Quarterly report pursuant to Section 13 or 15(d)

Fair Value Measurements (Tables)

v3.21.4
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
   $ -