Fair Value Measurements

6 Months Ended

Jun. 30, 2022

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


	Quoted Prices in Active		Significant Other		Significant Other
	Markets		Observable Inputs		Unobservable Inputs
Description	(Level 1)		(Level 2)		(Level 3)
Assets:
Investments held in Trust Account - money market fund	$	310,442,804	$	—	$	—

Liabilities:
Derivative warrant liabilities - Public warrants	$	2,066,670	$	—	$	—
Derivative warrant liabilities - Private placement warrants	$	—	$	1,240,000	$	—

December 31, 2021


	Quoted Prices in Active		Significant Other		Significant Other
	Markets		Observable Inputs		Unobservable Inputs
Description	(Level 1)		(Level 2)		(Level 3)
Assets:
Investments held in Trust Account - money market fund	$	310,016,344	$	—	$	—

Liabilities:
Derivative warrant liabilities - Public warrants	$	6,613,330	$	—	$	—
Derivative warrant liabilities - Private placement warrants	$	—	$	3,968,000	$	—

Transfers to or from Levels 1, 2, and 3 are recognized at the beginning of the reporting period. The estimated fair value of the Public Warrants was transferred from a Level 3 measurement to a Level 1 measurement in April 2021, as the Public Warrants were separately listed and traded in an active market during the period. The estimated fair value of the Private Placement Warrants was transferred from a Level 3 measurement to a Level 2 measurement in April 2021, as the key inputs to the valuation model became directly or indirectly observable from the Public Warrants listed price.

The fair value of the Public Warrants and the Private Placement Warrants was initially measured at fair value using a binomial lattice model in a risk-neutral framework. As of June 30, 2022 and December 31, 2021, the fair value of the Public Warrants is based on the listed price in an active market for such warrants, and the fair value of the Private Placement Warrants is measured using significant observable market inputs. For the three months ended June 30, 2022 and 2021, the Company recognized non-operating gains/(losses) of approximately $1.7 million and ($5.0 million), respectively, in the condensed statements of operations resulting from a decrease/(increase) in the fair value of derivative warrant liabilities. For the six months ended June 30, 2022 and for the period from January 21 (inception) through June 30, 2021, the Company recognized non-operating gains/(losses) of approximately $7.3 million and ($0.8 million), respectively, in the condensed statements of operations resulting from a decrease/(increase) in the fair value of derivative warrant liabilities.

The initial estimated fair value of the Public Warrants and the Private Placement Warrants was determined using Level 3 inputs. Inherent in a binomial 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 stock warrants based on implied volatility from the Company’s traded warrants and from historical volatility of select peer company’s ordinary 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 used to estimate the fair value of Public and Private Placement Warrants inputs at their initial measurement dates:


	March 12, 2021 (initial
	measurement) and
	March 16, 2021 (over-
	allotment exercise)
Stock price	$	9.70
Volatility		14.0	%
Term to M&A		1.0
Risk-free rate		1.08	%

The change in the fair value of the derivative warrant liabilities, measured using significant Level 3 inputs, for the period from January 21, 2021 (inception) through June 30, 2021 is summarized as follows:


Derivative warrant liabilities at January 21, 2021 (inception)	$	—
Issuance of Public and Private Placement Warrants at March 12, 2021		14,460,000
Issuance of Public and Private Placement Warrants at March 16, 2021		420,000
Change in fair value of derivative warrant liabilities		(4,133,330)
Transfer of Public Warrants to Level 1		(6,716,670)
Transfer of Private Placement Warrants to Level 2		(4,030,000)
Derivative warrant liabilities at June 30, 2021	$	—

- 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 + Details

Agile Growth Corp. 10-Q