XML 25 R15.htm IDEA: XBRL DOCUMENT

Recurring Fair Value Measurements

6 Months Ended

Jun. 30, 2021

Recurring Fair Value Measurements

Recurring Fair Value Measurements

Note 9 —Recurring Fair Value Measurements

At June 30, 2021, the Company’s warrant liability was valued at $14,585,600. 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 condensed 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.

The Company’s warrant liability for the Private Placement Warrants is based on a valuation model utilizing inputs from observable and unobservable markets with less volume and transaction frequency than active markets. The fair value of the Private Warrant liability classified within Level 3 of the fair value hierarchy.

The Company’s warrant liability for the Public Warrants is based on unadjusted quoted prices in active markets for identical assets or liabilities that the Company has the ability to access. The fair value of the Public Warrant liability is classified within Level 1 of the fair value hierarchy.

Substantially all of the Company’s trust assets on the condensed balance sheet consist of U. S. Money Market funds which are classified as cash equivalents. Fair values of these investments are determined by Level 1 inputs utilizing quoted prices (unadjusted) in active markets for identical assets.

The following table presents information about the Company’s assets and liabilities that were measured at fair value on a recurring basis as of June 30, 2021, and indicates the fair value hierarchy of the valuation techniques the Company utilized to determine such fair value.


		(Level 1)			(Level 2)			(Level 3)
Assets:
Investments held in Trust Account – U.S. Treasury Bills		$	276,037,035		$	—		$	—
Liabilities:
Private Placement Warrants		$	—		$	—		$	5,385,600
Public Warrants		$	9,200,000		$	—		$	—

Measurement

The Company established the initial fair value for the Warrants on February 11, 2021, the date of the consummation of the Company’s IPO. On June 30, 2021 the fair value was remeasured. At June 30, 2021, the Company used a modified Black-Scholes model to value the Private Placement Warrants. The Warrants were classified within Level 3 of the fair value hierarchy at the measurement date due to the use of unobservable inputs. The Company’s Private Placement Warrant liability 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. In April 2021, the Public Warrants began trading in the open market and were reclassified to Level 1.

The key inputs into the modified Black-Scholes model were as follows at initial measurement and at June 30, 2021:


Input		June 30, 2021
Risk-free interest rate			0.87	%
Expected term (years)			5.0
Expected volatility			17.75	%
Acquisition probability			80	%
Exercise price		$	11.50

The following table provides a reconciliation of changes in fair value of the beginning and ending balances for our assets and liabilities classified as level 3 for the period ended June 30, 2021.


Fair value at issuance February 11, 2021		$	18,028,933
Public Warrants reclassified to level 2⁽¹⁾			(9,200,000)
Issuance of Private Placement Warrants upon conversion of Working Capital Loans			68,000
Change in fair value			(3,511,333)
Fair Value at June 30, 2021			5,385,600

(1)

Assumes the Public Warrants were reclassified on June 30, 2021.

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.

+ References + Details