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 $182 in cash and $276,008,137 in U.S. Treasury Bills. All of the U.S. Treasury Bills mature on July 8, 2021. The Company classifies its U.S. Treasury securities as held-to-maturity in accordance with FASB 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 March 31, 2021 are as follows:

	Carrying		Amortization		Gross		Fair Value
	Value/Amortized		of Bond		Unrealized		as of
	Cost		Discount		Gain		March 31, 2021
U.S. Money Market	$	182	$	—	$	—	$	182
U.S. Treasury Bills		—		8,319		—		0
		—		8,319		—		0

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 and December 31, 2020, the Company’s warrants liability was valued at $10,862,133 and $0. 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 U. S. Treasury Bills. 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 Private 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.

	Carrying Value		(Level 1)		(Level 2)		(Level 3)
Assets:
Investments held in Trust Account – U.S. Treasury Bills	$	276,008,319	$	276,027,912	$	—	$	—
Liabilities:
Private Placement Warrants	$	3,962,133		—		—	$	3,962,133
Public Warrants	$	6,900,000		—		—	$	6,900,000

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 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 Public Warrants and a modified Black-Scholes model to value the Private Placement Warrants. The Company allocated the proceeds received from (i) the sale of Units (which is inclusive of one share of Class A ordinary shares and one-third of one Public Warrant), (ii) the sale of Private Warrants, and (iii) the issuance of Class B ordinary shares, first to the Warrants based on their fair values as determined at initial measurement, with the remaining proceeds allocated to Class A ordinary shares subject to possible redemption (temporary equity), Class A ordinary shares (permanent equity) and Class B ordinary shares (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 Private Warrants and the modified Black-Scholes model were as follows at initial measurement and at March 31, 2021:

	February 11, 2021
Input	(Initial Measurement)			March 31, 2021
Risk-free interest rate		0.46	%		0.92	%
Expected term (years)		5.0			5.0
Expected volatility		23.0	%		15.0	%
Acquisition probability		80	%		80	%
Exercise price	$	11.50		$	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 March 31, 2021.

Fair value at issuance February 11, 2021	$	18,028,933
Change in fair value		(7,166,800)
Fair Value at March 31, 2021	$	10,862,133