| Schedule of Assets Measured at Fair Value on Recurring Basis |
The following table presents information about the Company’s assets that are measured at fair value on a recurring basis at March 31, 2021 and December 31, 2020, and indicates the fair value hierarchy of the valuation inputs the Company utilized to determine such fair value:
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Fair Value Measured as of December 31, 2021
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Level 1
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Level 2
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Level 3
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Total
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Assets:
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|
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|
|
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|
|
|
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Marketable securities held in Trust Account
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$
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230,007,324
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|
|
$
|
-
|
|
|
$
|
-
|
|
|
$
|
230,007,324
|
|
|
|
|
$
|
230,007,324
|
|
|
$
|
-
|
|
|
$
|
-
|
|
|
$
|
230,007,324
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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Liabilities:
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|
|
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|
|
|
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|
|
|
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Private Placement warrants
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|
$
|
-
|
|
|
$
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8,646,000
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|
|
$
|
-
|
|
|
$
|
8,646,000
|
|
|
Public warrants
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|
$
|
14,720,000
|
|
|
$
|
-
|
|
|
$
|
-
|
|
|
$
|
14,720,000
|
|
|
|
|
$
|
14,720,000
|
|
|
$
|
8,646,000
|
|
|
$
|
-
|
|
|
$
|
23,366,000
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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|
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Fair Value Measured as of March 31, 2021
|
|
|
|
|
Level 1
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|
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Level 2
|
|
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Level 3
|
|
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Total
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|
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Assets:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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Marketable securities held in Trust Account
|
|
$
|
230,018,086
|
|
|
$
|
-
|
|
|
$
|
-
|
|
|
$
|
230,018,086
|
|
|
|
|
$
|
230,018,086
|
|
|
$
|
-
|
|
|
$
|
-
|
|
|
$
|
230,018,086
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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Liabilities:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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Private Placement warrants
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|
$
|
-
|
|
|
$
|
10,428,000
|
|
|
$
|
-
|
|
|
$
|
10,428,000
|
|
|
Public warrants
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|
$
|
18,170,000
|
|
|
$
|
-
|
|
|
$
|
-
|
|
|
$
|
18,170,000
|
|
|
|
|
$
|
18,170,000
|
|
|
$
|
10,428,000
|
|
|
$
|
-
|
|
|
$
|
28,598,000
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|
|
| Summary of Estimated Fair Value of Private Placement Warrants |
As of March 31, 2021 and December 31, 2020, the estimated fair value of the Public Warrants was determined by their public trading price and the estimated fair value of the Private Placement Warrants was determined using a Black Sholes valuation model using Level 2 inputs. Significant inputs to the valuation are as follows:
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As of
December 31,
2020
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As of
March 31,
2021
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Exercise price
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$
|
11.50
|
|
|
$
|
11.50
|
|
|
Stock price
|
|
$
|
10.01
|
|
|
$
|
10.02
|
|
|
Expected Volatility
|
|
|
18.42
|
%
|
|
|
21.07
|
%
|
|
Expected Term (years)
|
|
1
|
|
|
1
|
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Risk-free rate
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|
|
0.40
|
%
|
|
|
1.04
|
%
|
|
Dividend yield
|
|
|
0.00
|
%
|
|
|
0.00
|
%
|
|
| Summary of Changes in Fair Value of Public and Private Placement Warrants |
The following table presents a summary of the changes in the fair value of the Public Warrants, a Level 1 liability, and the Private Placement Warrants, a Level 2 liability, measured on a recurring basis.
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Private
Warrants
|
|
|
Public
Warrants
|
|
|
Warrant
Liabilities
|
|
|
Fair value as of December 31, 2020
|
|
$
|
8,646,000
|
|
|
$
|
14,720,000
|
|
|
$
|
23,366,000
|
|
|
Change in fair value of warrant liabilities
|
|
|
1,782,000
|
|
|
|
3,450,000
|
|
|
|
5,232,000
|
|
|
Warrant liabilities at March 31, 2021
|
|
$
|
10,428,000
|
|
|
$
|
18,170,000
|
|
|
$
|
28,598,000
|
|
|