Quarterly report pursuant to Section 13 or 15(d)

Fair Value Measurements (Tables)

v3.21.2
Fair Value Measurements (Tables)
9 Months Ended
Sep. 30, 2021
Fair Value Measurements [Abstract]  
Assets and Liabilities Measured at Fair Value on Recurring Basis
The following table presents information about the Company’s assets and liabilities that are measured at fair value on a recurring basis as of September 30, 2021 and indicates the fair value hierarchy of the valuation techniques that the Company utilized to determine such fair value:

Description
 
Quoted Prices in
Active Markets
(Level 1)
   
Significant Other
Observable Inputs
(Level 2)
   
Significant Other
Unobservable Inputs
(Level 3)
 
Assets:
                 
Investments held in Trust Account - U.S Treasury securities
 
$
345,048,770
   
$
-
    $ -  
                         
Liabilities:                        
Derivative warrant liabilities - Public warrants
 
$
10,235,000
   
$
-
   
$
-
 
Derivative warrant liabilities - Private placement warrants
 
$
-
   
$
5,280,670
   
$
-
 
Level 3 Fair Value Measurement Inputs
   
At initial issuance
 
Exercise price
 
$
11.50
 
Stock price
 
$
10.00
 
Volatility
   
24.0
%
Expected life (years)
   
5.25
 
Risk-free rate
   
0.07
%
Change in Fair Value of the Derivative Warrant Liabilities Measured using Level 3 Inputs
The change in the fair value of the derivative warrant liabilities, measured using Level 3 inputs, for the period from January 19, 2021 (inception) through September 30, 2021 is summarized as follows:

Derivative liabilities at January 19, 2021 (inception)
 
$
-
 
Issuance of derivative liabilities
   
26,150,000
 
Change in fair value of derivative liabilities
   
(174,330
)
Derivative liabilities at March 31, 2021
 

25,975,670
 
Transfer of Public warrants to Level 1
    (17,135,000 )
Transfer of Private Placement warrants to Level 2
    (8,840,670 )
Derivative liabilities at June 30, 2021
    -
 
Derivative liabilities at September 30, 2021
  $ -