the underlying stock price and the implied volatility from the traded Public Warrant price. The Company estimates the volatility of its ordinary shares 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. The following table provides quantitative information regarding Level 3 fair value measurements inputs used in the valuation of the derivative warrant liabilities at their measurement dates:
|  | As of December 31, 2021 |
Option term (in years) |  |  | 5.09 |
Stock price |  | $ | 9.95 |
Volatility |  |  | 24.2 | %
Risk-free interest rate |  |  | 1.26 | %
Expected dividends |  |  | 0.00 | %
The change in the fair value of the derivative warrant liabilities measured using Level 3 inputs for the year ended December 31, 2021 is summarized as follows:
Derivative warrant liabilities at January 1, 2021 |  | $ | — |
Issuance of Public and Private Warrants |  |  | 22,148,000 |
Transfer of Public Warrants to Level 1 measurement |  |  | (14,628,000 | )
Change in fair value of derivative warrant liabilities |  |  | 3,176,530 |
Derivative warrant liabilities at December 31, 2021 |  | $ | 10,696,530 |
The following table provides quantitative information regarding Level 3 fair value measurements inputs used by the estimated fair value of warrants that may be issued upon conversion of the Convertible Note at their measurement dates:
|  | As of December 31, 2021 |
Option term (in years) |  |  | 0.09 |
Stock price |  | $ | 1.84 |
Volatility |  |  | 72.1 | %
Risk-free interest rate |  |  | 0.06 | %
Expected dividends |  |  | 0.00 | %
The change in the fair value of the convertible note – related party measured with Level 3 inputs for year ended December 31, 2021 is summarized as follows:
Fair Value at January 1, 2021 |  | $ | — |
Initial fair value of convertible note - related party |  |  | 944,694 |
Change in fair value of convertible note - related party |  |  | 207,986 |
Fair Value of convertible note - related party, December 31, 2021 |  | $ | 1,152,680 |

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- Definition The entire disclosure for the fair value of financial instruments (as defined), including financial assets and financial liabilities (collectively, as defined), and the measurements of those instruments as well as disclosures related to the fair value of non-financial assets and liabilities. Such disclosures about the financial instruments, assets, and liabilities would include: (1) the fair value of the required items together with their carrying amounts (as appropriate); (2) for items for which it is not practicable to estimate fair value, disclosure would include: (a) information pertinent to estimating fair value (including, carrying amount, effective interest rate, and maturity, and (b) the reasons why it is not practicable to estimate fair value; (3) significant concentrations of credit risk including: (a) information about the activity, region, or economic characteristics identifying a concentration, (b) the maximum amount of loss the entity is exposed to based on the gross fair value of the related item, (c) policy for requiring collateral or other security and information as to accessing such collateral or security, and (d) the nature and brief description of such collateral or security; (4) quantitative information about market risks and how such risks are managed; (5) for items measured on both a recurring and nonrecurring basis information regarding the inputs used to develop the fair value measurement; and (6) for items presented in the financial statement for which fair value measurement is elected: (a) information necessary to understand the reasons for the election, (b) discussion of the effect of fair value changes on earnings, (c) a description of [similar groups] items for which the election is made and the relation thereof to the balance sheet, the aggregate carrying value of items included in the balance sheet that are not eligible for the election; (7) all other required (as defined) and desired information. + References Reference 1: http://www.xbrl.org/2003/role/disclosureRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 2 -URI http://asc.fasb.org/extlink&oid=123874694&loc=d3e19207-110258 + Details
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