Annual report pursuant to Section 13 and 15(d)

Fair Value Measurements

v3.22.1
Fair Value Measurements
12 Months Ended
Dec. 31, 2021
Fair Value Disclosures [Abstract]  
Fair Value Measurements

Note 6 — Fair Value Measurements

The following table presents information about the Company’s assets and liabilities that were measured at fair value on a recurring basis as of December 31, 2021, and indicates the fair value hierarchy of the valuation techniques the Company utilized to determine such fair value.

 

 

 

December 31,

 

 

Quoted

Prices In

Active

Markets

 

 

Significant

Other

Observable

Inputs

 

 

Significant

Other

Unobservable

Inputs

 

 

 

2021

 

 

(Level 1)

 

 

(Level 2)

 

 

(Level 3)

 

Assets:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Cash and securities held in Trust Account

 

$

276,119,979

 

 

$

276,119,979

 

 

$

 

 

$

 

 

 

$

276,119,979

 

 

$

276,119,979

 

 

$

 

 

$

 

Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Warrant liability – Private Placement Warrants

 

$

5,044,441

 

 

$

 

 

$

 

 

$

5,044,441

 

 

 

$

5,044,441

 

 

$

 

 

$

 

 

$

5,044,441

 

 

Cash and securities held in Trust Account

As of December 31, 2021, investment in the Company’s Trust Account consisted of $979 in U.S. Money Market funds and $276,114,465, in U.S. Treasury Securities. The Company classifies its United States Treasury securities as held-to-maturity in accordance with ASC 320 “Investments — Debt and Equity Securities”. Held-to-maturity treasury securities are recorded at amortized cost and adjusted for the amortization or accretion of premiums or discounts. The Company considers all investments with original maturities of more than three months but less than one year to be short-term investments. The carrying value approximates the fair value due to its short-term maturity.

The carrying value, excluding gross unrealized holding loss and fair value of held to maturity securities on December 31, 2021 are as follows:

 

 

 

Carrying

Value/Amortized

Cost

 

 

Gross

Unrealized

Gains

 

 

Gross

Unrealized

Losses

 

 

Fair Value as of

December 31,

2021

 

U.S. Money Market

 

$

979

 

 

$

 

 

$

 

 

$

979

 

U.S. Treasury Securities

 

 

276,114,465

 

 

 

4,535

 

 

 

 

 

 

276,119,000

 

 

 

$

276,115,444

 

 

$

4,535

 

 

$

 

 

$

276,119,979

 

 

Warrant liability - Private Placement Warrants

The estimated fair value of the Private Placement Warrants was determined using Level 3 inputs. Inherent in a Monte-Carlo simulation model are assumptions related to expected stock-price volatility (pre-merger and post-merger), expected term, dividend yield and risk-free interest rate. The Company estimates the volatility of its common stock based on management’s understanding of the volatility associated with instruments of other similar entities. The risk-free interest rate is based on the U.S. Treasury Constant Maturity similar to the expected remaining life of the warrants. The expected life of the warrants is simulated based on management assumptions regarding the timing and likelihood of completing a business combination. The dividend rate is based on the historical rate, which the Company anticipates to remain at zero. The assumptions used in calculating the estimated fair values represent the Company’s best estimate. However, inherent uncertainties are involved. If factors or assumptions change, the estimated fair values could be materially different.

The key inputs into the Monte Carlo simulation model for the Warrants were as follows at December 23, 2021:

 

Input

 

December 23,

2021

 

Expected term (years)

 

 

5.43

 

Expected volatility

 

 

13.20

%

Risk-free interest rate

 

 

1.21

%

Stock price

 

$

9.88

 

Dividend yield

 

 

0.00

%

Exercise price

 

$

11.50

 

 

The key inputs into the Monte Carlo simulation model for the Warrants were as follows at December 31, 2021:

 

Input

 

December 31,

2021

 

Expected term (years)

 

 

5.40

 

Expected volatility

 

 

11.70

%

Risk-free interest rate

 

 

1.20

%

Stock price

 

$

9.90

 

Dividend yield

 

 

0.00

%

Exercise price

 

$

11.50

 

 

The following table sets forth a summary of the changes in the fair value of the Level 3 warrant liability for the year ended December 31, 2021:

 

 

 

Warrant

Liability

 

Fair value as of December 31, 2020

 

$

 

Initial fair value of warrant liability upon modification

 

 

6,000,476

 

Change in fair value

 

 

(956,035

)

Fair value as of December 31, 2021

 

$

5,044,441