Quarterly report pursuant to Section 13 or 15(d)

Fair Value Measurements

Fair Value Measurements
9 Months Ended
Sep. 30, 2021
Fair Value Disclosures [Abstract]  
Fair Value Measurements

Note 9 — Fair Value Measurements


The Company follows the guidance in ASC 820, “Fair Value Measurement,” for its financial assets and liabilities that are re-measured and reported at fair value at each reporting period, and non-financial assets and liabilities that are re-measured and reported at fair value at least annually. 


The fair value of the Company’s financial assets and liabilities reflects management’s estimate of amounts that the Company would have received in connection with the sale of the assets or paid in connection with the transfer of the liabilities in an orderly transaction between market participants at the measurement date. In connection with measuring the fair value of its assets and liabilities, the Company seeks to maximize the use of observable inputs (market data obtained from independent sources) and to minimize the use of unobservable inputs (internal assumptions about how market participants would price assets and liabilities). The following fair value hierarchy is used to classify assets and liabilities based on the observable inputs and unobservable inputs used in order to value the assets and liabilities:


  Level 1 — Valuations based on unadjusted quoted prices in active markets for identical assets or liabilities that the Company has the ability to access. Valuation adjustments and block discounts are not being applied. Since valuations are based on quoted prices that are readily and regularly available in an active market, valuation of these securities does not entail a significant degree of judgment.


  Level 2 — Valuations based on (i) quoted prices in active markets for similar assets and liabilities, (ii) quoted prices in markets that are not active for identical or similar assets, (iii) inputs other than quoted prices for the assets or liabilities, or (iv) inputs that are derived principally from or corroborated by market through correlation or other means.


  Level 3 — Valuations based on inputs that are unobservable and significant to the overall fair value measurement.


The following table presents information about the Company’s assets and liabilities that are measured at fair value on a recurring basis at September 30, 2021, and indicates the fair value hierarchy of the valuation inputs the Company utilized to determine such fair value:


    September 30,     Quoted Prices In Active Markets     Significant Other Observable Inputs     Significant Other Unobservable Inputs  
    2021     (Level 1)     (Level 2)     (Level 3)  
Mutual Funds   $ 1,001,000     $ 1,001,000     $
U.S. Money Market held in Trust Account     300,017,634       300,017,634      
    $ 301,018,634     $ 301,018,634     $
Public Warrants Liability   $ 6,675,000     $ 6,675,000     $
Private Placement Warrants Liability     178,000               178,000      
    $ 6,853,000     $ 6,675,000     $ 178,000     $


Level 1 assets include investments in mutual funds and money market funds invested in government securities. The Company uses inputs such as actual trade data, benchmark yields, quoted market prices from dealers or brokers, and other similar sources to determine the fair value of its investments.


The Warrants are accounted for as liabilities in accordance with ASC 815-40 and are presented within warrant liabilities on the unaudited condensed balance sheet. The warrant liabilities are measured at fair value at inception and on a recurring basis, with changes in fair value presented within change in fair value of warrant liabilities in the unaudited condensed statement of operations.


The Company established the initial fair value of the Public and Private Warrants on February 22, 2021, the date of the Company’s Initial Public Offering, using a Monte Carlo simulation model. The Warrants were classified as Level 3 at the initial measurement date due to the use of unobservable inputs. As of September 30, 2021, the Company used the quoted market price as the fair value of the Public Warrants and the Public Warrants were reclassified from Level 3 to Level 1. Due to certain “make whole” provisions in the warrant agreement, the Company also used the quoted market price of the Public Warrants as the fair value of the Private Warrants as of September 30, 2021, and reclassified the Private Warrants from Level 3 to Level 2, due to the use of the quoted price of a similar liability.


The following table presents the changes in the fair value of Level 3 warrant liabilities for the nine months ended September 30, 2021:


    Level 3 Warrant
Fair Value as of December 31, 2020   $
Initial measurement on February 22, 2021     8,397,000  
Change in valuation as of March 31, 2021     (3,005,000 )
Fair Value as of March 31, 2021     5,392,000  
Change in valuation as of June 30, 2021     3,848,000  
Transfer of Public Warrants to Level 1     (9,000,000  
Transfer of Private Placement Warrants to Level 2     (240,000 )
Fair Value as of June 30, 2021 and September 30, 2021   $


The key inputs into the Monte Carlo simulation and Black-Sholes model as of as of February 22, 2021 were as follows:


    (Initial Measurement) February 22,
Risk-free interest rate     0.61 %
Exercise price   $ 11.50  
Expected volatility     14.5 %
Underlying stock price   $ 11.10  
Term (in years)     5.0