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 Measurements  
Fair Value Measurements

Note 9 — Fair Value Measurements

The following table presents information about the Company’s financial 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.

Significant

Significant Other

Other

Quoted Prices in

Observable

Unobservable

Active Markets

Inputs

Inputs

Description

    

(Level 1)

    

(Level 2)

    

(Level 3)

Assets:

Investments held in Trust Account - US Treasury securities

 

$

287,513,239

 

$

$

Liabilities:

Derivative warrant liabilities - Public Warrants

$

6,229,166

$

$

Derivative warrant liabilities - Private Placement Warrants

$

$

173,334

$

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 in March 2021, when the Public Warrants were separately listed and traded. The estimated fair value of the Private Placement Warrants was transferred from a Level 3 measurement to a Level 2 fair value measurement at the same time as Public Warrants, as the transfer of Private Placement Warrants to anyone who is not a permitted transferee would result in the Private Placement Warrants having substantially the same terms as the Public Warrants.

Level 1 instruments include investments in money market funds that invest solely in U.S. Treasury securities and Public Warrants. The Company uses quoted market prices from dealers or brokers, and other similar sources to determine the fair value of its investments.

Level 2 instruments include Private Placement Warrants. The Company uses the same quoted market prices from dealers or brokers, and other similar sources as Public Warrants to determine the fair value of its investments.

There were no Level 3 measurement inputs used in the three and nine months ended September 30, 2021.

The change in the fair value of the derivative warrant liabilities, measured using Level 3 inputs, for the three and nine months ended September 30, 2021 is summarized as follows:

Derivative warrant liabilities at January 1, 2021

    

$

Issuance of Public and Private Warrants

 

10,638,000

Transfer of Public Warrants to Level 1

(10,350,000)

Transfer of Private Warrants to Level 2

(288,000)

Change in fair value of derivative warrant liabilities

Derivative warrant liabilities at March 31, 2021

Change in fair value of derivative warrant liabilities

Derivative warrant liabilities at June 30, 2021

Change in fair value of derivative warrant liabilities

Derivative warrant liabilities at September 30, 2021

$