Quarterly report pursuant to Section 13 or 15(d)

Fair Value Measurement (Tables)

v3.21.2
Fair Value Measurement (Tables)
9 Months Ended
Sep. 30, 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

September 30, 

Active Markets

Inputs

Inputs

Description

    

2021

    

(Level 1)

    

(Level 2)

    

(Level 3)

Assets:

 

  

 

  

 

  

 

  

Cash and cash equivalent held in Trust Account

 

345,012,561

 

345,012,561

 

 

Liabilities:

 

  

 

  

 

  

 

  

Derivative liability - public warrants

 

6,831,000

 

6,831,000

 

 

Derivative liability - private warrants

 

5,933,333

 

 

5,933,333

 

Convertible promissory note - related party

779,648

779,648

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 September 30, 2021 were as follows:

As of

 

    

February 23, 2021

    

September 30, 2021

 

Implied volatility

 

20

%

15.00

%

Risk-free interest rate

 

0.8

%

1.11

%

Warrant exercise price

$

11.50

$

11.50

Expected term

 

6

 

5.75

Schedule of change in the fair value of the warrant liabilities

The following table presents the changes in the fair value of Level 3 warrant liabilities:

    

    

Private 

    

Total warrant 

Public warrants

warrants

liabilities

Fair value as of January 1, 2021

$

$

$

Fair value when issued February 23, 2021

11,247,000

9,671,333

20,918,333

Change in fair value from inception

(1,035,000)

(890,000)

(1,925,000)

Transfer to Level 2

(10,212,000)

(8,781,333)

(18,993,333)

Fair value at September 30, 2021

$

$

$

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

    

September 30, 2021

 

Risk-free interest rate

$

0.07

%

Term

 

0.75

Expected volatility

 

15.00

%

Exercise price

$

1.50

Stock Price

$

9.75

Probability of transaction

 

75.0

%

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

 

29,648

Fair value as of September 30, 2021

$

779,648