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Fair Value Measurements (Tables)

9 Months Ended

Sep. 30, 2021

Fair Value Measurements

Schedule of company's financial assets and liabilities that are measured at fair value on a recurring basis

​

​	​	​	​	​	​	​	​	​	​
​		Quoted Prices in			Significant Other			Significant Other
​	​	Active Markets		​	Observable Inputs		​	Unobservable Inputs
Description	​	(Level 1)		​	(Level 2)		​	(Level 3)
Assets:	​	​	​	​	​	​	​	​	​
Investments held in Trust Account	​	$	276,052,152	​	$	—	​	$	—
Liabilities:	​	​	​	​	​	​	​	​	​
Derivative warrant liabilities - Public Warrants	​	$	13,340,000	​	$	—	​	$	—
Derivative warrant liabilities - Private Placement Warrants	​	$	—	​	$	—	​	$	7,419,730
Convertible note – related party	​	$	—	​	$	—	​	$	1,064,140

Schedule of quantitative information regarding and derivative warrant liabilities measured Level 3 fair value measurements inputs

The following table provides quantitative information regarding Level 3 fair value measurements inputs at their measurement dates:

​

​	​	​	​	​
​		As of September 30, 2021		​
Option term (in years)	​	​	5.09	​
Stock price	​	$	9.90	​
Volatility	​	​	21.1	%
Risk-free interest rate	​	​	0.99	%
Expected dividends	​	​	—	%

​

The following table provides quantitative information regarding Level 3 fair value measurements inputs used by the estimated fair value of warrants that may be issued upon conversion of the Convertible Note at their measurement dates:

​

​	​	​	​	​	​	​	​
​		​			As of April 15, 2021		​
​	​	As of September 30, 2021		​	(Draw Down Date)		​
Option term (in years)		​	0.21		​	0.55	​
Stock price	​	$	1.48	​	$	1.38	​
Volatility	​		72.0	%		67.5	%
Risk-free interest rate	​		0.05	%		0.04	%
Expected dividends	​		—	%		—	%

Schedule of change in the fair value of the derivative warrant liabilities and fair value of the convertible note - related party measured with Level 3

​

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	​		22,148,000
Transfer of Public Warrants to Level 1 measurement	​	​	(14,628,000)
Change in fair value of derivative warrant liabilities	​	​	(451,200)
Derivative warrant liabilities at March 31, 2021	​	​	7,068,800
Change in fair value of derivative warrant liabilities	​	​	2,576,360
Derivative warrant liabilities at June 30, 2021	​	​	9,645,160
Change in fair value of derivative warrant liabilities	​	​	(2,225,430)
Derivative warrant liabilities at September 30, 2021	​	$	7,419,730

​

The change in the fair value of the convertible note – related party measured with Level 3 inputs for the three and the nine months ended September 30, 2021 is summarized as follows:

​

​	​	​	​
Fair Value at January 1, 2021		$	—
Initial fair value of convertible note - related party - second quarter	​		500,000
Change in fair value of convertible note - related party	​		131,260
Fair Value of convertible note - related party, June 30, 2021	​	​	631,260
Initial fair value of convertible note - related party - third quarter	​	​	444,694
Change in fair value of convertible note - related party	​	​	(11,814)
Fair Value of convertible note - related party, September 30, 2021	​	$	1,064,140

X

- Definition

Tabular disclosure of input and valuation technique used to measure fair value and change in valuation approach and technique for each separate class of asset and liability measured on recurring and nonrecurring basis.

+ References

Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 820
-SubTopic 10
-Section 50
-Paragraph 2
-Subparagraph (bbb)
-URI http://asc.fasb.org/extlink&oid=117815213&loc=d3e19207-110258

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- Definition

Tabular disclosure of assets, including [financial] instruments measured at fair value that are classified in stockholders' equity, if any, by class that are measured at fair value on a recurring basis. The disclosures contemplated herein include the fair value measurements at the reporting date by the level within the fair value hierarchy in which the fair value measurements in their entirety fall, segregating fair value measurements using quoted prices in active markets for identical assets (Level 1), significant other observable inputs (Level 2), and significant unobservable inputs (Level 3).

+ References

Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 820
-SubTopic 10
-Section 50
-Paragraph 2
-Subparagraph (b)
-URI http://asc.fasb.org/extlink&oid=117815213&loc=d3e19207-110258

Reference 2: http://fasb.org/us-gaap/role/ref/legacyRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 820
-SubTopic 10
-Section 50
-Paragraph 2
-Subparagraph (a)
-URI http://asc.fasb.org/extlink&oid=117815213&loc=d3e19207-110258

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- Definition

Tabular disclosure of the fair value measurement of liabilities using significant unobservable inputs (Level 3), a reconciliation of the beginning and ending balances, separately presenting changes attributable to the following: (1) total gains or losses for the period (realized and unrealized), segregating those gains or losses included in earnings (or changes in net assets), and gains or losses recognized in other comprehensive income (loss) and a description of where those gains or losses included in earnings (or changes in net assets) are reported in the statement of income (or activities); (2) purchases, sales, issues, and settlements (each type disclosed separately); and (3) transfers in and transfers out of Level 3 (for example, transfers due to changes in the observability of significant inputs) by class of liability.

+ References

Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 820
-SubTopic 10
-Section 50
-Paragraph 2
-Subparagraph (c)
-URI http://asc.fasb.org/extlink&oid=117815213&loc=d3e19207-110258

Reference 2: http://fasb.org/us-gaap/role/ref/legacyRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 820
-SubTopic 10
-Section 50
-Paragraph 3
-URI http://asc.fasb.org/extlink&oid=117815213&loc=d3e19279-110258

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