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 indicates the fair value hierarchy of the valuation inputs the Company utilized to determine such fair value:

 

 

 

 

 

 

 

 

 

Description

Level

 

June 30, 2021

 

 

December 31, 2020

 

Assets:

 

 

 

 

 

 

 

Marketable securities held in Trust Account

1

 

$

230,011,447

 

 

$

229,967,028

 

 

 

 

 

 

 

 

 

Liabilities:

 

 

 

 

 

 

 

Warrant Liability – Public Warrants

3

 

 

118,450,000

 

 

 

12,880,000

 

Warrant Liability – Private Placement Warrants

3

 

 

69,660,000

 

 

 

6,900,000

 

Schedule of Key Inputs into Valuing Warrant Liabilities

The Public Warrants were valued using publicly available trading price, which is considered to be a Level 1 fair value measurement. The key inputs into valuing our warrant liabilities is as follows:

 

 

 

 

 

 

 

 

 

 

Level

 

June 30, 2021

 

 

December 31, 2020

 

Strike Price

 

 

$

11.5

 

 

$

11.5

 

Risk Free Rate

(a)

 

 

0.9

%

 

 

0.5

%

Expected Volatility

(b)

 

 

22.6

%

 

 

19.0

%

Terms (Years)

(c)

 

 

5.0

 

 

 

5.6

 

Probability of Acquisition

(d)

 

95.0%

 

 

85.0%

 

 

(a) Based on the linearly interpolated treasury rate

(b) Blended volatility based upon weighted average of time pre announcement and post announcement

(c) As of the measurement date until assumed expiration

(d) Based upon success of SPACs in completing business combination

Schedule of Changes in Fair Value of Warrant Liabilities

The following table presents the changes in the fair value of warrant liabilities:

 

 

Private Placement

 

 

Public

 

 

Warrant Liabilities

 

Fair value as of December 31, 2020

$

6,900,000

 

 

$

12,880,000

 

 

$

19,780,000

 

Change in valuation inputs or other assumptions

 

62,760,000

 

 

 

105,570,000

 

 

 

168,330,000

 

Fair value as of June 30, 2021

$

69,660,000

 

 

$

118,450,000

 

 

$

188,110,000