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

    

Carrying 

    

    

Fair Value 

    

Value/ 

Gross 

as of 

Amortization

Amortized 

Unrealized 

September 30, 

 of Bond  

Cost

Loss

2021

Discount

Cash

$

435

$

$

435

$

U.S. Treasury Securities

 

345,059,948

 

(9,094)

 

345,050,854

 

60,383

$

345,060,383

$

(9,094)

$

345,051,289

$

60,383

Schedule of fair value measured on recurring basis

    

Carrying Value

    

Level 1

    

Level 2

    

Level 3

Assets:

 

  

 

  

 

  

 

  

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

 

345,060,383

$

345,051,289

$

$

Liabilities:

 

 

 

  

 

  

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

    

March 2, 

    

 

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