Registration of securities issued in business combination transactions

Investments and Recurring Fair Value Measurements (Tables)

v3.21.2
Investments and Recurring Fair Value Measurements (Tables)
9 Months Ended
Sep. 30, 2021
Investments and Recurring Fair Value Measurements  
Schedule of carrying value, excluding gross unrealized holding loss and fair value of held to maturity securities

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Carrying 

    

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​

    

Fair Value 

    

​

​

​

​

Value/ 

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Gross 

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as of 

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Amortization

​

​

Amortized 

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Unrealized 

​

September 30, 

​

 of Bond  

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​

Cost

​

Loss

​

2021

​

Discount

Cash

​

$

435

​

$

—

​

$

435

​

$

—

U.S. Treasury Securities

​

 

345,059,948

​

 

(9,094)

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345,050,854

​

 

60,383

​

​

$

345,060,383

​

$

(9,094)

​

$

345,051,289

​

$

60,383

Schedule of fair value measured on recurring basis

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Carrying Value

    

Level 1

    

Level 2

    

Level 3

Assets:

 

  

 

​

  

 

​

  

 

​

  

Investments held in Trust Account – U.S. Treasury Bills

 

345,060,383

​

$

345,051,289

​

$

—

​

$

—

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​

​

​

​

​

​

​

​

​

​

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Liabilities:

 

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​

 

​

​

 

  

​

 

  

Private Placement Warrants

 

4,561,691

​

 

—

​

 

—

​

 

4,561,691

Public Warrants

 

8,280,000

​

 

8,280,000

​

 

—

​

 

—

Schedule of monte carlo simulation model for the private warrants

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March 2, 

    

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​

 

​

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2021

​

​

​

 

​

​

(Initial 

​

September 30, 

 

Input

​

Measurement)

​

2021

 

Risk-free interest rate

 

​

1.01

%  

​

1.18

%

Expected term (years)

 

​

6.46

 

​

6.19

​

Stock price

​

$

9.584

​

$

9.780

​

Probability of completing business combination

​

 

80

%  

 

90

%

Expected volatility

​

 

24.2

%  

 

12.5

%

Exercise price

​

$

11.50

​

$

11.50

​

Schedule of fair value of warrant liabilities

​

​

​

​

​

Fair Value at December 31, 2020

    

$

—

Fair value at issuance March 2 2021

​

 

22,182,906

Public Warrants reclassified to level 1(1)

​

 

(8,855,000)

Change in fair value

​

 

(8,766,215)

Fair Value at September 30, 2021

​

$

4,561,691