Registration of securities issued in business combination transactions

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,
2021
     
Quoted
Prices In
Active
Markets
(Level 1)
     
Significant
Other
Observable
Inputs
(Level 2)
     
Significant
Other
Unobservable
Inputs
(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 were 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      $ —        $ —        $ 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