Schedule of company's assets that are measured at fair value on a recurring basis |
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Description
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Level
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March 31, 2021
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Assets:
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Marketable securities held in Trust Account
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1
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$
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230,016,101
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Liabilities:
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Warrant Liability - Public Warrants
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3
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45,425,000
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Warrant Liability - Private Placement Warrants
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3
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25,200,000
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December 31,
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Description
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Level
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2020
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Assets:
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Marketable securities held in Trust Account .
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1
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$
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229,967,028
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Liabilities:
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Warrant Liability – Public Warrants
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3
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12,880,000
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Warrant Liability – Private Placement Warrants
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3
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6,900,000
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Schedule of key inputs into valuing warrant liabilities |
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Level
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March 31, 2021
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Strike Price
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$
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11.50
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Risk Free Rate
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(a)
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1.00
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%
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Expected Volatility
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(b)
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28.0
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%
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Terms (Years)
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(c)
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5.36
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Probability of Acquisition
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(d)
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95.0
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%
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(a)
Based on the linearly interpolated treasury rate
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(b)
Blended volatility based upon weighted average of time pre announcement and post announcement
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(c)
As of the measurement date until assumed expiration
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(d)
Based upon success of SPACs in completing business combination
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December 4, 2020
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December 31, 2020
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(Initial Measurement)
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Strike Price
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$
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11.50
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$
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11.50
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Risk Free Rate
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(a)
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0.5
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%
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0.5
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%
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Expected Volatility
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(b)
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19.0
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%
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19.0
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%
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Term (Years)
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(c)
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5.75
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%
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5.57
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%
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Probability of Acquisition
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(d)
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80
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%
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85
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%
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(a)
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Based on the linearly interpolated treasury rate
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(b)
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Blended volatility based upon weighted average of time pre announcement and post announcement
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(c)
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As of the measurement date until assumed expiration
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(d)
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Based upon success of SPACs in completing business combination
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Schedule of change in the fair value of the warrant liabilities |
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Private Placement
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Public
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Warrant Liabilities
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Fair Value as of December 31, 2020
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$
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6,900,000
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$
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12,880,000.00
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$
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19,780,000
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Change in valuation inputs or other assumptions
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18,300,000
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32,545,000
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50,845,000
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Fair Value as of March 31, 2021
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$
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25,200,000
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$
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45,425,000
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$
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70,625,000
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Private
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Warrant
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Placement
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Public
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Liabilities
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Fair value as of September 23, 2020
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$
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—
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$
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—
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$
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—
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Initial measurement on December 4, 2020
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6,000,000
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12,190,000
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18,190,000
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Change in valuation inputs or other assumptions
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900,000
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690,000
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1,590,000
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Fair value as of December 31, 2020
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$
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6,900,000
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$
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12,880,000
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$
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19,780,000
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