Quarterly report pursuant to Section 13 or 15(d)

Fair Value Measurements (Tables)

v3.21.2
Fair Value Measurements (Tables)
 6 Months Ended
Jun. 30, 2021
Fair Value Disclosures [Abstract]  
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 June 30, 2021 and December 31, 2020, and indicates the fair value hierarchy of the valuation inputs the Company utilized to determine such fair value:

 

 

 

Fair Value Measured as of December 31, 2020

 

 

 

Level 1

 

 

Level 2

 

 

Level 3

 

 

Total

 

Assets:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Marketable securities held in Trust Account

 

$

230,007,324

 

 

$

-

 

 

$

-

 

 

$

230,007,324

 

 

 

$

230,007,324

 

 

$

-

 

 

$

-

 

 

$

230,007,324

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Private Placement warrants

 

$

-

 

 

$

8,646,000

 

 

$

-

 

 

$

8,646,000

 

Public warrants

 

$

14,720,000

 

 

$

-

 

 

$

-

 

 

$

14,720,000

 

 

 

$

14,720,000

 

 

$

8,646,000

 

 

$

-

 

 

$

23,366,000

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Fair Value Measured as of June 30, 2021

 

 

 

Level 1

 

 

Level 2

 

 

Level 3

 

 

Total

 

Assets:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Marketable securities held in Trust Account

 

$

230,026,433

 

 

$

-

 

 

$

-

 

 

$

230,026,433

 

 

 

$

230,026,433

 

 

$

-

 

 

$

-

 

 

$

230,026,433

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Private Placement warrants

 

$

-

 

 

$

11,682,000

 

 

$

-

 

 

$

11,682,000

 

Public warrants

 

$

19,550,000

 

 

$

-

 

 

$

-

 

 

$

19,550,000

 

 

 

$

19,550,000

 

 

$

11,682,000

 

 

$

-

 

 

$

31,232,000

 
Summary of Estimated Fair Value of Private Placement Warrants

As of June 30, 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 as warrants sold in the private placement are identical to the public units as long as they are held by their initial purchasers or permitted transferees. Significant inputs to the valuation are as follows:

 

 

 

As of

December 31,

2020

 

 

As of

June 30,

2021

 

Exercise price

 

$

11.50

 

 

$

11.50

 

Stock price

 

$

10.01

 

 

$

9.98

 

Expected Volatility

 

 

18.42

%

 

 

23.81

%

Expected Term (years)

 

1

 

 

1

 

Risk-free rate

 

 

0.40

%

 

 

0.913

%

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.

 

 

 

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

 

 

3,036,000

 

 

 

4,830,000

 

 

 

7,866,000

 

Warrant liabilities at June 30, 2021

 

$

11,682,000

 

 

$

19,550,000

 

 

$

31,232,000