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RECURRING FAIR VALUE MEASUREMENTS (Tables)
6 Months Ended
Jun. 30, 2022
RECURRING FAIR VALUE MEASUREMENTS  
Summary of gross unrealized holding loss and fair value of held-to-maturity securities

The following table presents information about the Company’s gross holding gains and fair value of held-to-maturity securities at June 30, 2022 and December 31, 2021:

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​

​

​

​

​

​

​

​

​

​

​

​

​

​

    

​

    

​

    

​

​

    

Gross

    

​

​

​

​

​

​

​

​

Amortized 

​

 Holding 

​

​

​

​

​

Held-To-Maturity

​

Level

​

Cost

​

Gain (Loss)

​

Fair Value

June 30, 2022

 

U.S. Treasury Bill (Matures on 07/07/2022)

 

1

​

$

276,264,788

​

$

(22,323)

​

$

276,242,465

​

​

​

​

​

​

​

​

​

​

​

​

​

​

December 31, 2021

 

U.S. Treasury Bill (Matures on 01/06/2022)

 

1

​

$

276,079,634

​

$

1,274

​

$

276,080,908

​

Schedule of Company's financial assets and liabilities that were accounted for at fair value on a recurring basis

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​

​

​

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​

​

​

​

​

​

    

Level 1

    

Level 2

    

Level 3

Liabilities:

​

​

​

​

​

​

​

​

​

Private Placement Warrants

 

$

—

 

$

—

 

$

798,027

Public Warrants

 

$

1,380,000

 

$

—

 

$

—

​

​

​

​

​

​

​

​

​

​

​

​

    

Level 1

    

Level 2

    

Level 3

Liabilities:

​

​

​

​

​

​

​

​

​

Private Placement Warrants

​

$

—

​

$

—

​

$

2,692,800

Public Warrants

​

$

4,692,000

​

$

—

​

$

—

Schedule of key inputs

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​

​

​

​

​

December 31, 

​

June 30, 

​

Input

    

2021

    

2022

    

Risk-free interest rate

​

​

1.26

%

​

3.02

%

Expected term (years)

​

​

5.0

​

​

5.53

​

Expected volatility

​

​

10.50

%

​

13.8

%(1)

Dividend rate

​

​

0.0

%

​

0.0

%

Exercise price

​

$

11.50

​

$

11.50

​

Market implied likelihood of IBC

​

​

—

​

​

12.0

%

​

(1)As of June 30, 2022 volatility is probability adjusted
Schedule of changes in the fair value of warrant liabilities

The following table provides a reconciliation of changes in fair value of the beginning and ending balances for our assets and liabilities classified as level 3 for the three and six months ended June 30, 2022 and June 30, 2021.

​

​

​

​

Fair Value at December 31, 2021

    

$

2,692,800

Change in fair value

​

 

(1,100,880)

Fair Value at March 31, 2022

​

​

1,591,920

Change in fair value

​

​

(793,893)

Fair Value at June 30, 2022

​

$

798,027

​

​

​

​

​

Fair Value at issuance February 11, 2021

    

$

18,028,933

Change in fair value

​

 

(7,166,800)

Fair Value at March 31, 2021

​

​

10,862,133

Public Warrants reclassified to level 2

​

​

(9,200,000)

Issuance of Private Placement Warrants upon conversion of Working Capital Loans

​

​

68,000

Change in fair value

​

​

3,655,467

Fair Value at June 30, 2021

​

$

5,385,600