Fair Value Measurements (Tables)
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3 Months Ended |
Mar. 31, 2022 |
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| Fair Value Disclosures [Abstract] |
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| 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 are measured at fair value on a recurring basis as of March 31, 2022 and December 31, 2021, and indicates the fair value hierarchy of the valuation techniques the Company utilized to determine such fair value.
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March 31,
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Quoted
Prices In
Active
Markets
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Significant
Other
Observable
Inputs
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Significant
Other
Unobservable
Inputs
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2022
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(Level 1)
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(Level 2)
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(Level 3)
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Liabilities:
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Warrant liability – Private Placement Warrants
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$
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3,297,022
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$
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—
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$
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—
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$
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3,297,022
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$
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3,297,022
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$
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—
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$
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—
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$
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3,297,022
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December 31,
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Quoted
Prices In
Active
Markets
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Significant
Other
Observable
Inputs
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Significant
Other
Unobservable
Inputs
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2021
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(Level 1)
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(Level 2)
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(Level 3)
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Liabilities:
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Warrant liability – Private Placement Warrants
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$
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5,044,441
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$
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—
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$
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—
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$
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5,044,441
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$
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5,044,441
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$
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—
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$
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—
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$
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5,044,441
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| 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 March 31, 2022 and December 31, 2021 are as follows:
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Carrying
Value/Amortized
Cost
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Gross
Unrealized
Gains
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Gross
Unrealized
Losses
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Fair Value
as of
March 31,
2022
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U.S. Money Market
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$
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1,238
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$
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—
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$
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—
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$
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1,238
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U.S. Treasury Securities
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276,025,656 |
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—
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4,218
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276,021,438 |
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$
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276,026,894 |
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$
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—
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$
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4,218
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$
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276,022,676 |
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Carrying
Value/Amortized
Cost
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Gross
Unrealized
Gains
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Gross
Unrealized
Losses
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Fair Value as of
December 31,
2021
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U.S. Money Market
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$
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979
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$
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—
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$
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—
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$
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979
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U.S. Treasury Securities
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276,114,465
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4,535
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—
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276,119,000
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$
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276,115,444
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$
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4,535
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$
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—
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$
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276,119,979
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| Schedule of Key Inputs into Monte Carlo Simulation Model for Warrants |
The key inputs into the Monte Carlo simulation model for the Private Placement Warrants were as follows at December 23, 2021:
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Input
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December 23,
2021
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Expected term (years)
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5.43
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Expected volatility
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13.20
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%
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Risk-free interest rate
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1.21
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%
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Stock price
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$
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9.88
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Dividend yield
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0.00
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%
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Exercise price
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$
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11.50
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The key inputs into the Monte Carlo simulation model for the Private Placement Warrants were as follows at March 31, 2022 and December 31, 2021:
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Input
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March 31,
2022
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December 31,
2021
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Expected term (years)
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5.26
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5.40
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Expected volatility
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6.5
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%
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11.70
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%
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Risk-free interest rate
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2.42
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%
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1.20
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%
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Stock price
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$
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9.88
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$
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9.90
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Dividend yield
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0.00
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%
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0.00
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%
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Exercise price
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$
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11.50
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$
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11.50
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| Summary of Changes in Fair Value |
The following table sets forth a summary of the changes in the Level 3 fair value classification:
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Warrant
Liability
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Fair value as of December 31, 2021
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$
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5,044,441
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Change in fair value
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(1,747,419
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)
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Fair value as of March 31, 2022
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$
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3,297,022
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