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Recurring Fair Value Measurements

3 Months Ended

Mar. 31, 2021

Recurring Fair Value Measurements

Recurring Fair Value Measurements

Note 9 —Recurring Fair Value Measurements

Investment Held in Trust Account

As of March 31, 2021, the investments in the Company’s Trust Account consisted of $276,000,000 in cash.

Fair values of its investments are classified as Level 1 utilizing quoted prices (unadjusted) in active markets for identical assets.

Warrant Liability

At March 31, 2021, the Company’s warrants liability was valued at $18,981,991. Under the guidance in ASC 815-40 the warrants do not meet the criteria for equity treatment. As such, the warrants must be recorded on the balance sheet at fair value. This valuation is subject to re-measurement at each balance sheet date. With each re-measurement, the warrant valuation will be adjusted to fair value, with the change in fair value recognized in the Company’s statement of operations.

Recurring Fair Value Measurements

All of the Company’s permitted investments consist of cash. Fair values of these investments are determined by Level 1 inputs utilizing quoted prices (unadjusted) in active markets for identical assets. The Company’s warrant liability for the Warrants is based on a valuation model utilizing management judgment and pricing inputs from observable and unobservable markets with less volume and transaction frequency than active markets. Significant deviations from these estimates and inputs could result in a material change in fair value. The fair values of the Private Placement and Public

Warrant liabilities are classified within Level 3 of the fair value hierarchy. For the period ending March 31, 2021 there were to transfers into or out of Level 1, Level 2 or Level 3 classification.

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


				Quoted Prices in			Significant Other			Significant Other
		Carrying		Active Markets			Observable Inputs			Unobservable Inputs
		Value		(Level 1)			(Level 2)			(Level 3)
Assets:
Investments held in Trust Account –
U.S. Treasury Bills		0		$	276,000,000		$	—		$	—
Liabilities:
Private Warrants		—			—			—			8,092,670
Public Warrants		1			—			—			10,889,321

Measurement

The Company established the initial fair value for the warrants on March 9, 2021, the date of the consummation of the IPO. On March 31, 2021 the fair value was remeasured. For both periods, neither the public warrants nor the Private Warrants were separately traded on an open market. As such, the Company used a Monte Carlo simulation model to value the warrants. The Company allocated the proceeds received from (i) the sale of Units (which is inclusive of one share of Class A common stock and one-fourth of one public warrant), (ii) the sale of Private Warrants, and (iii) the issuance of Class B common stock, first to the warrants based on their fair values as determined at initial measurement, with the remaining proceeds allocated to Class A common stock subject to possible redemption (temporary equity), Class A common stock (permanent equity) and Class B common stock (permanent equity) based on their relative fair values at the initial measurement date. The warrants were classified within Level 3 of the fair value hierarchy at the measurement dates due to the use of unobservable inputs.

The key inputs into the Monte Carlo simulation model for the Warrants were as follows at initial measurement and at March 31, 2021:

		March 9, 2021 (Initial
Input		Measurement)			March 31, 2021
Risk-free interest rate			1.09	%		1.22	%
Expected term (years)			6.31			6.25
Expected volatility			24.3	%		24.4	%
Exercise price		$	11.50		$	11.50

The change in the fair value of the warrant liabilities for the period ended March 31, 2021 is summarized as follows:


Fair value at issuance March 9 2021		$	18,322,046
Change in fair value			659,945
Fair Value at March 31, 2021		$	18,981,991

The entire disclosure for the fair value of financial instruments (as defined), including financial assets and financial liabilities (collectively, as defined), and the measurements of those instruments as well as disclosures related to the fair value of non-financial assets and liabilities. Such disclosures about the financial instruments, assets, and liabilities would include: (1) the fair value of the required items together with their carrying amounts (as appropriate); (2) for items for which it is not practicable to estimate fair value, disclosure would include: (a) information pertinent to estimating fair value (including, carrying amount, effective interest rate, and maturity, and (b) the reasons why it is not practicable to estimate fair value; (3) significant concentrations of credit risk including: (a) information about the activity, region, or economic characteristics identifying a concentration, (b) the maximum amount of loss the entity is exposed to based on the gross fair value of the related item, (c) policy for requiring collateral or other security and information as to accessing such collateral or security, and (d) the nature and brief description of such collateral or security; (4) quantitative information about market risks and how such risks are managed; (5) for items measured on both a recurring and nonrecurring basis information regarding the inputs used to develop the fair value measurement; and (6) for items presented in the financial statement for which fair value measurement is elected: (a) information necessary to understand the reasons for the election, (b) discussion of the effect of fair value changes on earnings, (c) a description of [similar groups] items for which the election is made and the relation thereof to the balance sheet, the aggregate carrying value of items included in the balance sheet that are not eligible for the election; (7) all other required (as defined) and desired information.

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