Fair Value Measurements (Tables)

3 Months Ended

Mar. 31, 2022

Summary of assets and liabilities that are measured at fair value on a recurring basis

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

	Fair Value Measured as of March 31, 2022
	Level 1		Level 2		Level 3		Total
Assets:
Investments held in Trust Account—U.S. Treasury Securities	$	414,079,578	$	—	$	—	$	414,079,578
Liabilities:
Warrant liabilities—Public Warrants	$	3,208,500	$	—	$	—	$	3,208,500
Warrant liabilities—Private Placement Warrants	$	—	$	—	$	47,585	$	47,585

	Fair Value Measured as of December 31, 2021
	Level 1		Level 2		Level 3		Total
Assets:
Investments held in Trust Account—U.S. Treasury Securities	$	414,052,978	$	—	$	—	$	414,052,978
Liabilities:
Warrant liabilities—Public Warrants	$	7,027,650	$	—	$	—	$	7,027,650
Warrant liabilities—Private Placement Warrants	$	—	$	—	$	107,910	$	107,910

Summary of fair value measurements inputs

The following table provides quantitative information regarding Level 3 fair value measurements inputs at their measurement:

	March 31, 2022			December 31, 2021
Exercise price	$	11.50		$	11.50
Stock Price	$	9.85		$	9.81
Term (in years)		5.00			5.00
Volatility		6.00	%		14.20	%
Risk-free interest rate		2.47	%		1.34	%
Dividend yield		0.00	%		0.00	%
Probability of success		80.00	%		80.00	%

Summary of change in the fair value of the derivative warrant liabilities

The change in the fair value of the derivative warrant liabilities measured with Level 3 inputs for the three months ended March 31, 2022 and 2021 are summarized as follows:

Level 3 warrant liabilities as of December 31, 2021	$	107,910
Change in fair value of warrant liabilities		(60,325	)

Level 3 warrant liabilities as of March 31, 2022	$	47,585


Level 3 warrant liabilities as of December 31, 2020	$	165,780
Change in fair value of warrant liabilities		(30,700	)

Level 3 warrant liabilities as of March 31, 2021	$	135,080

Executive Network Partnering Corp 10-Q