Annual report pursuant to Section 13 and 15(d)

Fair Value Measurements (Tables)

v3.22.1
Fair Value Measurements (Tables)
12 Months Ended
Dec. 31, 2021
Fair Value Disclosures [Abstract]  
Schedule of Assets and Liabilities Measured at Fair Value on a Recurring Basis

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

 

Schedule of Carrying Value, Excluding Gross Unrealized Holding Loss and Fair Value of Held to Maturity Securities

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

 

Schedule of Key Inputs into Monte Carlo Simulation Model for Warrants

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

 

Summary of Changes in Fair Value

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