Quarterly report pursuant to Section 13 or 15(d)

Fair Value Measurement (Tables)

v3.22.1
Fair Value Measurement (Tables)
3 Months Ended
Mar. 31, 2022
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

March 31, 

Active Markets

Inputs

Inputs

Description

    

2022

    

(Level 1)

    

(Level 2)

    

(Level 3)

Assets:

 

  

 

  

 

  

 

  

Cash and cash equivalent held in Trust Account

 

345,047,262

 

345,047,262

 

 

Liabilities:

 

  

 

  

 

  

 

  

Derivative liability - public warrants

 

2,788,667

 

2,788,667

 

 

Derivative liability - private warrants

 

3,243,000

 

 

3,243,000

 

Convertible promissory note - related party

736,669

736,669

    

    

    

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, December 31, 2021 and March 31, 2022 were as follows:

As of

    

February 23, 2021

    

December 31, 2021

March 31, 2022

Implied volatility

 

20.00

%

12.50

%

6.15

Risk-free interest rate

 

0.80

%

1.35

%

2.41

Warrant exercise price

$

11.50

$

11.50

$

11.50

Expected term

 

6.00

6.00

 

5.75

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

March 31, 2022

 

Risk-free interest rate

0.07

%

0.39

%

1.35

%

Term

0.75

1.00

 

0.75

Expected volatility

15.00

%

12.50

%

 

6.15

%

Exercise price

$

1.50

$

1.50

$

1.50

Stock Price

$

9.75

$

9.74

$

9.78

Probability of transaction

75.0

%

65.0

%

 

50.0

%

Schedule of change in the fair value of the warrant liabilities

    

Convertible

Promissory

Note

Fair value as of January 1, 2022

$

762,850

Proceeds received through convertible promissory note

 

Change in valuation inputs or other assumptions

 

(26,181)

Fair value as of March 31, 2022

$

736,669