Annual report pursuant to Section 13 and 15(d)

Fair Value Measurement (Tables)

v3.22.0.1
Fair Value Measurement (Tables)
12 Months Ended
Dec. 31, 2021
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]  
Schedule of financial assets that are measured at fair value on a recurring basis

Significant

Significant

Other

Other

Quoted Prices in

Observable

Unobservable

December 31, 

Active Markets

Inputs

Inputs

Description

    

2021

    

(Level 1)

    

(Level 2)

    

(Level 3)

Assets:

 

  

 

  

 

  

 

  

Marketable Securities held in Trust Account

 

345,019,104

 

345,019,104

 

 

Liabilities:

 

  

 

  

 

  

 

  

Derivative liability - public warrants

 

5,865,000

 

5,865,000

 

 

Derivative liability - private warrants

 

5,043,333

 

 

5,043,333

 

Convertible promissory note - related party

762,850

762,850

Schedule of option measured on significant inputs

The key inputs into the option model for the Private Placement Warrants and Public Warrants as of February 23, 2021 and December 31, 2021 were as follows:

As of

 

    

February 23, 2021

    

December 31, 2021

 

Implied volatility

 

20

%

12.50

%

Risk-free interest rate

 

0.8

%

1.35

%

Warrant exercise price

$

11.50

$

11.50

Expected term

 

6

 

6

Convertible Promissory Note  
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]  
Schedule of option measured on significant inputs

    

September 8, 2021

    

December 31, 2021

Risk-free interest rate

0.07

%

0.39

%

Term

 

0.75

1.00

Expected volatility

 

15.00

%

12.50

%

Exercise price

$

1.50

$

1.50

Stock Price

$

9.75

$

9.74

Probability of transaction

 

75.0

%

65.0

%

Schedule of change in the fair value of the warrant liabilities

    

Convertible

Promissory

Note

Fair value as of January 1, 2021

$

Proceeds received through convertible promissory note

 

750,000

Change in valuation inputs or other assumptions

 

12,850

Fair value as of December 31, 2021

$

762,850