Quarterly report pursuant to Section 13 or 15(d)

Fair Value Measurements

v3.21.2
Fair Value Measurements
9 Months Ended
Sep. 30, 2021
Fair Value Disclosures [Abstract]  
Fair Value Measurements
Note 11—Fair Value Measurements
The following table presents information about the Company’s assets and liabilities that are measured at fair value on a recurring basis as of September 30, 2021 and indicates the fair value hierarchy of the valuation techniques that the Company utilized to determine such fair value.
 
    
Fair Value Measured as of September 30, 2021
 
    
Level 1
    
Level 2
    
Level 3
    
Total
 
Assets
                                   
Investments held in Trust Account - U.S. Treasury Securities
   $ 275,013,714      $ —        $ —        $ 275,013,714  
Liabilities:
                                   
Warrant liabilities - public warrants
   $ 4,235,000      $ —        $ —        $ 4,235,000  
Warrant liabilities - private warrants
   $ —        $ —        $ 4,106,666      $ 4,106,666  
Transfers to/from Levels 1, 2, and 3 are recognized at the beginning of the reporting period. The estimated fair value of the Public Warrants transferred from a Level 3 measurement to a Level 1 fair value measurement, when the Public Warrants were separately listed and traded in April 2021.
For periods where no observable traded price is available, the fair value of the Public Warrants has been estimated using a Monte-Carlo simulation model. For periods subsequent to the detachment of the Public Warrants from the Units, the fair value of the Public Warrants is based on the observable listed price for such warrants. The fair value of the Private Warrants is determined using a Monte-Carlo simulation model. For the three months ended September 30, 2021 and the period from January 8, 2021 (inception) through September 30, 2021, the Company recognized a decrease in the fair value of warrant liabilities of approximately $4.2 million and $812,000, respectively, presented on the accompanying condensed consolidated statements of operations.
The change in the fair value of the Level 3 derivative warrant liabilities for the three months ended September 30, 2021 and the period from January 8, 2021 (inception) through September 30, 2021 is summarized as follows:
 
Warrant liabilities at January 8, 2021 (inception)
   $ —    
Issuance of Public and Private Warrants
     9,153,333  
Change in fair value of warrant liabilities
     (1,408,333
Warrant liabilities at March 31, 2021
     7,745,000  
Public Warrants transferred to Level 1
     (3,905,000
Change in fair value of warrant liabilities
     2,346,666  
Warrant liabilities at June 30, 2021
     6,186,666  
Change in fair value of warrant liabilities
     (2,080,000
Warrant liabilities at September 30, 2021
   $ 4,106,666  
The estimated fair value of the Public and Private Placement Warrants, prior to the Public Warrants being traded in an active market, was determined using Level 3 inputs. Inherent in a Monte-Carlo simulation are assumptions related to expected stock-price volatility, expected life, risk-free interest rate and dividend yield. The Company estimates the volatility of its ordinary shares based on historical volatility of select peer companies that matches the expected remaining life of the warrants. The risk-free interest rate is based on the U.S. Treasury
zero-coupon
yield curve on the grant date for a maturity similar to the expected remaining life of the warrants. The expected life of the warrants is assumed to be equivalent to their remaining contractual term. The dividend rate is based on the historical rate, which the Company anticipates remaining at zero. Any changes in these assumptions can change the valuation significantly.
The following table provides quantitative information regarding Level 3 fair value measurements inputs at their measurement dates:
 
 
  
September 30, 2021
 
 
March 2, 2021
 
Exercise price
   $ 11.50     $ 11.50  
Stock Price
   $ 9.94     $ 9.83  
Term (in years)
     5.09       5.58  
Volatility
     12.90     15.10
Risk-free interest rate
     0.99     0.79
Dividend yield
     0.0     0.0